This paper examines the differences in volume, volatility and liquidity in the underlying market between intervals when futures trade and intervals when there is no futures trading using high frequency proprietary data. We find that although the bid-ask spreads decrease, this is not due to a...

Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options....

This paper explores the quadratic variation (QV) as an alternative measure to the bid-ask spread in limit order markets when observed at high resolution. Although the spread cannot be precisely estimated because of microstructure noise, the QV of the price series, consisting of the transaction...

The group of companies formed by Meta, Apple, Microsoft, Amazon and Alphabet have become a successful investment alternative in the U.S. stock market. In this context, the aim of this research is to provide investment strategies based on these companies to the challenge of how individual...

This study assesses the link between market efficiency proxies and the capacity of stock prices to anticipate a firm's future economic performance. The analysis, which covers firms from 31 countries in the period 1990.-2019, reveals a strong association between the average score of market...

This study examines whether ESG (environmental, social and governance) disclosure influences firm-specific crash risk. Our main research hypothesis postulates that further information disclosure about ESG activities and risks mitigates crash risk by virtue of lower opacity and information...

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

Investor sentiment is believed to play an increasingly significant role in business and economic activities. By analyzing data collected from a sample of listed nonfinancial firms in Pakistan for the period 2009-2018, we quantify investor behavior and how it affects market returns, cash flows,...

This paper identifies robust determinants of US stock price movements in the economic shadow of the COVID-19 crisis and in the presence of model uncertainty, using several influential factors highlighted in relevant research. Our investigation performs an extreme bounds analysis (EBA), a global...

This study investigates the role of currency order flow in explaining the emerging Asian markets' exchange rates relying on linear and nonlinear modeling. The daily currency order flow of the US dollar relative to the nine important Asian currencies is constituted and explored with the...