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Can institutional investors restrain stock market manipulation?--empirical evidence from an emerging market
Liu, Jie; Wu, Chonglin; Yuan, Lin - 2020
This paper analyzes the relationship between the proportion of institutional investors' shareholding and the probability of stock manipulation using 252 cases of manipulation disclosed in public administrative penalty decision of the China Securities Regulatory Commission (CSRC) from 2007 to...
Persistent link: https://www.econbiz.de/10012832516
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Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk
Grobys, Klaus - 2017
This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases,...
Persistent link: https://www.econbiz.de/10012964844
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Excess Returns to Buying Low Options-Volume Stocks and Selling High Options-Volume Stocks : Information or Characteristics?
Cai, Li - 2018
, illiquidity, and idiosyncratic volatility …
Persistent link: https://www.econbiz.de/10012914633
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A technical approach to equity investing in South Africa : a tale of two indexes
Metghalchi, Massoud; Kagochi, John; Hayes, Linda - In: Cogent economics & finance 9 (2021) 1, pp. 1-20
This research uses Simple Moving Averages and four other well-known indicators to investigate the usefulness of the Technical Analysis approach to the Johannesburg stock exchange (JSE) in South Africa. Technical indicators are applied to two JSE indexes representing large cap and small cap...
Persistent link: https://www.econbiz.de/10013183749
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High Frequency Market Making to Large Institutional Trades
Korajczyk, Robert A. - 2019
We study market-making high-frequency trader (HFT) dynamics around large institutional trades in Canadian equities markets using order-level data with masked trader identification. Following a regulatory change that negatively affected HFT order activity, we find that bid-ask spreads increased...
Persistent link: https://www.econbiz.de/10012904436
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Does a search attention index explain portfolio returns in India?
Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239
, high volatility, and high sensitivity. Interestingly, the study documents that in the Indian market investor attention is …
Persistent link: https://www.econbiz.de/10013183936
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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …
Persistent link: https://www.econbiz.de/10012138660
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The Impact of Stock Market Volatility Expectations on Investor Behavior : Evidence From Aggregate Mutual Fund Flows
Ederington, Louis H. - 2011
market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …
Persistent link: https://www.econbiz.de/10013128717
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Institutional investors and equity prices : information, behavioral bias and arbitrage
Han, Bing; Kong, Dongmin - 2017
This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...
Persistent link: https://www.econbiz.de/10011646414
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Risk-Managed Industry Momentum and Momentum Crashes
Grobys, Klaus - 2017
benefits of risk management are robust across volatility estimators, momentum strategies and subsamples. Finally, the “echo …
Persistent link: https://www.econbiz.de/10012968047