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A Data-Reconstructed Fractional Volatility Model

Mendes, Rui Vilela - 2011

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data....

Persistent link: https://www.econbiz.de/10013132290

Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16

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...

Persistent link: https://www.econbiz.de/10012023919

The effects of uncertainty on market liquidity : evidence from hurricane Sandy

Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim - 2018

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …

Persistent link: https://www.econbiz.de/10011844658

Opening and Closing Price Efficiency : Do Financial Markets Need the Call Auction?

Ibikunle, Gbenga - 2016

We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE's high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated...

Persistent link: https://www.econbiz.de/10013006656

J-REIT Market Quality : Impact of High Frequency Trading and the Financial Crisis

Jain, Pawan - 2017

analyze the impact of high frequency trading on market quality of J-REITs, in terms of liquidity, volatility, and systemic …

Persistent link: https://www.econbiz.de/10012955878

The German High-Frequency Trading Act : Implications for Market Quality

Haferkorn, Martin - 2015

liquidity levels. We find that the German HFT Act has successfully reduced the amount of intraday trading messages leaving trade … executions only marginally affected. However, a large fraction of those messages lost were providing high quality liquidity at … introduction. But as those messages were of negligible sizes, the overall liquidity supply to the order book, measured by the order …

Persistent link: https://www.econbiz.de/10013032089

Profitability and Market Quality of High Frequency Market-Makers : An Empirical Investigation

Yergeau, Gabriel - 2016

Financial markets in contemporary regulatory settings require the presence of high-frequency liquidity providers. We …) of liquidity provision from Ait-Sahalia and Saglam's (2014) dynamic inventory management model. The OQP allows the high … high-frequency trader behaves as a constant liquidity provider and has a positive effect on market quality even in periods …

Persistent link: https://www.econbiz.de/10012982141

Piety and Profits : Stock Market Anomaly During the Muslim Holy Month

Bialkowski, Jedrzej Pawel - 2011

declines in market liquidity are recorded. We find these results consistent with a notion that Ramadan positively affects …

Persistent link: https://www.econbiz.de/10013134379

Robust Weak-Form Efficiency Tests in Volatile European Equity Indices

Enninful, Kwesi - 2013

Robust weak form efficiency tests are conducted to examine market efficiency in two pan-European indices; the large capitalisation EuroStoxx 50 and the small capitalisation EuroStoxx Small from January 2000 to March 2012. Applying the non-parametric Belaire-Franch and Opong (2005) multiple...

Persistent link: https://www.econbiz.de/10013089775

Short Selling, Informational Efficiency, and Extreme Stock Price Adjustment

Fan, Yi; Gao, Yang - 2022

Using Chinese equity data from April 2009 to August 2020, we contribute to the literature by exploring the impact of short selling on stock prices in three aspects. First, we find that as short sellers become more active, stock price adjustments accelerate, and prices respond more swiftly to...

Persistent link: https://www.econbiz.de/10014235886