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Volume-herding interaction in the American market
BenSaïda, Ahmed; Jlassi, Mouna; Litimi, Houda - In: American Journal of Finance and Accounting 4 (2015) 1, pp. 50-69
This paper examines the existence of herding in the US market. We study the turnover effect on herding movement by modifying the Cross-Sectional Standard Deviation (CSSD) model and the Cross-Sectional Absolute Deviation (CSAD) model. Results are inconclusive about the presence of herding in the...
Persistent link: https://www.econbiz.de/10011207764
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Volatility transmission and herding contagion during the global financial crisis
Abbes, Mouna Boujelbène - In: International Journal of Managerial and Financial Accounting 5 (2013) 2, pp. 138-161
the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …
Persistent link: https://www.econbiz.de/10010754852
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Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International Journal of Trade and Global Markets 5 (2012) 3/4, pp. 171-194
The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …
Persistent link: https://www.econbiz.de/10010670368
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Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali - In: American Journal of Finance and Accounting 3 (2014) 2/3/4, pp. 172-184
market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility … spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted … more strongly than volatility declines. …
Persistent link: https://www.econbiz.de/10010816696
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Prospect Theory and market quality
Pasquariello, Paolo - In: Journal of Economic Theory 149 (2014) C, pp. 276-310
, nontrivial, state-dependent effects on equilibrium market liquidity, price volatility, trading volume, market efficiency, and …
Persistent link: https://www.econbiz.de/10010729551
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The structure of contemporaneous price-volume relationships in financial markets
Gurgul, Henryk; Syrek, Robert - In: Managerial Economics 14 (2013), pp. 39-60
The main goal of this paper is an examination of the interdependence stuctures of stock returns, volatility and trading … information arrival process with long memory. Correlation between volatility and trading volume is present for all the stocks of … extreme return-volume dependence structures. The empirical results reflect significant dependencies between high volatility …
Persistent link: https://www.econbiz.de/10010752345
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Trading volume and volatility in the shipping forward freight market
Alizadeh, Amir H. - In: Transportation Research Part E: Logistics and … 49 (2013) 1, pp. 250-265
This paper investigates the price volatility and trading volume relationship in the forward freight agreement (FFA … contemporaneous and positive relation between trading volume and volatility, which is in line with evidence from financial markets and … the Mixture of Distribution Hypothesis. However, increases in price volatility lead to lower future trading activities in …
Persistent link: https://www.econbiz.de/10010754999
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An evolutionary CAPM under heterogeneous beliefs
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai - In: Annals of Finance 9 (2013) 2, pp. 185-215
persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. Copyright Springer-Verlag Berlin Heidelberg 2013 …
Persistent link: https://www.econbiz.de/10010866548
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Dynamic return predictability in the Russian stock market
Kinnunen, Jyri - In: Emerging Markets Review 15 (2013) C, pp. 107-121
This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with information flow. In general, predictability of the...
Persistent link: https://www.econbiz.de/10010666220
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An Evolutionary CAPM Under Heterogeneous Beliefs
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai - Finance Discipline Group, Business School - 2012
persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. …
Persistent link: https://www.econbiz.de/10010643371