We use a bivariate GJR-GARCH model to investigate simultaneously the contemporaneous and causal relations between trading volume and stock returns and the causal relation between trading volume and return volatility in a one-step estimation procedure, which leads to the more efficient estimates...

Guided by the Gervais and Odean (2001) overconfident trading hypothesis, we comprehensively investigate the trading behavior of individual vs. institutional investors in Taiwan in an attempt to identify who is the more overconfident trader. Conditional on the various states of the market, on...

Falk has shown that there are large and systematic deviations of real farmland prices in Iowa from their fundamental values. Falk and Lee (FL) conclude that these deviations are more easily explainable in terms of fads rather than speculative bubbles. In his comment on FL, Roche argues that the...

We provide empirical evidence on the impact of limited market participation on the informational role played by institutions and analysts in the market. Our findings are as follow. First, the price adjustment of stocks that are favored by institutions and analysts and associated with low...

Baker and Stein's (2004) model predicts that individual stock liquidity, commonality in liquidity across stocks, the contemporaneous correlation between stock returns and liquidity, and the degree of high liquidity associated with low subsequent stock returns decrease in the absence of...

In this paper, we evaluate the performance of the ability of Markov-switching multifractal (MSM), implied, GARCH, and historical volatilities to predict realized volatility for both the S&P 100 index and equity options. Some important findings are as follows. First, we find that the ability of...