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Trade clustering and power laws in financial markets
Nirei, Makoto; Stachurski, John; Watanabe, Tsutomu - In: Theoretical economics : TE ; an open access journal in … 15 (2020) 4, pp. 1365-1398
This study provides an explanation for the emergence of power laws in asset trading volume and returns. We consider a two-state model with binary actions, where traders infer other traders' private signals regarding the value of an asset from their actions and adjust their own behavior...
Persistent link: https://www.econbiz.de/10012415412
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The effects of extreme weather conditions on Hong Kong and Shenzhen stock market returns
Jiang, Zhuhua; Kang, Sang Hoon; Cheong, Chongcheul; … - In: International Journal of Financial Studies : open … 7 (2019) 4/70, pp. 1-14
We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard deviation. Our study provides two interesting...
Persistent link: https://www.econbiz.de/10012150344
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The impact of investor sentiment on direction of stock price changes : evidence from the Polish stock market
Polak, Kamil - In: Journal of banking and financial economics 2 (2021) 16, pp. 72-90
The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...
Persistent link: https://www.econbiz.de/10012887921
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The Impact of Financial Times Deutschland News on Stock Prices – Post Announcement Drifts and Inattention of Investors
Kerl, Alexander Gabriel - 2014
Within this paper, we analyze the impact of Financial Times Deutschland (FTD) news on stock prices and trading volumes. Based on a sample of all news on German DAX, MDAX and SDAX companies published within the news section of the FTD between 2006 and 2010, our results show that articles that...
Persistent link: https://www.econbiz.de/10013064807
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Do Indian investors also follow the pied piper? : a case for pre- and post-financial crisis
Rani, Neelam; Asija, Aman - In: International journal of behavioural accounting and … 5 (2015) 3/4, pp. 334-345
Persistent link: https://www.econbiz.de/10011550162
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444
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an econometric study of herding behaviour of domestic institutional investors in indian capital market : an auto regressive distributed lag approach
Jacob, Tom; Raphael, Rincy; Ajina, V. S. - In: The review of economic and business studies : REBS 15 (2022) 1, pp. 29-46
Persistent link: https://www.econbiz.de/10013470596
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Herd behavior and equity market liquidity : evidence from major markets
Galariotis, Emilios C.; Krokida, Styliani-Iris; Spyrou, … - In: International review of financial analysis 48 (2016), pp. 140-149
Persistent link: https://www.econbiz.de/10011624436
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Artificial stock markets with different maturity levels : simulation of information asymmetry and herd behavior using agent-based and network models
Krichene, Hazem; El-Aroui, Mhamed-Ali - In: Journal of economic interaction and coordination : JEIC 13 (2018) 3, pp. 511-535
Persistent link: https://www.econbiz.de/10012111487
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Herding behavior in Ramadan and financial crises : the case of the Pakistani stock market
Yousaf, Imran; Ali, Shoaib; Ali Shah, Syed Zulfiqar - In: Financial innovation : FIN 4 (2018) 16, pp. 1-14
This study examines herding behavior in the Pakistani Stock Market under different market conditions, focusing on the … J 51:31–37, 1995) and Chang et al., (J Bank Finance 24:1651–1679, 2000) are used for herding estimations. Results based … on daily stock data reveal that there is an absence of herding behavior during rising (up) and falling (down) market as …
Persistent link: https://www.econbiz.de/10011883177