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Market efficiency and news dynamics : evidence from international equity markets

Chiang, Thomas C. - In: Economies : open access journal 7 (2019) 1/7, pp. 1-17

This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the...

Persistent link: https://www.econbiz.de/10012020659

The random walk of high frequency trading

Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015 - This draft: June 1, 2015

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns …-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news … events, trade-time returns of the near-month E-mini S&P 500 futures contract are well characterized by a Gaussian …

Persistent link: https://www.econbiz.de/10010392091

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Persistent link: https://www.econbiz.de/10012703265

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Persistent link: https://www.econbiz.de/10012172721

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...

Persistent link: https://www.econbiz.de/10012037341

An application of equation switching regression to event studies : a reexamination of the market reaction to proposition 103

Hogan, Arthur M. B. - In: Journal of insurance regulation 14 (1995) 2, pp. 188-202

Persistent link: https://www.econbiz.de/10001394432

The Monday merger effect

Branch, Ben Shirley; Jung, Jay; Yang, Taewon - In: International review of financial analysis 10 (2001) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10001573043

Market breadth and the Monday seasonal in stock returns

Sullivan, Joe H.; Liano, Kartono - In: Quarterly journal of business and economics : QJBE 42 (2003) 3/4, pp. 65-72

Persistent link: https://www.econbiz.de/10002416763

Intraday stock price effects of ad hoc disclosures : the German case

Muntermann, Jan (contributor); Güttler, André (contributor) - 2005

This paper examines intraday stock price effects and trading activity caused by ad hoc disclosures in Germany. The evidence suggests that the observed stock prices react within 90 minutes after the ad hoc disclosures. Trading volumes take even longer to adjust. We find no evidence for abnormal...

Persistent link: https://www.econbiz.de/10002579429

Anomalies and News

Engelberg, Joseph - 2017

Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and are 6 times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing via biased expectations, and data mining. We develop and conduct...

Persistent link: https://www.econbiz.de/10012971410