We examine corporate security choice by simulating an economy populated by adaptive agents who learn about the structure of security returns and prices through experience. Each agent experiments with different strategies and, through a process of evolutionary selection, gravitates toward...

We examine corporate security choice by simulating an economy populated by adaptive agents who learn about the structure of security returns and prices through experience. Through a process of evolutionary selection, each agent gravitates toward strategies that generate the highest payoffs....

This paper examines market-specific contributions to price discovery in sequential markets, where changes in the efficient price are embedded in the sequential price changes across markets defined by time zones. We propose a structural VAR model to identify market-specific shocks to the...

In this paper, we study leveraged ETFs, in particular, Ultra ETFs and UltraShort ETFs from the ProShares family. These Ultra (UltraShort) ETFs are designed to provide twice (twice the opposite) of the performance of the benchmark on a daily basis. We focus on the relation between long term...

This paper examines block transactions in Chinese equity market. We find that most of the block transactions are traded at prices at or below the closing price of the regular continuous auction market, and more than half are traded at or below the lowest price of the day. While the block...

This paper explores how foreign ownership and participation affect the volatility dynamics of individual stocks in Indonesia. After controlling for size and turnover, we show that stocks with high foreign holdings have greater volatility persistence and lead other stocks in the daily volatility...

This study documents a negative relationship between foreign ownership and future volatility of Indonesian stocks. This calming effect of foreign ownership is present before, during, and after the Asian financial crisis. It is independent of gross and net foreign trading and the stock's...

This paper explores the presence and characteristics of the asymmetric return-volatility relationship (i.e. asymmetric volatility) in bilateral exchange rates and trade weighted indices (TWI). We find evidence of asymmetric volatility in daily realized volatilities of AUD, GBP, and JPY against...

This study shows that the information content of FX transactions depends on the identity of market participants. Using spot FX transactions of a major Australian bank, we find that central banks have the greatest price impact, followed by non-bank financial institutions (NBFIs) such as hedge...

This paper documents a strong contemporaneous relationship between foreign equity trading and market volatility in Indonesia and Thailand. Although foreign selling accounts for only a small portion of daily trading, it has the highest explanatory power for market volatility in both countries....