We attempt to identify in this paper the role of trading noise as a transactions cost to market participant in the sense of Stoll (2000), especially in the presence of trading concentration. Applying the measures of Hu (2006) and Kang and Yeo (2008), we analyze the noise proportion in intraday...

In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work better in periods longer than six months, a result different from findings in past literature. Compared with standard parametric tests, the statistical arbitrage method...

We analyze in this study cause of herding in a stock market. Information cascades have often been considered as a primary choice. However, we propose alternative explanations in this study. Employing intraday order book data, we suggest including an alternative theory based on search cost of...

Using complete intraday trading data, this paper compares the trading skill of institutions and individuals around information shocks. We find strong evidence that institutions possess information acquisition and processing advantages over individuals. Specifically, net buying done by...