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The Profitability of Lead-Lag Arbitrage at High-Frequency

Poutré, Cédric; Dionne, Georges; yergeau, gabriel - 2022

Any lead-lag effect in an asset pair implies the future returns on the lagging asset have the potential to be predicted from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead-lag indicators to uncover the origin of price discovery...

Persistent link: https://www.econbiz.de/10014239339

High-Frequency Trading, Stock Volatility, and Price Discovery

Zhang, Frank - 2010

trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …

Persistent link: https://www.econbiz.de/10013137079

Pervasive underreaction : Evidence from high-frequency data

Jiang, Hao - 2020

We propose a novel high-frequency decomposition of daily stock returns into news- and non-news-driven components, and uncover evidence of pervasive stock market underreaction to firm news. Prices tend to drift in the same direction as the initial market response for several days after the news...

Persistent link: https://www.econbiz.de/10012855933

Precious metals under the microscope : a high-frequency analysis

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gebriel G. - 2014

financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

Persistent link: https://www.econbiz.de/10010407214

Risk and Return in High-Frequency Trading

Baron, Matthew - 2018

We study performance and competition among high-frequency traders (HFTs). We construct measures of latency and find that differences in relative latency account for large differences in HFTs' trading performance. HFTs that improve their latency rank due to colocation upgrades see improved...

Persistent link: https://www.econbiz.de/10012937984

Does Fundamental Indexation Lead to Better Risk Adjusted Returns? New Evidence from Australian Securities Exchange

Forbes, Brigette M. - 2011

Fundamental indexing based on accounting valuation has drawn significant interest from academics and practitioners in recent times as an alternative to capitalisation weighted indexing based on market valuation. This paper investigates the claims of superiority of fundamental indexation strategy...

Persistent link: https://www.econbiz.de/10013121125

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Lambertides, Neophytos - 2017

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...

Persistent link: https://www.econbiz.de/10012959469

Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

Persistent link: https://www.econbiz.de/10013026463

COVID-19 Infection Data, Policy Interventions or Sentiment; What Explains International Stock Returns and Volatility?

Virk, Nader - 2021

We examine the impact of COVID-19 (C-19) pandemic on global equity markets by constructing novel infection indices. Our results show that the impact of prompt and large-scale policy interventions is ambiguous yet statistically significant. However, in this equivocality, the impact of global...

Persistent link: https://www.econbiz.de/10013242732

Gold and the S&P500 : An analysis of the return and volatility relationship

Kuck, Konstantin - 2021

the role of gold as safe haven typically focus on returns, we also investigate the relationship between gold volatility … and stock returns. In particular, we are interested in the behaviour of gold volatility on days with negative shocks in … the equity market. The conditional volatility of gold is of direct relevance for an assessment of the effectiveness of the …

Persistent link: https://www.econbiz.de/10013211930

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