Purpose: The study aims to test the existence of a meeting clustering effect in the Spanish Stock Exchange (SSE). Design/methodology/approach: This paper studies the relationship between the clustering of annual general...

The ability of investors to implement seasonal strategies implied by academic papers has been widely criticized, most recently by Hudson et al. (Applied Financial Economics, 12, 681-86, 2002). This paper addresses these concerns, and provides an example of a strategy derived from academic papers...

This article deals with the informativeness of iceberg orders, also known as hidden limit orders (HLOs). Namely, we analyze how the market reacts when the presence of hidden volume in the limit order book is revealed by the trading process. We use high-frequency book and transaction data from...

Since the launch of the European Union Emission Trading Scheme (EU ETS), the interest in the trade of EUAs is constantly increasing among academics and market participants. The objective of this paper is twofold: (a) a detailed description of this new market is provided for portfolio managers...

This article provides a critical assessment of the line of research that measures speculative and hedging activities in futures markets from volume and open interest data. It makes several contributions. First, a detailed theoretical analysis of the measures proposed in the previous literature...