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Learning about unprecedented events: agent-based modelling and the stock market impact of COVID-19

Bazzana, Davide; Colturato, Michele; Savona, Roberto - 2021

We model the learning process of market traders during the unprecedented COVID-19 event. We introduce a behavioral heterogeneous agents' model with bounded rationality by including a correction mechanism through representativeness (Gennaioli et al., 2015). To inspect the market crash induced by...

Persistent link: https://www.econbiz.de/10012654147

Stock prices in a speculative market : the Chinese split-share reform

Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - 2009

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines …

Persistent link: https://www.econbiz.de/10008809692

Global oil market and the US stock returns

Ahmad, Maryam; Manera, Matteo; Sadeghzadeh, Mehdi - 2015

This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...

Persistent link: https://www.econbiz.de/10011391816

Securities transaction tax-case study of India

Malik, Neha - 2014

Security Transaction Tax (STT) was introduced in the Indian capital market in 2004. It is a tax on transaction of equities as well as their derivatives. Despite the reduction in STT over the years, it constitutes a large percentage (next only to brokerage fee) of the total cost of trading. The...

Persistent link: https://www.econbiz.de/10010354157

Privatization and stock market liquidity

Bortolotti, Bernardo; Jong, Frank de; Nicodano, Giovanna; … - 2002

Share issue privatization - i.e. privatization on public equity markets - is often claimed to foster stock market development. In this paper, we provide an empirical assessment of this claim, testing the role of privatization on two market liquidity measures in a panel with monthly data of 19...

Persistent link: https://www.econbiz.de/10011598239

Intra-industry effects of privatization announcements : evidence from developed and developing countries

Otchere, Isaac - 2002

We examine the stock price reaction of rival firms to privatization announcements to infer information about industry effects of privatization. We find that the rival firms reacted negatively to privatization announcements, thus suggesting that the announcement effects reflect competitive...

Persistent link: https://www.econbiz.de/10011598302

The nontradable share reform in the Chinese stock market

Beltratti, Andrea (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003605672

Policy interventions and China's stock market in the early stages of the COVID-19 pandemic

Davis, Steven J.; Liu, Dingqian; Sheng, Xuguang; Wang, Yan - 2025

China's stock market greatly outperformed other national markets during the first several months of the COVID-19 … to us provides a ready explanation for the extraordinary performance of China's stock market in the first half of 2020 …. This performance is even more striking in hindsight, given later developments in China's economy and stock market. …

Persistent link: https://www.econbiz.de/10015327033

Insiders-outsiders, transparency and the value of the ticker

Cespa, Giovanni (contributor); Foucault, Thierry (contributor) - 2008

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...

Persistent link: https://www.econbiz.de/10003740321

Positive stock information in out-of-the-money option prices

Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018

We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...

Persistent link: https://www.econbiz.de/10011872403