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Optimal liquidation using extended trading close for multiple trading days

Zhu, Janchang; Zhang, Leilei; Sun, Xuchu - In: Financial innovation : FIN 10 (2024), pp. 1-33

The extended trading close (ETC) provides institutional investors an opportunity to trade at the closing price after the regular trading session (RTS) and disclosing the order imbalances to other market participants. ETCs exist in the Nasdaq, the SSE STAR, the SZSE ChiNext and the TWSE. To help...

Persistent link: https://www.econbiz.de/10014541683

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 …, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans …

Persistent link: https://www.econbiz.de/10013272630

How investor attention affects stock returns? : some international evidence

Akarsu, Sergen; Süer, Ömür - In: Borsa Istanbul Review 22 (2022) 3, pp. 616-626

We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...

Persistent link: https://www.econbiz.de/10013334801

Investor attention and exchange traded fund returns in South Africa : the role of investors' internet search activity

Kunjal, Damien - In: Financial studies 27 (2023) 3, pp. 40-56

In recent years, exchange-traded fund (ETF) markets have grown exponentially due to their rising popularity amongst retail investors with a preference for passive investments. However, the effect of this rising popularity on the performance of ETF markets remains understudied. Therefore, the...

Persistent link: https://www.econbiz.de/10014506650

Can google search volume index predict the returns and trading volumes of stocks in a retail investor dominant market

Lai, Huei-Hwa; Chang, Tzu-Pu; Hu, Cheng-Han; Chou, Po-Ching - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

This research examines whether Google search volume index (GSVI), a proxy of investor attention, can predict the excess returns and abnormal trading volumes of TPEx 50 index constituents. It also explores the motive underlying GSVI based on positive or negative shocks to stock prices. The...

Persistent link: https://www.econbiz.de/10013464702

How does investor sentiment affect stock market crash risk? : evidence from Asia-Pacific markets

An Tuan Nguyen; Nguyễn Thị Nhung - In: Cogent economics & finance 12 (2024) 1, pp. 1-17

This study aims to examine the effect of investor sentiment on stock market crash risk in the Asia-Pacific region. The research employs principal components analysis (PCA) to construct an investor sentiment index, while the Method of Moments Quantile Regression (MMQR) is used to analyze monthly...

Persistent link: https://www.econbiz.de/10015193537

Does trading volume drive systemic banks' stock return volatility? : lessons from the Greek banking system

Tsagkanos, Athanasios; Gillas, Konstantinos Gkillas; … - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-13

The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial …

Persistent link: https://www.econbiz.de/10012509058

The short-term mean reversion of stock price and the change in trading volume

Jung, Woosung; Kang, Mhin - In: Journal of derivatives and quantitative studies : … 29 (2021) 3, pp. 190-214

This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion pattern after 2000, but not before. This study also...

Persistent link: https://www.econbiz.de/10012658724

The effect of the COVID-19 pandemic on multifractals of price returns and trading volume variations of cryptocurrencies

Lahmiri, Salim - In: Decision analytics journal 6 (2023), pp. 1-5

We investigate the multifractal properties of daily price returns and trading volume variations in 35 cryptocurrencies by using the method of wavelet leaders prior and during the COVID-19 pandemic. The obtained results from the analysis of scaling exponent functions and multifractal spectrums...

Persistent link: https://www.econbiz.de/10014505962

Dynamic relationship between volume and volatility in the Chinese stock market : evidence from the MS-VAR model

Zhang, Feipeng; Zhang, Yilin; Xu, Yixiong; Chen, Yan - In: Data science and management : DSM 7 (2024) 1, pp. 17-24

Since market uncertainty, or volatility, serves as a crucial gauge for assessing the traits of market fluctuations, the … dynamic, nonlinear correlations between Chinese stock volatility, trading volume, and return using a hybrid approach that …) The Chinese stock market can be divided into three regional systems: steady downward, steady upward, and high volatility …

Persistent link: https://www.econbiz.de/10014518031