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...

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...

The article extends the empirical literature on overconfidence bias in G7 stock markets during pre- and post-COVID-19 and provides additional evidence. Using vector autoregression and impulse response functions (IRFs), we analyze the overconfidence bias for the daily data from January 2015 to...

The performance of foreign investors relative to domestic investors has been a subject of mixed evidence. While foreign investors are often perceived to underperform due to an information disadvantage, they are also known for their aggressive trading and superior performance in initiated orders....

This study systematically reviewed the literature on using the Google Search Volume Index (GSVI) as a proxy variable for investor attention and stock market movements. We analyzed 56 academic studies published between 2010 and 2021 using the Web of Sciences and ScienceDirect databases. The...

Purpose - For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction problem based on the CSI300 nearby futures by using high-frequency data recorded each minute from the launch...

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...

Since market uncertainty, or volatility, serves as a crucial gauge for assessing the traits of market fluctuations, the link between stock market volume and price continues to be a focal point of interest in finance. This study examines the dynamic, nonlinear correlations between Chinese stock...

The dynamic relationship between stock returns and trading volumes is examined during normal and crisis periods by a combining the Bai-Perron structural break test with Granger Causality test. The daily price and volume data of 4 important indices and Nifty Fifty index based companies listed on...

The extended trading close (ETC) provides institutional investors an opportunity to trade at the closing price after the regular trading session (RTS) and disclosing the order imbalances to other market participants. ETCs exist in the Nasdaq, the SSE STAR, the SZSE ChiNext and the TWSE. To help...

This study examines the market efciency in the prices and volumes of transactions of 41 cryptocurrencies. Specifcally, the correlation dimension (CD), Lyapunov Exponent (LE), and approximate entropy (AE) were estimated before and during the COVID-19 pandemic. Then, we applied Student's t-test...

In this study, we investigate what drives the MAX effect in the South Korean stock market. We find that the MAX effect is significant only for overpriced stocks categorized by the composite mispricing index. Our results suggest that investors' demand for the lottery and the arbitrage risk effect...

We empirically advocate for UK regulators to increase the volume limit of 15% outstanding shares on open market repurchases. Our main framework initially tests the determinants of share repurchases based on their size, Small, Medium and Large. The findings reveal that consistent with extant...

Background Traditional asset pricing models face challenges from financial anomalies, prompting exploration through behavioural finance theory. This study analyses the nuanced relationship between individual investor sentiment and key stock market variables. Objectives To assess the impact of...

This study investigates and compares the effects of the Coronavirus Disease 2019 (COVID-19) pandemic, the Chicago Mercantile Exchange (CME)'s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures prices....

With the still presence of underreaction to earnings announcements, the Taiwan stock market provides an ideal setting to examine the market response to the announced earnings news. This paper extends the rationale of investors’ differential sophistication and attention allocation by estimating...

We investigate the role of retail traders in comovement in return and liquidity. We use the Robinhood data to compute a proxy of retail trading activity. Our results show that retail trading activity is associated with a decrease in both comovements in return and liquidity. The effects on...

We estimate monetary policy surprises (sentiment) from the perspective of three different textual sources: direct central bank communication (FOMC statements and press conferences), news articles, and Twitter posts during FOMC announcement days. Textual sentiment across sources is highly...

We consider two major venues that exchange BTC-ETH on the blockchain, namely the Uniswap v3 WBTC-WETH liquidity pools with proportional transaction costs of 5 and 30 basis points respectively. A multivariate linear regression model with quadratic terms is introduced to predict the logarithm of...

This study examines the asymmetric effect of trading volume on realized volatility. The study introduces new realized volatility models to examine this effect: one model uses asymmetric trading volume variables based on intraday returns, and the other uses asymmetric trading volume variables...

Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005-2013, we analyze the impact of trading hours extensions on volatility. During the sample...

Investors are looking for objects in which they invest their funds successfully, evaluating the effectiveness of alternative markets and their instruments. Historically, cash flow indicators most effectively reflected the mood of the masses in relation to any financial asset, both in the...

In this work, we present a rigorous development of a model for the Price-Volume relationship of transactions introduced in 2009. For this development, we rely on the precise formulation of diffusion auto-induced regime-switching models presented in our previous work of 2020. The auto-induced...