Narrow search
Showing 1 - 10 of 153
Cover Image
Volatility, trading volume and open interest in futures markets
Floros, Christos; Salvador, Enrique - In: International Journal of Managerial Finance 12 (2016) 5, pp. 629-653
Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures … employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors … consider a regression framework to examine the contemporaneous relationships between volatility, trading volume and open …
Persistent link: https://www.econbiz.de/10014785499
Cover Image
Hospitality REITs and financial crisis: a comprehensive assessment of market quality
Jain, Pawan; Robinson, Spenser J.; Singh, Arjun J.; … - In: Journal of Property Investment & Finance 35 (2017) 3, pp. 277-289
trading strategies based on the underlying liquidity and volatility of hospitality REITs as compared traditional REITs and the … volatility. Originality/value This study fills the gap in the literature relative to microstructure studies and provides …
Persistent link: https://www.econbiz.de/10014898967
Cover Image
Market quality and structural changes in the trading system
Agudelo, Diego A.; Gutiérrez Daza, Ángelo; Múnera … - In: Academia Revista Latinoamericana de Administración 27 (2014) 3, pp. 324-340
market quality variables, such as liquidity (bid‐ask spread and price impact), daily and intraday volatility and trading … reduced the volatility of the overall market, especially of the most liquid stocks. Practical implications These results …
Persistent link: https://www.econbiz.de/10014677051
Cover Image
Value‐at‐risk adjusted to the specificities of emerging markets
Snoussi, Wafa; El‐Aroui, Mhamed‐Ali - In: International Journal of Emerging Markets 7 (2012) 1, pp. 86-100
asymmetric information, and high volatility affect the risk market. Previous researchers have concluded that the calculation …
Persistent link: https://www.econbiz.de/10014788223
Cover Image
Individual and institutional trading volume around firm-specific announcements
Mudalige, Priyantha; Kalev, Petko S; Duong, Huu Nhan - In: International Journal of Managerial Finance 12 (2016) 4, pp. 422-444
Purpose – The purpose of this paper is to investigate the immediate impact of firm-specific announcements on the trading volume of individual and institutional investors on the Australian Securities Exchange (ASX), during a period when the market becomes fragmented. Design/methodology/approach...
Persistent link: https://www.econbiz.de/10014785394
Cover Image
Market reactions to corporate name changes: evidence from the Toronto Stock Exchange
Biktimirov, Ernest N.; Durrani, Farooq - In: International Journal of Managerial Finance 13 (2017) 1, pp. 50-69
Purpose The purpose of this paper is to examine stock price and trading volume reactions to name changes of the Toronto Stock Exchange listed companies. Previous studies present conflicting evidence on reactions to corporate name changes in US and other capital markets....
Persistent link: https://www.econbiz.de/10014785619
Cover Image
Size, trading volume, and the profitability of technical trading
Chang, Yung-Ho; Jong, Chia-Ching; Wang, Sin-Chong - In: International Journal of Managerial Finance 13 (2017) 4, pp. 475-494
Purpose The purpose of this paper is to evaluate the profitability of technical trading relative to buy-and-hold (BH) strategy at firm level, controlling for firm size and trading volume. Design/methodology/approach This paper applies variable-length moving averages (VMAs) thoroughly to each and...
Persistent link: https://www.econbiz.de/10014785650
Cover Image
Cause and effect between FII trading behaviour and stock market returns
Chandra, Abhijeet - In: Journal of Indian Business Research 4 (2012) 4, pp. 286-300
Purpose – The purpose of this paper is to examine the direction of causality between foreign institutional investment (FII) trading volume and stock market returns in the Indian context. There is evidence of uni‐directional causalities from stock returns to FII flows across various sample...
Persistent link: https://www.econbiz.de/10014874954
Cover Image
Changes in information environment and merger announcements
Balasubramnian, Bhanu; Fuller, Kathleen; Steigner, Tanja - In: American Journal of Business 31 (2016) 3, pp. 123-145
Purpose The purpose of this paper is to examine the impact of regulatory changes by the US Securities and Exchange Commission in 2000 on private information leakage prior to merger announcements. Design/methodology/approach Using a sample of 5,045 merger announcements between 1990 and 2008, the...
Persistent link: https://www.econbiz.de/10014668451
Cover Image
Stock Market Reactions and Capital Gains Tax: Evidence from the 1985 Canadian Lifetime Capital Gains Exemption
Lin, Horn‐Chern; Zeng, Tao - In: Review of Accounting and Finance 4 (2005) 2, pp. 149-164
This paper provides evidence suggesting capital gains tax affects stock returns and trading volume. The Canadian federal government budget of May 23, 1985 provided individual taxpayers with a cumulative tax exemption for capital gains, up to a lifetime limit of $500,000. The empirical results,...
Persistent link: https://www.econbiz.de/10014989739