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How the Last Call Auction of Underlying Stock Market Affects the Price Behaviors of Continuous Trading Index Futures
Chen, Ming-Hsien - 2013
By using the equality test and panel regression, we study the effects of around the last five minutes call auction of underlying stock market on price behaviors of continuous trading TAIFEX index futures. First, continuous trading enables a better reaction to new information and improved risk...
Persistent link: https://www.econbiz.de/10013076850
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Testing for stock market contagion : a quantile regression approach
Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...
Persistent link: https://www.econbiz.de/10010504111
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The GCC's regional roller coaster : do regional factors affect stock market dynamics in the GCC Region? : evidence from non-parametric quantile regression
Essayem, Amal; Gormus, Sakir; Guven, Murat - In: Borsa Istanbul Review 23 (2023) 2, pp. 473-494
This paper investigates the impact of regional factors on Islamic and conventional stock returns in the member countries of the Gulf Cooperation Council (GCC) from April 2011 to April 2021. This paper employs the quantile regression method to determine the effect of regional factors on GCC...
Persistent link: https://www.econbiz.de/10014307789
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Call auctions with contingent orders
Hafalir, Isa; Imisiker, Serkan - In: Games 13 (2022) 5, pp. 1-8
We introduce a new mechanism for call auctions which are widely used in stock exchanges. Our unique design incorporates … higher liquidity during the call auctions is achieved, as well as lower volatility after the call auctions. Moreover, we show … that current call auctions and the proposed mechanism have similar incentive properties. Hence, we argue that the proposed …
Persistent link: https://www.econbiz.de/10013368211
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Investor sentiment and herding behavior in the Korean stock market
Choi, Ki-hong; Yoon, Seong-min - In: International Journal of Financial Studies : open … 8 (2020) 2/34, pp. 1-14
This paper investigates herding behavior and the connection between herding behavior and investor sentiment. We apply a Cross-Sectional Absolute Deviation (CSAD) approach and the quantile regression method to capture herding behavior in the KOSPI and KOSDAQ stock markets. The analysis results...
Persistent link: https://www.econbiz.de/10012239465
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Price Dynamics on a Stock Market with Asymmetric Information
De Meyer, Bernard - 2007
The appearance of a Brownian term in the price dynamics on a stock market was interpreted in [De Meyer, Moussa-Saley (2003)] as a consequence of the informational asymmetries between agents. To take benefit of their private information without revealing it to fast, the informed agents have to...
Persistent link: https://www.econbiz.de/10014052529
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Learning by Bidding : Evidence from a Large-Scale Natural Experiment
Hanousek, Jan; Kočenda, Evžen - 2005
Learning is a subject of intense research in experimental economics. We contribute to this debate by presenting persuasive evidence that learning took place among uninformed heterogeneous agents on a quasi-stock market during a large-scale natural experiment that by size, incentives, and...
Persistent link: https://www.econbiz.de/10014061314
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Low-latency trading and price discovery : evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2016
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on...
Persistent link: https://www.econbiz.de/10011535566
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Call Auction Volatility Extensions
Félez-Viñas, Ester - 2017
Volatility extensions in closing auctions are designed to improve the efficiency of the closing price. We hypothesize …
Persistent link: https://www.econbiz.de/10012944462
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Does the Pre-Open Auction Market Improve Efficiency of Price Discovery in Stock Markets? Evidence from India
Sharma, Gagan Deep - 2015
The paper analyzed the impact of opening call auction on the efficiency of price discovery at the National Stock Exchange (NSE), India by studying the returns and volatility behavior of one benchmark index (NSE's Nifty) and 10 Nifty component companies selected on random. The paper used the...
Persistent link: https://www.econbiz.de/10013011994