Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon...

This paper studies the price discovery dynamics in an order-driven market. Based on the transaction data on individual stocks, the paper focuses on the study of the monthly evolution of normalized volatility ratios on Euronext Paris for the CAC40 stocks before and after the implementation of the...

Studying a comprehensive sample of stocks from the U.S. OTC market, we show that this market is a large and diverse trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and state laws beyond SEC regulation. We exploit this institutional richness to...

This paper examines investors' trading behaviors in Chinese stock markets by studying five stock indices that cover Chinese common stocks in three stock exchanges — Shanghai, Shenzhen, and Hong Kong. Our empirical results suggest that there exists a significant positive feedback trading effect...

As seen from the trend of 2021 and early 2022, the Russian equity market has livedup to its reputation as one of the most lucrative and volatile markets in the world.A new trend in its development has become participation of millions of privateinvestors who play currently a leading role in terms...

Recent growth in retail trading in global equity markets has drawn considerable attention to the execution of retail flows. European market operators offer diverse retail trading mechanisms: both retail-specific mechanisms and all-to-all trading mechanisms that allow the interaction of all...

A well developed and competitive financial market with financial inclusion is a must, if India has to emerge as a strong knowledge based economy. The transformation of Indian equity market, that till 1990s, was plagued with inefficiency with respect to trading, settlement and surveillance, and...

In this paper, we examine the January effect in China’s A-share stock market from January 1995 to December 2019 using both the solar and lunar calendars. We find consistent with the existing literature the absence of a traditional January effect in the solar calendar; however, we observe a...

The ESG (Environmental, Social, and Governance) concept has been increasingly adopted in financial markets, this paper studies the evolving effect of corporate ESG performance on the stock returns in China’s stock markets. Utilizing the Paris Agreement and China’s President Xi’s pledge to...

This paper uses the event-study methodology to investigate the effect of the Presidential Turkish elections in 2023 on Borsa Istanbul returns. The data used in this study cover the period from 13 June 2022, through 7 June 2023. We employ a market model to study the effect of two election rounds...