This paper examines the impacts of dividend policy and ownership structure on stock price volatility in the Vietnamese market. The study also tests for the moderating effect of foreign/state ownership on the dividend policy–price volatility relation. The authors use a comprehensive panel...

We have investigated the influence of investors' expectation of future market trends on their trading and investment decisions in various market states. The efficiency of mutual-fund markets can be threatened by systematic biases in different decision-makings. Mutual-fund investors exhibit the...

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any changes in relevant risk are assumed to be a result of...

Excessive trading phenomenon is contrary to the concept of traditional finance that is based on the rational expectation theorem and efficient market hypothesis. Therefore, this study is aimed at exploring the existence of overconfidence behavior in the stock market. The market-wide panel VAR...

In this paper, we develop and examine a simple interactive agent‐based model, where the distribution of returns generated from the model takes into account two stylized facts about financial markets： fat tails and volatility clustering. Our results indicate that the risk tolerance of...

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger...

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...

This study develops an agent-based computational stock market model in which each trader’s buying and selling decisions are endogenously determined by multiple factors: namely, firm profitability, past stock price movement, and imitation of other traders. Each trader can switch from being a...

This paper examines the influence of financial accounting disclosures (FAD) on the investors' reactions towards bad news (IRBN), and analytically assesses the moderation effect of the individual investor's sentiments particularly" Subjective norms" on that relationship in project-based...

The purpose of this paper is to explore the impact of the first wave of COVID-19 lockdowns on retail stock trading patterns, at a transnational level. Cross-sectional empirical research was utilized with five samples of public companies from the US, Europe, Asia, and blended equity capital...