The Causal Effects of Short-Selling Bans
... bid-ask spreads, and crash risk are not statistically or economically different for banned vs. unrestricted stocks. Our conclusions do not result from low-powered tests. The signs of the coefficient estimates differ across the thresholds for all outcome variables, suggesting inference would be uncha ...
... bid-ask spreads, and crash risk are not statistically or economically different for banned vs. unrestricted stocks. Our conclusions do not result from low-powered tests. The signs of the coefficient estimates differ across the thresholds for all outcome variables, suggesting inference would be uncha ...
Is There Price Discovery in Equity Options?
... A possible explanation for this is that prior to 2002, option market quotes were not firm for professional traders and were firm for retail investors only during “normal market conditions” (Battalio, Hatch, and Jennings (2004)). ...
... A possible explanation for this is that prior to 2002, option market quotes were not firm for professional traders and were firm for retail investors only during “normal market conditions” (Battalio, Hatch, and Jennings (2004)). ...
Good news-Bad news: Information revelation
... show price over-reaction to information where price movements exhibit disproportional changes followed by subsequent reversions. Jegadeesh and Titman (1993), meanwhile, conjecture that markets under-react to information about the short-term prospects of firms but overreact to information about their ...
... show price over-reaction to information where price movements exhibit disproportional changes followed by subsequent reversions. Jegadeesh and Titman (1993), meanwhile, conjecture that markets under-react to information about the short-term prospects of firms but overreact to information about their ...
Surprise Effect of European Macroeconomic Announcements on
... frontier economies have become of interest to the international investment community as a source for possible higher returns that may escape the well-known negative spillovers from one developed market to another one. CIVETS countries have, however, in the recent years opened their markets to foreig ...
... frontier economies have become of interest to the international investment community as a source for possible higher returns that may escape the well-known negative spillovers from one developed market to another one. CIVETS countries have, however, in the recent years opened their markets to foreig ...
Shareholder Wealth and Volatility Effects of Stock Splits Some
... The ex-date effect of stock splits has been explained by market microstructure anomalies, e.g. by the bid-ask spread and price discreteness. Blume & Stambaugh (1983) show that the bid-ask spread causes an upward bias in rates of return. Gottlieb & Kalay (1985) show that rounding continuous prices to ...
... The ex-date effect of stock splits has been explained by market microstructure anomalies, e.g. by the bid-ask spread and price discreteness. Blume & Stambaugh (1983) show that the bid-ask spread causes an upward bias in rates of return. Gottlieb & Kalay (1985) show that rounding continuous prices to ...
PDF
... seasonality. Chen et al. (2010) found that exchange rates are very useful in forecasting future commodity prices but not vice versa. They also found positive relationship between exchange rate and international commodity prices. More recent studies consider a time period when China had already devel ...
... seasonality. Chen et al. (2010) found that exchange rates are very useful in forecasting future commodity prices but not vice versa. They also found positive relationship between exchange rate and international commodity prices. More recent studies consider a time period when China had already devel ...
Mastering The Markets
... half of the meaning required to arrive at a correct analysis. The other half of the meaning is found in the price spread. Volume always indicates the amount of activity going on, the corresponding price spread shows the price movement on that volume. This book explains how the markets work, and, mor ...
... half of the meaning required to arrive at a correct analysis. The other half of the meaning is found in the price spread. Volume always indicates the amount of activity going on, the corresponding price spread shows the price movement on that volume. This book explains how the markets work, and, mor ...
Does Supply Curve Inelasticity Explain Abnormal Long
... greater permanent price impact for repurchase trades. This result is consistent with removal of supply in a market with an inelastic supply curve. In contrast, we do not find that purchases by other insiders create a significant excess permanent price impact. Another potential source for the abnorma ...
... greater permanent price impact for repurchase trades. This result is consistent with removal of supply in a market with an inelastic supply curve. In contrast, we do not find that purchases by other insiders create a significant excess permanent price impact. Another potential source for the abnorma ...
Market vs. Residence Principle
... their home market or on the foreign market (an approach similarly discussed in the European Union) – has no significant effects on trading volume or volatility. Thus, it causes practically no distortions on the markets and tax revenues are substantial. When the market principle is applied – i.e., all ...
... their home market or on the foreign market (an approach similarly discussed in the European Union) – has no significant effects on trading volume or volatility. Thus, it causes practically no distortions on the markets and tax revenues are substantial. When the market principle is applied – i.e., all ...
Limit Order Strategic Placement with Adverse Selection
... of the signs of trades (i.e. there is more chance the next transaction is initiated by a buyer or a seller if the previous ones have been too) and the negative autocorrelation of the returns (once the price moved up –respectively down– the probability it goes down –resp. up– is larger than if the pr ...
... of the signs of trades (i.e. there is more chance the next transaction is initiated by a buyer or a seller if the previous ones have been too) and the negative autocorrelation of the returns (once the price moved up –respectively down– the probability it goes down –resp. up– is larger than if the pr ...
Liquidity and the Law of One Price: The Case of the Futures/Cash
... Because their trading characteristics might differ from ordinary equities, certificates, ADRs, shares of beneficial interest, units, companies incorporated outside the U.S., Americus Trust components, closed-end funds, preferred stocks, and REITs are expunged.10 ...
... Because their trading characteristics might differ from ordinary equities, certificates, ADRs, shares of beneficial interest, units, companies incorporated outside the U.S., Americus Trust components, closed-end funds, preferred stocks, and REITs are expunged.10 ...
A Critique of Overreaction Effect in the Global Stock Markets over the
... fundamental values; prices shoot up over good news and drops over bad news. However, over a period of time stock prices gradually reverts back to their fundamental values thereby suggesting that prices have overreacted in initial period and it subsequently corrects itself. The most interesting appli ...
... fundamental values; prices shoot up over good news and drops over bad news. However, over a period of time stock prices gradually reverts back to their fundamental values thereby suggesting that prices have overreacted in initial period and it subsequently corrects itself. The most interesting appli ...
April 18
... and a European put option on the futures with a strike price of 34 are both priced at 2 in the market today. The risk-free interest rate is 10 percent annum. Identify an arbitrage opportunity. Introduction to Futures and Options Markets, 3rd Edition ...
... and a European put option on the futures with a strike price of 34 are both priced at 2 in the market today. The risk-free interest rate is 10 percent annum. Identify an arbitrage opportunity. Introduction to Futures and Options Markets, 3rd Edition ...
to Official Notice - The Stock Exchange of Mauritius
... (ii) the listing of up to 425,342,317 ordinary shares of BLL on the Official Market of the Stock Exchange of Mauritius Ltd following the above amalgamation, which will involve the migration of BLL from the DEM to the Official Market and consequently, the withdrawal of BLL from the DEM. 2. Suspension ...
... (ii) the listing of up to 425,342,317 ordinary shares of BLL on the Official Market of the Stock Exchange of Mauritius Ltd following the above amalgamation, which will involve the migration of BLL from the DEM to the Official Market and consequently, the withdrawal of BLL from the DEM. 2. Suspension ...
Price Discovery in Iran Gold Coin Market
... level of financial market openness as Iran. Domestic investors seeking shelter among other alternative options in time of downward stock market due to the low level of market openness and they shift their portfolios to other safe domestic investments.Thus, gold market in Iran may follow same pattern ...
... level of financial market openness as Iran. Domestic investors seeking shelter among other alternative options in time of downward stock market due to the low level of market openness and they shift their portfolios to other safe domestic investments.Thus, gold market in Iran may follow same pattern ...
Financial Transaction Tax and Financial Market Stability with
... Motolese (2011), Basak (2005)). In models with heterogeneous beliefs, the true value of assets are unknown and traders act according to their beliefs while taking the beliefs of other traders into account. This resembles the argument made by proponents of a transaction tax on the causes of volatilit ...
... Motolese (2011), Basak (2005)). In models with heterogeneous beliefs, the true value of assets are unknown and traders act according to their beliefs while taking the beliefs of other traders into account. This resembles the argument made by proponents of a transaction tax on the causes of volatilit ...
Quote Stuffing - Mississippi State University`s College of Business
... Jones Industrial Average collapsed 998.5 points in a few minutes. HFT is a trading strategy where securities are rapidly purchased and sold through the use of computer algorithms. Holding periods for securities bought and sold by high frequency traders are typically very short, lasting just seconds ...
... Jones Industrial Average collapsed 998.5 points in a few minutes. HFT is a trading strategy where securities are rapidly purchased and sold through the use of computer algorithms. Holding periods for securities bought and sold by high frequency traders are typically very short, lasting just seconds ...
Intraday Periodicity Adjustments of Transaction Duration and Their
... substantially and ranges from 7360 to 14591, while the average duration per trade ranges from 1.6 seconds to 3.18 seconds. While the number of trades with the same time stamp are quite abundant for large-cap stocks, they are less frequent for small-cap stocks. We would also mention that there is som ...
... substantially and ranges from 7360 to 14591, while the average duration per trade ranges from 1.6 seconds to 3.18 seconds. While the number of trades with the same time stamp are quite abundant for large-cap stocks, they are less frequent for small-cap stocks. We would also mention that there is som ...
What Causes Herding: Information Cascade or Search Cost ?
... LSV), the run test approach works especially better with high frequency data. The LSV measure is more easily to be constructed during a longer period as it does not consider the volume of manager’s trading but uses only the number of managers buying and selling. The t-test for the LSV measure may al ...
... LSV), the run test approach works especially better with high frequency data. The LSV measure is more easily to be constructed during a longer period as it does not consider the volume of manager’s trading but uses only the number of managers buying and selling. The t-test for the LSV measure may al ...
Liquidation in the Face of Adversity: Stealth Versus Sunshine Trading
... A variety of circumstances such as a margin call or a stop-loss strategy in combination with a large price drop can force a market participant to liquidate a large asset position urgently. Such a swift liquidation may result in a significant impact on the asset price. Hence, intuitively it seems to ...
... A variety of circumstances such as a margin call or a stop-loss strategy in combination with a large price drop can force a market participant to liquidate a large asset position urgently. Such a swift liquidation may result in a significant impact on the asset price. Hence, intuitively it seems to ...
Stock Splits, Liquidity and Limit Orders
... orders around stock splits. Since public market orders often trade against public limit orders, an increased cost to one trader may be a savings to another. Thus, even though spreads increase following stock splits, the overall effect on execution costs is not clear. This is particularly true on the ...
... orders around stock splits. Since public market orders often trade against public limit orders, an increased cost to one trader may be a savings to another. Thus, even though spreads increase following stock splits, the overall effect on execution costs is not clear. This is particularly true on the ...
Decimals and Liquidity: A study of the NYSE
... the specialist (for an analysis of quotes from the limit order book and specialist see Chung, Van Ness, and Van Ness 1999). Such competition can also come from the regional stock exchanges posting quotes simultaneously in those stocks. In short, BBOs are generated by the specialist and public limit ...
... the specialist (for an analysis of quotes from the limit order book and specialist see Chung, Van Ness, and Van Ness 1999). Such competition can also come from the regional stock exchanges posting quotes simultaneously in those stocks. In short, BBOs are generated by the specialist and public limit ...
1. ISIN code of Lithuanian securities (CD code of securities)
... 10 – Government securities sales auction account 11 – Coordinator’s account 12 – Account of securities allotted for further choice of dividend 20 – Bonus securities’ account 30 – Account of securities allotted for further splitting ...
... 10 – Government securities sales auction account 11 – Coordinator’s account 12 – Account of securities allotted for further choice of dividend 20 – Bonus securities’ account 30 – Account of securities allotted for further splitting ...
Time-Varying Arrival Rates of Informed and Uninformed Trades
... can infer new information regarding the value of the asset from the composition and existence of trades. Thus, market parameters such as volume, volatility, market depth, and liquidity are all linked in the sense that each is influenced by the underlying order arrival processes. In this paper, we pro ...
... can infer new information regarding the value of the asset from the composition and existence of trades. Thus, market parameters such as volume, volatility, market depth, and liquidity are all linked in the sense that each is influenced by the underlying order arrival processes. In this paper, we pro ...
Financial Statement Analysis and Security Valuation
... Disclosures About Securities FASB Statement No. 115 requires the following disclosures each period: The aggregate market value, gross unrealized holding gains, gross unrealized holding losses, and amortized cost for debt securities held to maturity and debt and equity securities available for sale ...
... Disclosures About Securities FASB Statement No. 115 requires the following disclosures each period: The aggregate market value, gross unrealized holding gains, gross unrealized holding losses, and amortized cost for debt securities held to maturity and debt and equity securities available for sale ...