Stock Market Interlinkages among Major Developed Equity Markets
... post-October 1987 crash. The empirical results evidenced that there was no significant cointegration for the full sample, 1960s, 1970s, and after 1988. However, in the 1980s, i.e. before the stock market crash in 1987, there was significant cointegration, and therefore, their study concluded that in ...
... post-October 1987 crash. The empirical results evidenced that there was no significant cointegration for the full sample, 1960s, 1970s, and after 1988. However, in the 1980s, i.e. before the stock market crash in 1987, there was significant cointegration, and therefore, their study concluded that in ...
SBL 52 Analysis and Report December 2005
... well matched with that of others except some individual; but from the chart 1 we should pay attention to the phenomenon sometimes, which is that when SBL52 is descending, as to others; similarly, when SBL52 is going up, the others is too. Obviously, the highs and lows changeable of SBL52 is larger t ...
... well matched with that of others except some individual; but from the chart 1 we should pay attention to the phenomenon sometimes, which is that when SBL52 is descending, as to others; similarly, when SBL52 is going up, the others is too. Obviously, the highs and lows changeable of SBL52 is larger t ...
Forecasting Prices in the Presence of Hidden Liquidity
... The term “order book” (OB) is generally used to describe the bid and ask prices and sizes in continuous-auction exchanges, such as NYSE-ARCA, BATS or NASDAQ. A distinction is often made between Level I quotes, i.e. the best bid/ask prices and sizes, and Level II quotes, which consist of all prices a ...
... The term “order book” (OB) is generally used to describe the bid and ask prices and sizes in continuous-auction exchanges, such as NYSE-ARCA, BATS or NASDAQ. A distinction is often made between Level I quotes, i.e. the best bid/ask prices and sizes, and Level II quotes, which consist of all prices a ...
the efficient market hypothesis in developing
... in time, the price of securities is an unbiased reflection of all the available information including the discounted future cash flows and risk involved in owning such a security (Reilly and Brown 2003). Such an Exchange presents correct signals for the garnering of resources as stock market prices ...
... in time, the price of securities is an unbiased reflection of all the available information including the discounted future cash flows and risk involved in owning such a security (Reilly and Brown 2003). Such an Exchange presents correct signals for the garnering of resources as stock market prices ...
Full text - Высшая школа экономики
... of 2000s. Many economists attributed the massive price increase in this period not to change in fundamentals but to a massive increase in commodity speculation. There is no conclusive evidence regarding the role that speculators played in increase of commodities prices during this period as like man ...
... of 2000s. Many economists attributed the massive price increase in this period not to change in fundamentals but to a massive increase in commodity speculation. There is no conclusive evidence regarding the role that speculators played in increase of commodities prices during this period as like man ...
The Components of Electronic Order-Driven Spot FX Bid
... Schwartz and Whitcomb (1981) show that more limit orders will be submitted when bid-ask spreads are wide and when the risk of non-execution is low. This also implies that the bid-ask spread is endogenous because there are no market makers. Too narrow a bid-ask spread will elicit excess market orders ...
... Schwartz and Whitcomb (1981) show that more limit orders will be submitted when bid-ask spreads are wide and when the risk of non-execution is low. This also implies that the bid-ask spread is endogenous because there are no market makers. Too narrow a bid-ask spread will elicit excess market orders ...
Technical Trading-Rule Profitability, Data Snooping, and Reality
... Levich and Thomas (1993) demonstrate based on bootstrap re-sampling that some filter and moving average rules may be significantly profitable even after adjusting for risk.2 The significant profitability documented in these studies is often interpreted as evidence against market efficiency.3 However ...
... Levich and Thomas (1993) demonstrate based on bootstrap re-sampling that some filter and moving average rules may be significantly profitable even after adjusting for risk.2 The significant profitability documented in these studies is often interpreted as evidence against market efficiency.3 However ...
Indian Stock Market
... monetary policy and any surprise changes to such policy actions impact the stock market as well as sectoral indices. Hence, from the perspective of fund managers, policymakers and firms, it is important to understand what causes prices to change in stock markets. In this research, event study method ...
... monetary policy and any surprise changes to such policy actions impact the stock market as well as sectoral indices. Hence, from the perspective of fund managers, policymakers and firms, it is important to understand what causes prices to change in stock markets. In this research, event study method ...
Stock prices volatility and trading volume
... within whole estimating period 2010 – 2013. No significant results were reached for Asian companies from Hang Seng stock index as well as for two companies from European ATX and FTSE 100 indices. Empirical analysis suffers from unavailability of trades’ number because the well-known positive relatio ...
... within whole estimating period 2010 – 2013. No significant results were reached for Asian companies from Hang Seng stock index as well as for two companies from European ATX and FTSE 100 indices. Empirical analysis suffers from unavailability of trades’ number because the well-known positive relatio ...
Are European equity markets efficient? New
... similar features to Brownian Motion, but with increments that are long-range dependent and therefore non-random (Mandelbrot & van Ness, 1968). Long-range dependence (at all time scales) in a selfaffine returns series is represented by the parameter 0 b H b 1. For 0 b H b 0.5, the values of the series ...
... similar features to Brownian Motion, but with increments that are long-range dependent and therefore non-random (Mandelbrot & van Ness, 1968). Long-range dependence (at all time scales) in a selfaffine returns series is represented by the parameter 0 b H b 1. For 0 b H b 0.5, the values of the series ...
Effect of Nonbinding Price Controls In Double Auction Trading
... The research task is to isolate the treatment effect of nonbinding price controls on competitive market outcomes including market dynamics. The design used for this exercise has the following key features. 1. All experiments use an electronic (computerized) DA mechanism characterized by a bid/ask co ...
... The research task is to isolate the treatment effect of nonbinding price controls on competitive market outcomes including market dynamics. The design used for this exercise has the following key features. 1. All experiments use an electronic (computerized) DA mechanism characterized by a bid/ask co ...
The Law of One Price and Arbitrage on China`s Dual
... Maldonado and Saunders (1983) examine the one-year price behaviour of 37 US multinational corporation stocks traded simultaneously on the London and New York Stock exchanges under the restricted and unrestricted periods of the British Investment controls. Their empirical results strongly supported L ...
... Maldonado and Saunders (1983) examine the one-year price behaviour of 37 US multinational corporation stocks traded simultaneously on the London and New York Stock exchanges under the restricted and unrestricted periods of the British Investment controls. Their empirical results strongly supported L ...
Using Markets to Inform Policy: The Case of the Iraq War
... Financial market-based analysis of the expected effects of policy changes has traditionally been exclusively retrospective. In this paper, we demonstrate by example how prediction markets make it possible to use markets to prospectively estimate policy effects. We exploit data from a market trading ...
... Financial market-based analysis of the expected effects of policy changes has traditionally been exclusively retrospective. In this paper, we demonstrate by example how prediction markets make it possible to use markets to prospectively estimate policy effects. We exploit data from a market trading ...
Market Segmentation, Information Asymmetry
... announced, the revision of investors to their prior beliefs and expected payoff causes a change in market price. The investors with more pre-disclosure information revise their belief less than the investors who have less pre-disclosure information. To examine this, we place our focus on market reac ...
... announced, the revision of investors to their prior beliefs and expected payoff causes a change in market price. The investors with more pre-disclosure information revise their belief less than the investors who have less pre-disclosure information. To examine this, we place our focus on market reac ...
The Factors that affect shares` Return in Amman Stock Market Laith
... their investment decisions, the study relies on data that covers the period from 2005 to 2010. Archival research methodology was used in this study using publicly available archival data. Basically the regression model was applied on Amman Stock Exchange in Jordan on the data of company. The populat ...
... their investment decisions, the study relies on data that covers the period from 2005 to 2010. Archival research methodology was used in this study using publicly available archival data. Basically the regression model was applied on Amman Stock Exchange in Jordan on the data of company. The populat ...
Does Pre-trade Transparency Affect the Market Quality in an Order
... transparency is lower than that of CATS. In contrast, Boehmer et al. (2005) found that greater pre-trade transparency of the limit order book improves market quality. Hendershott and Jones (2005) also found that reduction in the pre-trade transparency of the order book of the Island ECN decreased ma ...
... transparency is lower than that of CATS. In contrast, Boehmer et al. (2005) found that greater pre-trade transparency of the limit order book improves market quality. Hendershott and Jones (2005) also found that reduction in the pre-trade transparency of the order book of the Island ECN decreased ma ...
Review of the Market Events of May 6, 2010
... down or impede price changes but are rather designed to prevent trades resulting from erroneous order entry. Some of the review securities experienced TSX freezes, Alpha order rejects and Pure order rejects, including four of the five securities on which IIROC ruled. However, it does not appear, bas ...
... down or impede price changes but are rather designed to prevent trades resulting from erroneous order entry. Some of the review securities experienced TSX freezes, Alpha order rejects and Pure order rejects, including four of the five securities on which IIROC ruled. However, it does not appear, bas ...
Economic Forces, Sentiment and Emerging Eastern European Stock
... measured in terms of foreign exchange rates, trade balance, the money supply, and the production index, rather than inflation or interest rate variables. This suggests the use of different investment strategies in emerging markets as investors’ perceptions of stock differ from those of investors’ in ...
... measured in terms of foreign exchange rates, trade balance, the money supply, and the production index, rather than inflation or interest rate variables. This suggests the use of different investment strategies in emerging markets as investors’ perceptions of stock differ from those of investors’ in ...
Ethan Frome - Eurex Exchange
... If the potential closing price differs considerably from the reference price the Eurex Exchanges may break off the closing auction. The determination of the reference price as well as the determination whether the potential closing price differs considerably from the reference price shall be made ac ...
... If the potential closing price differs considerably from the reference price the Eurex Exchanges may break off the closing auction. The determination of the reference price as well as the determination whether the potential closing price differs considerably from the reference price shall be made ac ...
PDF
... Over the 23 year period of 1973-95, soybean prices were at times very high caused by a number of uncertain factors. Reflecting on these price patterns over an extended period of time suggests the possibility of trying to capture the benefits of higher prices for more than one year. Hedging over mult ...
... Over the 23 year period of 1973-95, soybean prices were at times very high caused by a number of uncertain factors. Reflecting on these price patterns over an extended period of time suggests the possibility of trying to capture the benefits of higher prices for more than one year. Hedging over mult ...
Empirical Analysis of Stock Returns and Volatility of the
... following the base year February 2009, after the collapse of the Zimbabwean Dollar. According to Chen et al (1986), empirical evidence suggests that, apart from traditional economicforces, stock returns have been analyzed typically by employing time series models. One approach in analysing stocks is ...
... following the base year February 2009, after the collapse of the Zimbabwean Dollar. According to Chen et al (1986), empirical evidence suggests that, apart from traditional economicforces, stock returns have been analyzed typically by employing time series models. One approach in analysing stocks is ...
Securities Trading of Concepts (STOC)
... biased) perceptions of those truths by the actual traders playing the game? And how can the data collected during the STOC game be best summarized – are closing prices the ultimate measure of the market consensus, or should metrics based on all of the data collected be employed? To address these is ...
... biased) perceptions of those truths by the actual traders playing the game? And how can the data collected during the STOC game be best summarized – are closing prices the ultimate measure of the market consensus, or should metrics based on all of the data collected be employed? To address these is ...
Do Technical Trading Rules Generate Profits?
... Recently, however, several researchers have overcome the natural skepticism of academics towards technical analysis in order to investigate its usefulness. Taylor and Allen (1992) surveyed more than 200 traders on the London foreign exchange market by far the largest - and found that the use of tech ...
... Recently, however, several researchers have overcome the natural skepticism of academics towards technical analysis in order to investigate its usefulness. Taylor and Allen (1992) surveyed more than 200 traders on the London foreign exchange market by far the largest - and found that the use of tech ...