We test the impact of stock split rule changes on liquidity behavior in Bursa Malaysia during 2004-2020. Using event study methodology, this study examines stock liquidity on and around stock split days through three subperiods of study, including the first (2004-2006), second (2007-2009), and...

We estimate how an acquiring firm's risk changes depending on whether the market initially judges the acquisition to be neutral, strongly negative, or strongly positive for the shareholders of the acquiring firm. We found that for an average neutral acquisition, the annualized standard deviation...

The purpose of this paper is to approach the way investors perceive the risk associated with unexpected environmental disasters. For that reason, we examine certain types of natural and technological disasters, also known as “na-tech”. Based on the existing relevant literature and historical...

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...

For this research, we implemented a trading system based on the Turtle rules and examined its efficiency when trading selected assets from the Forex, Metals, Commodities, Energy and Cryptocurrency Markets using historical data. Afterwards, we enhanced our Turtle-based trading system with...

It is an open secret that most investment funds actually underperform the market. Yet, millions of individual investors fare even worse, barely treading water. Algorithmic trading is now so common, it accounts for over 80% of all trades and is the domain of professionals. Can it also help the...

Unbeknownst to the public, most investment funds actually underperform the broader market. Yet, millions of individual investors fare even worse, barely treading water. Algorithmic trading now accounts for over 80% of all trades and is the domain of professionals. Can it also help the small...

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...

We examine the soundness of high-frequency trading (HFT) proxies that are widely defined on the limit order book (LOB) information. We use a unique TRTH (Thomson Reuters Tick History) millisecond time-stamped intraday trades and quotes dataset enriched with 10 levels of LOB depth messages for...

Existing research shows that members of Congress made informed trades prior to the passage of the STOCK Act of 2012. There is also evidence in the literature to suggest that the STOCK Act was able to deter politicians from trading based on non-public information. However, the question of whether...