This study examines the dynamic interaction among institutional investment (FII and Mutual Funds) and the stock market returns for India in a three factor vector autoregression (VAR) framework. The data set used in this study are in daily frequency spanning from 1st Jan 2002 to 31st July 2012...

This study investigates whether institutional investors increase or decrease the volatility of stock returns in the Thai stock market. For the purpose we used the data from SETSMART, a database provided by the Stock Exchange of Thailand (SET). Our sample is a balanced panel data covering 3,160...

We study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and...

Liquidity is an important feature for any domestic bond market, being associated with a well organized market. A liquid secondary government bond market must be of interest for any frontier economy policy-makers given the important benefits. The present paper is the first to investigate the...

This study tests a large sample of UK equity returns from 1965-2007 for predictability. Returns are tested using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio tests. Overall, the results show strong signs of predictability. There is a...

The quantification of risk and dependence are major components of financial risk modelling. Financial risk modelling frequenty uses the assumption of a normal distribution when considereing the return series which makes modelling easy but is inefficient if the data is not normally distributed or...

Security Transaction Tax (STT) was introduced in the Indian capital market in 2004. It is a tax on transaction of equities as well as their derivatives. Despite the reduction in STT over the years, it constitutes a large percentage (next only to brokerage fee) of the total cost of trading. The...

In this paper we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the...

We develop a new measure for the probability of informed trading, called PCP. Using double-sorted portfolios, we find that excess returns increase from low to high PCP portfolios. In regression analysis, the effect of PCP on returns is significantly positive after controlling for illiquidity...

Besides the positively biased rating structure and procyclical nature of analysts' stock recommendations we observe that within the global universe stock recommendations and stock performance are largely uncorrelated. Nevertheless, investors are able to benefit from sell side stock...