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How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic
Khoa Dang Duong; Man Minh Tran; Diep Van Nguyen; Hoa … - In: Cogent economics & finance 10 (2022) 1, pp. 1-17
This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …
Persistent link: https://www.econbiz.de/10013373164
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Tick size, liquid stocks and market quality : evidence from a natural experiment in a unique setting
Gülay, Güzhan; Ersan, Yaşar - In: Borsa Istanbul Review 23 (2023) 5, pp. 1037-1057
We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel limit order and trade book data with...
Persistent link: https://www.econbiz.de/10014383529
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Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market
Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies : … 28 (2020) 3, pp. 107-122
was incorporated first into the LCDSs because of the flight-to-liquidity during the recent crisis period but there is a …
Persistent link: https://www.econbiz.de/10012592651
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Illiquidity, duration and momentum profits: evidence from the Korean stock market
Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies : … 29 (2021) 1, pp. 49-72
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference...
Persistent link: https://www.econbiz.de/10012592791
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A comparison of bid-ask spread proxies and determinants of bond bid-ask spread
Su, Emre; Tokmakcioglu, Kaya - In: Borsa Istanbul Review 21 (2021) 3, pp. 227-238
points out that bond characteristics have a significant relation with bond liquidity. Bonds with shorter time to maturity or …
Persistent link: https://www.econbiz.de/10012816797
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A theory of very short-time price change : security price drivers in times of high-frequency trading
Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34
previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …
Persistent link: https://www.econbiz.de/10013272630
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Predictability in securities price formation: differences between developed and emerging markets
Camilleri, Silvio John; Vassallo, Semiramis; Bai, Ye - In: Journal of capital markets studies 4 (2020) 2, pp. 146-166
Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...
Persistent link: https://www.econbiz.de/10012395371
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Mean-variance relationship and uncertainty
Kim, Jun Sik - In: Journal of derivatives and quantitative studies : … 30 (2022) 1, pp. 23-45
This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market’s expected excess return is positively related to the market’s conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to...
Persistent link: https://www.econbiz.de/10012887264
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Herding behavior in the Chinese stock market and the impact of COVID-19
Maquieira, Carlos; Espinosa Méndez, Christian - In: Estudios de economía 49 (2022) 2, pp. 199-229
We analyze herding behavior in the Chinese stock markets in the context of the COVID-19 pandemic using the cross-sectional absolute deviation (CSAD) model proposed by Chang et al. (2000) to detect herding behavior in the time period between January 30, 2001, and June 12, 2020. We consider stock...
Persistent link: https://www.econbiz.de/10013489813
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Measuring the effect of the North Korea-U.S. summit on the South Korean stock market
Huy Pham; Al-Hares, Osama M.; Ramiah, Vikash; Moosa, Nisreen - In: Cogent economics & finance 7 (2019) 1, pp. 1-22
We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018. Employing the event study methodology, we estimate sectoral abnormal returns following the events surrounding the summit and conduct several...
Persistent link: https://www.econbiz.de/10014232764