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Strategic trading with uncertain market depth

Lou, Youcheng; Park, Junghum - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339322

Verifiable content in social media stock-analysis articles : the long and short of it

Chen, Lei; Chen, Shuping; Gao, Tian; Zhao, Wuyang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015395081

Dynamics of foreign exchange futures trading volumes in Thailand

Woradee Jongadsayakul - 2024

Following the introduction of EUR/USD futures and USD/JPY futures on 31 October 2022, Thailand Futures Exchange first entered the top 11 list of derivatives exchanges based on foreign exchange derivative volumes in 2022. This paper investigates the dynamics of foreign exchange futures trading...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066375

Media tone and trading activity on the Sydney Stock Exchange 1901-1950

Fleming, Grant A.; Liu, Zhangxin; Merrett, David; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015154748

Earnings quality and trading volume reactions around earnings announcements : international evidence

Chen, Jeff Zeyun; Choy, Siu Kai; Lobo, Gerald J.; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358616

Intraday price pressure and order flow around U.S. Treasury auctions

Fleming, Michael J.; Liu, Weiling; Nguyen, Giang H. - 2026

Using 33 years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auction and reverse afterward. This pressure strengthens when dealers face tighter risk-bearing constraints and weakens when investor demand is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618080

Greener but thinner? : assessing green bond market liquidity

Dulak, Thomas; Wolff, Guntram B. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614426

Enhancing intraday momentum prediction : the role of volume-based information uncertainty in the Chinese stock market

Yang, Decheng; He, Qiang - 2026

This study introduces a novel intraday volume-based uncertainty (IVU) proxy-the ratio of opening-half-hour volume to total volume of the preceding seven intervals-to predict final half-hour return direction in the Chinese stock market. Using threshold regression, we identify a statistically...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643229

Stock liquidity and share returns : evidence from mining companies listed on Johannesburg Stock Exchange

Moyana, Simbarashe; Magwedere, Margaret Rutendo; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665420

Volume dynamics around FOMC announcements

Zhu, Xingyu - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014249608

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Volume dynamics around FOMC announcements

Zhu, Xingyu - 2021

Book / Working Paper

Volume Dynamics around FOMC Announcements

Zhu, Xingyu - 2021

Book / Working Paper

Speculative ratios and returns volatility in the South African white maize futures market

Sayed, Ayesha; Auret, C. - 2023

This paper examines the relationship between trading activity and returns volatility in white maize futures listed on the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns volatility is estimated using a GARCH (1,1) model. Trading...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500465

MiFID II and the unbundling of analyst research from trading execution

Lourie, Ben; Shanthikumar, Devin; Yoo, Il Sun - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014442838

Volatility, volume, and FX policy uncertainty : evidence from Seoul and Shanghai Chinese-Korean direct exchange rate market

Nam, Soojoong; Lu, Guimin; Moon, Ji Young - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015211609

Index futures mispricing: A global phenomenon? A comparative analysis of market dynamics

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015635944

Large orders in small markets : execution with endogenous liquidity supply

Capponi, Agostino; Menkveld, Albert J.; Zhang, Hongzhong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357640

Dynamic impact of foreign exchange trading volume on foreign exchange volatility

Kang, Jong Woo; Cabaero, Carlos - 2025

Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange rate volatility using hourly high-frequency data. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194391

Examining Chinese volume-volatility nexus : a regime-switching perspective

Wang, Zhenxin; Wang, Shaoping; Yan, Yayi; Xia, Yingcun - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195150

Liquidity and price informativeness of options : evidence from extended trading hours

Mu, Liangyi; Gozluklu, Arie E. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015465745

Cryptocurrency market dynamics : copula analysis of return and volume tails

De Luca, Giovanni; Montanino, Andrea - 2025

This paper investigates the dependence structure between returns and trading volumes for five major cryptocurrencies: Bitcoin, Cardano, Ethereum, Litecoin, and Ripple. Using a copula-based framework, we focus on a mixture of the Joe copula and its 90-degree rotation to capture asymmetric...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467387

Why do investors trade more following high returns?

Chuang, Wen-I; Lee, Yun-Huan; Lee, Hsiu-chuan; Susmel, Rauli - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015470298

Securities lending and trading by active and passive funds

Honkanen, Pekka - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451332

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Securities lending and trading by active and passive funds

Honkanen, Pekka - 2020

Book / Working Paper

The relationship between market depth and liquidity fragility in the treasury market

Meldrum, Andrew; Sokolinskiy, Oleg - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406653

Trading costs v. indicative liquidity in the off-the-run treasury market

Sokolinskiy, Oleg - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438381

Explaining the causality between trading volume and stock returns : what drives its cross-quantile patterns?

Ge̜bka, Bartosz - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440246

The momentum life cycle re-examined : using incongruent value-growth to identify the momentum stage of stocks

Forner, Carlos - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440977

Index futures mispricing : a global phenomenon? ; a comparative analysis of market dynamics

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

This study investigates the mispricing dynamics of index futures across global markets using Vector Autoregressive (VAR) and Autoregressive with Exogenous Variables (ARX) models. Analyzing daily data from 2006 to 2023 for 16 index futures spanning the Asia-Pacific, Europe, and the Americas, the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015551350

News-based investor disagreement and stock returns

Li, Sophia Zhengzi; Luan, Zeyao - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015554034

The role of technical chart patterns in the early Bitcoin market : intraday evidence from the Mt.Gox transaction dataset

Rink, Kevin - 2025

We use transaction-level data from the Bitcoin exchange Mt.Gox, including over 1.4 million transactions from more than 45,000 traders, to investigate the role of technical chart patterns in the early Bitcoin market from April 2011 to September 2013. Employing a pattern recognition algorithm, we...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557843

Revisiting the trading activity of high-frequency trading firms around ultra-fast flash events

Desagre, Christophe; Laly, Floris; Petitjean, Mikael - 2025

We investigate high-frequency traders' behavior in the context of the fastest and most extreme price movements (EPMs) that can be observed in the market, specifically ultra-fast flash events, challenging the methodologies employed in the academic and practitioner literature for identifying...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557968

Volume-driven time-of-day effects in intraday volatility models

Martins, Igor Ferreira Batista; Virbickaitè, Audronè; … - 2025

We propose a high-frequency stochastic volatility model that integrates persistent component, intraday periodicity, and volume-driven time-of-day effects. By allowing intraday volatility patterns to respond to lagged trading activity, the model captures economically and statistically relevant...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015589788

The impact of ESG preferences on stock borrowing volumes and fees*

Görgen, Maximilian; Jacob, Stefan; Rohleder, Martin; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015583656

Does generative AI facilitate investor Trading? : early evidence from ChatGPT outages

Cheng, Qiang; Lin, Pengkai; Zhao, Yue - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651742

Benign granularity in asset markets

Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397706

The value of equal access to mandatory disclosure : evidence from the Great Postal Strike of 1970

Li, Bin; Venkatachalam, Mohan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015533897

Measuring the dynamics of the stock market's volume-price relationship : a new Hurst-based market-trend index

Li, Peizhi; Li, Wenhan; Yang, Mo; Zhao, Dongkai - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015443420

Trading volume and liquidity provision in cryptocurrency markets

Bianchi, Daniele; Babiak, Mykola; Dickerson, Alexander - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013473078

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Trading volume and liquidity provision in cryptocurrency markets

Bianchi, Daniele; Babiak, Mykola; Dickerson, Alexander - 2022

Book / Working Paper

Trading volume and liquidity provision in cryptocurrency markets

Bianchi, Daniele; Babiak, Mykola; Dickerson, Alexander - 2022

Book / Working Paper

The relationship between trading volume and market returns: A VAR/Granger causality testing approach in the context of Saudi Arabia

Alhussayen, Hanan - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015401765

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The relationship between trading volume and market returns : a VAR/Granger causality testing approach in the context of Saudi Arabia

Alhussayen, Hanan - 2022

Article

Essays on frictional financial markets

Somogyi, Fabricius - 2022

This dissertation consists of three essays that uncover the origins of market frictions and their implications for the functioning of the global foreign exchange (FX) market. The first research paper speaks to the hegemony of the US dollar in FX trading. Over 85% of all FX transactions involve...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013450805

The market reaction to corporate news in emerging markets : evidence from India

Bhattacharjee, Nayanjyoti; De, Anupam - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013503428

Speculative trading and bubbles : evidence from the art market

Pénasse, Julien; Renneboog, Luc - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013369239

Relationship between stock returns and trading volume at the Bourse Régionale des Valeurs Mobilières, West Africa

Gueyie, Jean-Pierre; Diallo, Mouhamadou Saliou; Diallo, … - 2022

The objective of this paper is to study the contemporaneous relationship and the dynamic relationship between the stock index return and the trading volume on the Bourse Régionale des Valeurs Mobilières using daily data from 5 January 2015 to 31 October 2022. Estimations are made using the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013465333

The role of binance in bitcoin volatility transmission

Alexander, Carol; Heck, Daniel F.; Kaeck, Andreas - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013554065

Expiration-day effects of index futures in a frontier market : the case of Ho Chi Minh Stock Exchange

Nguyen Thi Kim Anh; Loc Dong Truong; Friday, H. S. - 2022

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily return series of the VN30-Index for the period...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012804832

Realized Illiquidity

Lacava, Demetrio; Ranaldo, Angelo; Santucci de … - 2022

We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact measure proposed by Amihud (2002). In our model,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014238265

The relationship between managers' disclosure tone and the trading volume of investors

Pouryousof, Azam; Nassirzadeh, Farzaneh; Hesarzadeh, Reza; … - 2022

The present research investigates the relationship between managers’ disclosure tone and the trading volume of small and large investors separately. The inconsistency of disclosure tone and abnormal trading volume generally indicates information asymmetry between managers and investors....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014284083

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The Relationship between Managers’ Disclosure Tone and the Trading Volume of Investors

Pouryousof, Azam; Nassir Zadeh, Farzaneh; Hesarzadeh, Reza - 2022

Book / Working Paper

Trading activities and the volatility of return on Malaysian crude palm oil futures

Yeap, Xiu Wei; Hooi Hooi Lean - 2022

Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH model is applied by adding the expected and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012814162

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Trading activities and the volatility of return on Malaysian crude palm oil futures

Yeap, Xiu Wei - 2022

Article

Dollar dominance in FX trading

Somogyi, Fabricius - 2022 - This version: 1 February 2022

Over 85% of all foreign exchange (FX) transactions involve the US dollar. I show that the US dollar dominates FX trading volume because of strategic avoidance of price impact. To demonstrate this, I leverage the fact that non-dollar currency pairs can be traded indirectly by using the US dollar...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012815985

Sectoral herding behaviour in the Indian financial market

Madaan, Veena; Shrivastava, Monica - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012887569

Forecasting spatially correlated targets : simultaneous prediction of housing market activity across multiple areas

Lee, Changro - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013415671

High-frequency CSI300 futures trading volume predicting through the neural network

Xu, Xiaojie; Zhang, Yun - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557541