This paper uses the well known pre-holiday stock market anomaly to clarify the uses and limitations of the academic approach to testing for such anomalies with respect to the differing requirements of academics and investors. The approach is not designed to produce information suitable for...

SUMMARY Market structure and individual rationality remain at the centre of a debate as to which is the main driving force in market performance. We examine the role of individual rationality, comparing zero‐intelligence traders with traders with different levels of intelligence using a...

This study considers the risk and return of stocks following price innovations of all sizes on UK data. The results indicate that over a long period of time it has been possible to estimate, to some extent, the expected returns and the variance of returns on a given day from the return on the...

This article provides further insights into the properties of momentum trading strategies using information from the Australian market. Based on a methodology that avoids the look-ahead bias of many momentum studies that employ monthly data, we confirm the existence of a momentum effect in...

We developed profitable foreign exchange forecasts by applying a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm to five-minute high frequency data of six of the most traded currency pairs. We examined the out-of-sample performance of these...

In this paper we investigate how high frequency trading affects technical analysis and market efficiency in the foreign exchange (FX) market by using a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm. We use this approach for real one-minute high...

Investors have been shown to have particular preferences when it comes to the characteristics of stock they hold in their portfolios, while prior gains and losses have been shown to impact on individuals’ economic decisions, both in an investment context and more widely. This paper is the...

This paper empirically investigates the Adaptive Market Hypothesis (AMH) in three of the most established stock markets in the world; the US, UK and Japanese markets using very long run data. Daily data is divided into five-yearly subsamples and subjected to linear and nonlinear tests to...

The shift from defined benefit (DB) to defined contribution (DC) private pension arrangements coupled with the widespread reluctance to annuitize retirement savings is causing growing economic concern in developed countries. This study considers the impact of the salient decision point made...

This paper examines the price impact of block trades for all listed firms in the Saudi stock market (SSM) using high frequency data. We find an asymmetric price impact for block trades of 0.5% for block purchases and −0.38% for block sales. However, on average, the price effect of a block...