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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 events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660
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Short Selling Bans and Institutional Investors' Herding Behavior : Evidence from the Global Financial Crisis
Siklos, Pierre L. - 2011
financial crisis. Our empirical evidence shows that short selling restrictions exhibit either no in influence on herding … behavior or induce adverse herding. This implies a higher dispersion of returns around the market compared to rational asset …
Persistent link: https://www.econbiz.de/10013131230
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Information risk, market stress and institutional herding in financial markets : new evidence through the lens of a simulated model
Boortz, Christopher; Kremer, Stephanie; Jurkatis, Simon; … - 2014
-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions … sell herding. The model also explains why buy, not sell, herding is more pronounced during the financial crisis. …
Persistent link: https://www.econbiz.de/10010356865
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Hedge fund stock trading in the financial crisis of 2007 - 2009
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011
Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008Q3-Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in...
Persistent link: https://www.econbiz.de/10009009543
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A multicountry measure of comovement and contagion in international markets : definition and applications
Tessler, Nina; Venezia, Itzhak - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1307-1330
Persistent link: https://www.econbiz.de/10013191882
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Bond Market Investor Herding : Evidence from the European Financial Crisis
Galariotis, Emilios C. - 2016
herding was a key factor for the financial turmoil and the soaring yield spreads. In this paper we test for evidence of herd … behavior in European government bond prices and, overall, we find no evidence of investor herding either before or after the EU … crisis period, macroeconomic information announcements induced bond market investor herding; a finding that confirms the …
Persistent link: https://www.econbiz.de/10013000925
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On the inherent instability of international financial markets : natural nonlinear interactions between stock and foreign exchange markets
Dieci, Roberto; Westerhoff, Frank H. - 2011
We develop a novel financial market model in which the stock markets of two countries are linked via and with the foreign exchange market. To be precise, there are domestic and foreign speculators in each of the two stock markets which rely either on linear technical or linear fundamental...
Persistent link: https://www.econbiz.de/10009007640
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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Momentum Crashes and the 52-Week High
Byun, Suk-Joon - 2018
Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...
Persistent link: https://www.econbiz.de/10012934906
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The Impact of Retail Investors on Stock Liquidity and Crash Risk
Strych, Jan-Oliver; Hüfner, Felix - 2021
We aim to answer whether retail investors have a stabilizing effect on stock prices during times of financial markets turmoil. To achieve this, we examine the liquidity and crash risk of stocks that are likely held by Robinhood traders (i.e., our proxy for retail investors) using the COVID-19...
Persistent link: https://www.econbiz.de/10013310970