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Why is equity order flow so persistent?
Tóth, Bence; Palit, Imon; Lillo, Fabrizio; Farmer, J. Doyne - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 218-239
autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding … which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage … persistence of order flow is overwhelmingly due to splitting rather than herding. We also study the properties of brokerage order …
Persistent link: https://www.econbiz.de/10011190682
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STOCK CHARACTERISTICS HERDED BY FOREIGN INVESTORS WITH HIGHER ABNORMAL RETURNS IN THE TAIWAN STOCK MARKET
FANG, Hao; Lu, Yang-Cheng; Yau, Hwey-Yun; Lee, Yen-Hsien - In: Journal for Economic Forecasting (2013) 4, pp. 232-245
This paper analyses the types of stocks herded by foreign institutional investors (FIIs) with higher positive abnormal returns in the emerging stock markets. Using a panel smooth transition regression (PSTR) model, we demonstrate that the positive price impact of the herd buying patterns of FIIs...
Persistent link: https://www.econbiz.de/10010734661
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Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt
Oehler, Andreas; Häcker, Mirko - University of Bamberg, Chair of Finance - 2003
26 Aktien des Deutschen Aktienindex DAX mit 71% Marktkapitalisierung und 84% Anteil am Gesamtumsatz werden über 249 Handelstage des Jahres 1997 auf den Kurseinfluss der Transaktionsgröße hin analysiert. Der verwendete Satz hochfrequenter Transaktionsdaten erlaubt in dieser Form erstmals für...
Persistent link: https://www.econbiz.de/10009211012
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Central bank reserves and interbank market liquidity in the euro area
Beaupain, Renaud; Durré, Alain - In: Journal of Financial Intermediation 22 (2013) 2, pp. 259-284
The market-oriented approach promoted by the European Central Bank in the design of its refinancing operations creates incentives to credit institutions to use actively the interbank market to manage their liquidity needs. In this context, we examine the ability of the overnight segment to...
Persistent link: https://www.econbiz.de/10010636413
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Trading Takes Time
Peng, Liang - School of Management, Yale University - 2001
A standard assumption of market microstructure models is that traders process the information content of past trading activities instantly. In a more realistic setting, they need time to do so and market makers are aware of that. Therefore, clustering trades with shorter duration (waiting time...
Persistent link: https://www.econbiz.de/10005587028
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Nonlinear liquidity adjustments in the euro area overnight money market
Beaupain, Renaud; Durré, Alain - European Central Bank - 2012
The market-oriented approach promoted by the European Central Bank in the design of its refinancing operations creates incentives to credit insitutions to use actively the interbank market to manage their liquidity needs. In this context, we examine the ability of the overnight segment to...
Persistent link: https://www.econbiz.de/10010686861
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The price impact asymmetry of institutional trading in the Chinese stock market
Ren, Fei; Zhong, Li-Xin - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 8, pp. 2667-2677
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in the Chinese stock market in 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the...
Persistent link: https://www.econbiz.de/10010591213
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STOCK DATA, TRADE DURATIONS, AND LIMIT ORDER BOOK INFORMATION
Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006
This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. Paper [3] focus on the information content in the limit order book concerning future price...
Persistent link: https://www.econbiz.de/10005651956
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Reciprocal social influence on investment decisions: behavioral evidence from a group of mutual fund managers
König, Frederik - In: Financial Markets and Portfolio Management 28 (2014) 3, pp. 233-262
,000 mutual fund managers who invested in companies in the DAX30. Using a robust estimation procedure, I provide empirical …
Persistent link: https://www.econbiz.de/10010987755
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Information and ambiguity: herd and contrarian behaviour in financial markets
Ford, J.; Kelsey, D.; Pang, W. - In: Theory and Decision 75 (2013) 1, pp. 1-15
The paper studies the impact of informational ambiguity on behalf of informed traders on history-dependent price behaviour in a model of sequential trading in financial markets. Following Chateauneuf et al. (J Econ Theory 137:538–567, <CitationRef CitationID="CR6">2008</CitationRef>), we use neo-additive capacities to model ambiguity....</citationref>
Persistent link: https://www.econbiz.de/10010988761