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...

This paper analyzes how newly introduced transparency requirements for short positions affect investors' behavior and security prices. Employing a unique data set, which contains both public positions above and confidential positions below the regulatory disclosure threshold, we offer several...

In this study, we examine the efficiency of the US stock markets during the COVID-19 outbreak using a fundamental financial analysis approach, the constant growth model and a behavioral model including a Google-based Index. We juxtapose the released news and the performance of the US stock...

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was...

We examine underlying factors that explain an exceptionally low stock market participation rate among Lithuanian households by carrying out a comprehensive survey of mass affluent individuals. The probit regression analysis of the survey results indicates that lack of financial literacy, low...

Using a large sample of firms listed on the Korea Stock Exchange over the 1992-2002 period, this paper investigates a hitherto unexplored question of whether and how trading by foreign and domestic institutional investors improves the extent to which firm-specific information is incorporated...

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...

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...

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...