short term patterns
... An Inside Bar (Bullish) indicates a possible reversal of the current downtrend to a new uptrend. This pattern is an indication of a financial instrument's SHORT-TERM outlook. Two-bar patterns reflect changes in investor psychology that have a very short-term influence on future prices - typically le ...
... An Inside Bar (Bullish) indicates a possible reversal of the current downtrend to a new uptrend. This pattern is an indication of a financial instrument's SHORT-TERM outlook. Two-bar patterns reflect changes in investor psychology that have a very short-term influence on future prices - typically le ...
Informed Trading, Flow Toxicity and the Impact on Intraday Trading
... informed trading and order flow toxicity, on a LOB market. To implement this, the authors leverage off the new technique VPIN, and modify it to test for causal relationships between it and other intraday trade dynamics (namely (1) quote imbalance, (2) price volatility and (3) duration) at the stock ...
... informed trading and order flow toxicity, on a LOB market. To implement this, the authors leverage off the new technique VPIN, and modify it to test for causal relationships between it and other intraday trade dynamics (namely (1) quote imbalance, (2) price volatility and (3) duration) at the stock ...
PDF
... small portion of the Asian-Pacific market, pesticide usage there has been increasing and creating significant environmental and health externalities (Pinagli and Roger, 1995). The Philippine government has invested in IPM research and training and has imposed an import tariff on pesticides that woul ...
... small portion of the Asian-Pacific market, pesticide usage there has been increasing and creating significant environmental and health externalities (Pinagli and Roger, 1995). The Philippine government has invested in IPM research and training and has imposed an import tariff on pesticides that woul ...
Multimarket Trading and Market Liquidity Author(s): Bhagwan
... fourth markets" in some stocks. Also, there often exist active markets in derivative securities, such as futures and options. An investor with private information about a stock could trade, for example, on one or more exchanges on which the stock is listed, while simultaneously trading in off-the-ex ...
... fourth markets" in some stocks. Also, there often exist active markets in derivative securities, such as futures and options. An investor with private information about a stock could trade, for example, on one or more exchanges on which the stock is listed, while simultaneously trading in off-the-ex ...
A Critique of Overreaction Effect in the Global Stock Markets over the
... A Critique of Overreaction Effect in the Global Stock Markets over the past three decades extreme low return securities. Empirical results of the study shows that on an average the loser portfolio outperformed the market by 19.6% and winner underperform the market by 5%. Hence the average cumulativ ...
... A Critique of Overreaction Effect in the Global Stock Markets over the past three decades extreme low return securities. Empirical results of the study shows that on an average the loser portfolio outperformed the market by 19.6% and winner underperform the market by 5%. Hence the average cumulativ ...
Trading Rules and Practices
... are relatively small, and act like a barrier against short-term trading. However, since dividends are usually distributed annually rather than quarterly, this would suggest that transaction cost models may not be important in Oman. Fourth, in addition to the daily stock prices, the data set contains ...
... are relatively small, and act like a barrier against short-term trading. However, since dividends are usually distributed annually rather than quarterly, this would suggest that transaction cost models may not be important in Oman. Fourth, in addition to the daily stock prices, the data set contains ...
The Euro and Stock Markets in Hungary, Poland, and UK
... considered that stock prices and exchange rates have a crucial role in affecting the development of stock markets with the expanding corporate sectors with listed firms and the growing tradable sector (Abdalla and Murinde, 1997). The second contribution is that, prior to cointegration tests, structu ...
... considered that stock prices and exchange rates have a crucial role in affecting the development of stock markets with the expanding corporate sectors with listed firms and the growing tradable sector (Abdalla and Murinde, 1997). The second contribution is that, prior to cointegration tests, structu ...
Momentum Effect: Empirical Evidence from Karachi Stock Exchange
... Momentum Effect: Empirical Evidence from Karachi Stock Exchange examined the sample of 1705 companies from 20 emerging countries from 1982 to 1997. He reported the momentum effect in 17 out of 20 countries with a slightly change in methodology, i.e. ranking the stock portfolios; top 30%, middle 40% ...
... Momentum Effect: Empirical Evidence from Karachi Stock Exchange examined the sample of 1705 companies from 20 emerging countries from 1982 to 1997. He reported the momentum effect in 17 out of 20 countries with a slightly change in methodology, i.e. ranking the stock portfolios; top 30%, middle 40% ...
Listing on the FTSE-100: Does it matter?
... We first examine the long-term benefit to a stock of being included in the FTSE 100 Index. It is possible that increased investor interest, either as a result of index tracking or increased publicity, has a positive impact on the long-run stock returns of firms included in the index. Similarly, we m ...
... We first examine the long-term benefit to a stock of being included in the FTSE 100 Index. It is possible that increased investor interest, either as a result of index tracking or increased publicity, has a positive impact on the long-run stock returns of firms included in the index. Similarly, we m ...
Derivatives and Volatility on Indian Stock Markets
... of spot index returns due to increased information flow. According to Shenbagaraman (2003), the introduction of derivative products did not have any significant impact on market volatility in India. Raju and Karande (2003) also reported a decline in volatility of S&P CNX Nifty after the introduction ...
... of spot index returns due to increased information flow. According to Shenbagaraman (2003), the introduction of derivative products did not have any significant impact on market volatility in India. Raju and Karande (2003) also reported a decline in volatility of S&P CNX Nifty after the introduction ...
Preview - American Economic Association
... someone with an even higher valuation is low. Similarly, if an investor has a low valuation of the asset, once he sells the asset, there is little benefit for him to stay in the market. In contrast to the above equilibrium, when the search cost is higher than the threshold, there is an equilibrium wi ...
... someone with an even higher valuation is low. Similarly, if an investor has a low valuation of the asset, once he sells the asset, there is little benefit for him to stay in the market. In contrast to the above equilibrium, when the search cost is higher than the threshold, there is an equilibrium wi ...
Order Submission Strategies and Information
... decimal pricing environment by Ellul et al. (2003) obtains some results that are consistent with our evidence. We study the ten stocks that showed the highest average value of transacted volume during the whole three-month sample. The high liquidity of these stocks allows a timely relation between o ...
... decimal pricing environment by Ellul et al. (2003) obtains some results that are consistent with our evidence. We study the ten stocks that showed the highest average value of transacted volume during the whole three-month sample. The high liquidity of these stocks allows a timely relation between o ...
english,
... Favero and Giavazzi (2002), and the threshold test of Pesaran and Pick (2003)), the method that is very suitable to study contagion in stock markets during extreme market events is the method of Bae et al. (2003). The method of Bae et al. (2003) incorporates the extreme value concept of exceedance r ...
... Favero and Giavazzi (2002), and the threshold test of Pesaran and Pick (2003)), the method that is very suitable to study contagion in stock markets during extreme market events is the method of Bae et al. (2003). The method of Bae et al. (2003) incorporates the extreme value concept of exceedance r ...
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... data from traditional media sources, such as newspapers’ daily content (Tetlock, 2007) and newsletter writers (Clarke and Staman, 1998; Fisher and Statman, 2000). For example, Tetlock et al. (2008) collect negative words in financial media studies of individual firms’ accounting earnings and stock r ...
... data from traditional media sources, such as newspapers’ daily content (Tetlock, 2007) and newsletter writers (Clarke and Staman, 1998; Fisher and Statman, 2000). For example, Tetlock et al. (2008) collect negative words in financial media studies of individual firms’ accounting earnings and stock r ...
Price Volatility, Trading Activity and Market Depth
... markets, and also for some developed international markets. However, this issue has been little examined in less-developed markets. The reason for our particular interest in empirical work on the Taiwan Stock Index Futures markets is that it is a rapidly expanding emerging market1 and is characteriz ...
... markets, and also for some developed international markets. However, this issue has been little examined in less-developed markets. The reason for our particular interest in empirical work on the Taiwan Stock Index Futures markets is that it is a rapidly expanding emerging market1 and is characteriz ...
MACD BASED DOLLAR COST AVERAGING STRATEGY
... In Thailand, long-term equity funds (LTF) are equity funds mainly focused on common stocks. The LTF was established by governmental support with the objective of increasing the proportion of institutional investors to make long-term investments in the Stock Exchange of Thailand (SET). Increasing ins ...
... In Thailand, long-term equity funds (LTF) are equity funds mainly focused on common stocks. The LTF was established by governmental support with the objective of increasing the proportion of institutional investors to make long-term investments in the Stock Exchange of Thailand (SET). Increasing ins ...
The Cross-Section of Expected Trading Activity
... of informed agents, learning by investors about fundamental value or about the return generating process, as well as the dispersion of agents’ information signals. Liquidity or noise trading is likely driven in part by portfolio rebalancing needs triggered by past returns. Following Merton (1987), w ...
... of informed agents, learning by investors about fundamental value or about the return generating process, as well as the dispersion of agents’ information signals. Liquidity or noise trading is likely driven in part by portfolio rebalancing needs triggered by past returns. Following Merton (1987), w ...
bid, ask and` transaction prices in a specialist
... price effects that may occur just after an event that gives an informational advantage to insiders. There is no discounting over this short period, and much of our focus is on how information is assimilated by the market, as reflected by the changing spread. In this model, prices exhibit a semi-stro ...
... price effects that may occur just after an event that gives an informational advantage to insiders. There is no discounting over this short period, and much of our focus is on how information is assimilated by the market, as reflected by the changing spread. In this model, prices exhibit a semi-stro ...
Using Prediction Markets to Track Information Flows
... experimenting with prediction markets that we are aware of have avoided these markets, perhaps out of fear of appearing unserious. Interestingly, we find that volume in “fun” and “serious” markets are positively correlated (at the daily, weekly, and monthly frequencies), suggesting that the form ...
... experimenting with prediction markets that we are aware of have avoided these markets, perhaps out of fear of appearing unserious. Interestingly, we find that volume in “fun” and “serious” markets are positively correlated (at the daily, weekly, and monthly frequencies), suggesting that the form ...
A General Equilibrium Analysis of Option and Stock Market
... incomplete markets. When markets are incomplete financial innovation causes, for For instance Hakansson (1979a) states: "So we find ourselves in the awkward position of being able to derive unambiguous values only for redundant assets and unable to value options which have social value." 3Examples c ...
... incomplete markets. When markets are incomplete financial innovation causes, for For instance Hakansson (1979a) states: "So we find ourselves in the awkward position of being able to derive unambiguous values only for redundant assets and unable to value options which have social value." 3Examples c ...
Sample pages 1 PDF
... corresponding net returns. Since returns are smaller in magnitude over shorter periods, we can expect returns and log returns to be similar for daily returns, less similar for yearly returns, and not necessarily similar for longer periods ...
... corresponding net returns. Since returns are smaller in magnitude over shorter periods, we can expect returns and log returns to be similar for daily returns, less similar for yearly returns, and not necessarily similar for longer periods ...
Price Impact of Block Trades in the Saudi Stock Market
... of stocks from the decision of large traders to initiate buy or sell trades. The information effect uses the identity of traders and the size of the transaction as proxies for the information content of the trade. A permanent price change is expected to be associated with informed trading which subs ...
... of stocks from the decision of large traders to initiate buy or sell trades. The information effect uses the identity of traders and the size of the transaction as proxies for the information content of the trade. A permanent price change is expected to be associated with informed trading which subs ...
Bubbles
... Bubbles due to limited arbitrage arise in models in which rational, well-informed and sophisticated investors interact with behavioural market participants whose trading motives are influenced by psychological biases. Proponents of the ‘efficient market hypothesis’ argue that bubbles cannot persist ...
... Bubbles due to limited arbitrage arise in models in which rational, well-informed and sophisticated investors interact with behavioural market participants whose trading motives are influenced by psychological biases. Proponents of the ‘efficient market hypothesis’ argue that bubbles cannot persist ...
Dynamics of Macroeconomic Fundamentals Affecting Stock Market
... results are obtained by Chakravarty (2005). In this study positive relationship between industrial production and stock prices was examined by using Granger causality test and observed uni-directionality from industrial production to stock prices in India. However, the findings of Chowhan et al. (20 ...
... results are obtained by Chakravarty (2005). In this study positive relationship between industrial production and stock prices was examined by using Granger causality test and observed uni-directionality from industrial production to stock prices in India. However, the findings of Chowhan et al. (20 ...
Trading and Returns under Periodic Market Closures
... 1988, 1989), Kleidon and Werner (1996), Lockwood and Linn (1990), Rogalski (1984), Smirlock and Starks (1986), and Wood, McInish, and Ord (1985). See, for example, Chan et al. (1996) and Jain and Joh (1988). See, for example, Amihud and Mendelson (1987, 1991), Cao, Choe, and Hatheway (1995), Chan et ...
... 1988, 1989), Kleidon and Werner (1996), Lockwood and Linn (1990), Rogalski (1984), Smirlock and Starks (1986), and Wood, McInish, and Ord (1985). See, for example, Chan et al. (1996) and Jain and Joh (1988). See, for example, Amihud and Mendelson (1987, 1991), Cao, Choe, and Hatheway (1995), Chan et ...