Showing 1 - 6 of 6
We explore in this paper how trading noise, when considered as a market friction, reacts to trading activity. Transactions cost is a good explanation for intraday trading behavior in the market according to our data. Particularly, we show that in general trading brings friction to market....
Persistent link: https://www.econbiz.de/10009654205
Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price adjustment across markets. Our analysis helps...
Persistent link: https://www.econbiz.de/10009654214
We analyze in this study investor trading behavior based not on information related assumptions but on the search model of Vayanos and Wang (2007). Our study shows that search cost dictates trading polarization across investors, firm size and time of day. We find that individual investors prefer...
Persistent link: https://www.econbiz.de/10009654221
In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work better in periods longer than six months, a result different from findings in past literature. Compared with standard parametric tests, the statistical arbitrage method...
Persistent link: https://www.econbiz.de/10009654225
We analyze in this study what could have caused herding in the stock market. Information cascades have often been considered as a major cause. However, we present in this study evidences inconsistent with that hypothesis. Our analysis is in support of an alternative theory based on search cost...
Persistent link: https://www.econbiz.de/10008592948
We attempt to identify in this paper the role of trading noise as a transactions cost to market participant in the sense of Stoll (2000), especially in the presence of trading concentration. Applying the measures of Hu (2006) and Kang and Yeo (2008), we analyze the noise proportion in intraday...
Persistent link: https://www.econbiz.de/10008839491