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Regulatory overkill? Short-sales ban in Korea

Kim, Jaemin; Kim, Joon-Seok; Yoo, Sean Sehyun - In: International Journal of Managerial Finance 12 (2016) 5, pp. 673-699

price discovery process of the stock market; and whether the ban had any impact on market liquidity. Design …. The authors also find evidence of a liquidity decrease for short-sale intensive stocks. However, the evidence is … inconclusive as to whether the market efficiency and liquidity changes are solely the result of the short-sales ban or the compound …

Persistent link: https://www.econbiz.de/10014785735

Speed of convergence to market efficiency in the ETFs market

Chung, Dennis Y.; Hrazdil, Karel - In: Managerial Finance 39 (2013) 5, pp. 457-475

Purpose – The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology developed by Chordia et al. Design/methodology/approach – The authors estimate the speed of convergence to...

Persistent link: https://www.econbiz.de/10014940298

Cross-sectional variation of market efficiency

Jiang, Jing - In: Review of Accounting and Finance 16 (2017) 1, pp. 67-85

(i.e. more efficient) for stocks with better liquidity provision, frequent trading, greater return volatility, higher … prices, larger market capitalizations and smaller trade sizes. These findings suggest that liquidity stimulates arbitrage …/implications Overall, these results indicate that liquidity provision, stock attributes and market structure exert a significant impact on …

Persistent link: https://www.econbiz.de/10014989795

Can Noise Traders Cause Persistent Deviations from Fundamental Values on the Stock Market? / Können Noise Trader langfristige Abweichungen der Aktienkurse von ihren Fundamentalwerten bewirken?

Binswanger, Mathias - In: Jahrbücher für Nationalökonomie und Statistik 219 (1999) 5-6, pp. 556-574

Summary Models which are built on the assumption of rational expectations can easily outline the conditions under which bubbles may exist but they remain silent on the factors that cause the price to deviate from the fundamental value. In this paper it is argued that dynamic extensions of the...

Persistent link: https://www.econbiz.de/10014608729

International Financial Reporting Standards and noise trading : Evidence from central and eastern European countries

Chau, Frankie; Dosmukhambetova, Galiya B.; … - In: Journal of Applied Accounting Research 14 (2013) 1, pp. 37-53

Purpose – The purpose of this paper is to examine whether the mandatory adoption of International Financial Reporting Standards (IFRS) has produced an impact on the level of noise trading and volatility dynamics in three major central and eastern European (CEE) markets....

Persistent link: https://www.econbiz.de/10014837823

Technical Trading Rules and the Size of the Risk Premium in Security Returns

Gencay, Ramazan; Stengos, Thanasis - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2

Among analysts, technical trading rules are widely used for forecasting security returns. Recent literature provides evidence that these rules may provide positive profits after accounting for transaction costs. This would be contrary to the theory of the efficient market hypothesis which states...

Persistent link: https://www.econbiz.de/10014620798

Efficiency in agricultural commodity futures markets in India : Evidence from cointegration and causality tests

Ali, Jabir; Bardhan Gupta, Kriti - In: Agricultural Finance Review 71 (2011) 2, pp. 162-178

Purpose – In line with the ongoing global and domestic reforms in agriculture and allied sectors, the Indian Government is reducing its direct market intervention and encouraging private participation based on market forces. This has led to increased exposure of agricultural produce to price...

Persistent link: https://www.econbiz.de/10014667120

The impact of the 2004 bank capital announcement on the Nigerian stock market

Ayodeji Olowe, Rufus - In: African Journal of Economic and Management Studies 2 (2011) 2, pp. 180-201

Purpose – This paper aims to investigate the impact of the introduction of the 2004 bank capital requirements on the quoted stock prices on the Nigerian stock market. Design/methodology/approach – Using monthly data over the period January 1986 to December 2006, residual analysis methodology...

Persistent link: https://www.econbiz.de/10014668493

Cricket and the capital market: Winning does not matter but losing hurts

Srinivasan, R. - In: Asian Review of Accounting 12 (2004) 2, pp. 94-107

There is increasing evidence of the inadequacy of ‘rational’ explanations of asset pricing. It has been established empirically that mood, induced by such natural phenomena as lunar phases or sunshine, affects asset prices. This paper provides evidence from one‐day cricket international...

Persistent link: https://www.econbiz.de/10014676300

Why investors use technical analysis? Information discovery versus herding behavior

Wang, Tiandu; Sun, Qian - In: China Finance Review International 5 (2015) 1, pp. 53-68

technical trading rules generate significant excess returns. Stocks with stronger information asymmetry and lower liquidity … lower liquidity experiences higher excess return, which support the Information Discovery Model that TA is a method of …

Persistent link: https://www.econbiz.de/10014694663