Purpose: The purpose of this paper is to examine the hypothesis of feedback trading along with the short-term return dynamics of three size-based stock portfolios of Athens Stock Exchange during the Greek debt crisis period. Design/methodology/approach: To this end, the authors employ for the...

Purpose: Motivated by recent evidence that securitized real estate returns exhibit higher levels of predictability than stock market returns and that feedback trading (FT) can induce returns autocorrelation and market volatility, the purpose of this study is to examine the impact of FT...

This study examines a combination of comovement and integration effects on volatility of home cross-listed equities in three Germanic markets (Frankfurt, Zurich and Vienna). Specifically, we investigate the impact of lagged stock prices and lagged futures contracts on asymmetric (bad and good...