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Does trading anonymously enhance liquidity?
Dennis, Patrick; Sandås, Patrik - 2014
. We exploit this quasi{ natural experiment to investigate the impact this change had on liquidity and trading behavior …
Persistent link: https://www.econbiz.de/10010414866
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Investor Composition and Liquidity : An Analysis of Japanese Stocks
Jiang, Hao - 2014
liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign …
Persistent link: https://www.econbiz.de/10013065675
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The Effect of Liquidity on Herding : A Comparative Study
Galariotis, Emilios C. - 2016
This paper provides original evidence on the relation between herd behavior and equity market liquidity, an issue that … initially we find no evidence of herding. When, however, we condition on the daily liquidity of stocks we find significant … evidence of herd behavior for days with high or medium stock liquidity, for all countries and the majority of the sub …
Persistent link: https://www.econbiz.de/10013000714
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Financial Firm Bankruptcies, International Stock Markets and Investor Sentiment
Papakyriakou, Panayiotis - 2020
We consider bankruptcy announcements of large financial institutions in the US and examine their impact on an international sample of 66 stock market indices. Employing an event-study methodology, we find that stock markets exhibit strong adverse reaction in the aftermath of such announcements....
Persistent link: https://www.econbiz.de/10012851388
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Investor sentiment and stock returns : some international evidence
Schmeling, Maik (contributor) - 2008
We examine whether consumer confidence - as a proxy for individual investor sentiment - affects expected stock returns internationally in 18 industrialized countries. In line with recent evidence for the U.S., we find that sentiment negatively forecasts aggregate stock market returns on average...
Persistent link: https://www.econbiz.de/10003783994
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A simple agent-based financial market model : direct interactions and comparisons of trading profits
Westerhoff, Frank H. (contributor) - 2009
We develop an agent-based financial market model in which agents follow technical and fundamental trading rules to determine their speculative investment positions. A central feature of our model is that we consider direct interactions between speculators due to which they may decide to change...
Persistent link: https://www.econbiz.de/10003811632
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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009
We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...
Persistent link: https://www.econbiz.de/10003884519
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On the usefulness of the contrarian strategy across national stock markets : a grid bootstrap analysis
Kim, Hyeongwoo - In: Journal of empirical finance 16 (2009) 5, pp. 734-744
Persistent link: https://www.econbiz.de/10003900389
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Analysis of binary trading patterns in Xetra
Maurer, Kai-Oliver; Schäfer, Carsten - 2010
This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...
Persistent link: https://www.econbiz.de/10003980635
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Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation
Franke, Reiner; Westerhoff, Frank H. - 2011
The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market...
Persistent link: https://www.econbiz.de/10009424773