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Deuskar, Prachi; Johnson, Tim - In: The review of financial studies 24 (2011) 3, pp. 721-753

Persistent link: https://www.econbiz.de/10008934104

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023

We identify different roles traders play using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange from January 2005 to December 2011. Individual day traders (IDT) are identified as "noise traders", who play an important role in the market...

Persistent link: https://www.econbiz.de/10014250145

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - 2023

Using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange over seven years, we identify individual day traders (IDT) to be “noise traders”, who play an important role in market microstructure models in the literature.IDT contribute 10% to...

Persistent link: https://www.econbiz.de/10014355549

The trading behavior of institutions and individuals in Chinese equity markets

Ng, Lilian K.; Wu, Fei - In: Journal of banking & finance 31 (2007) 9, pp. 2695-2710

Persistent link: https://www.econbiz.de/10003572352

Financialization, idiosyncratic information and commodity co-movements

Ma, Yan-Ran; Ji, Qiang; Wu, Fei; Pan, Jiaofeng - In: Energy economics 94 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012649527

Connectedness and risk spillovers in China's stock market: a sectoral analysis

Wu, Fei; Zhang, Dayong; Zhang, Zhiwei - In: Economic systems 43 (2019) 3/4, pp. 1-14

Persistent link: https://www.econbiz.de/10012314676

From fears to recession? : time-frequency risk contagion among stock and credit default swap markets during the COVID pandemic

Zhai, Pengxiang; Wu, Fei; Ji, Qiang; Nguyen, Duc Khuong - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 551-580

Persistent link: https://www.econbiz.de/10014469034

Investor sentiments and extreme risk spillovers from oil to stock markets : evidence from Asian countries

Wu, Fei; Ji, Qiang; Ma, Yan-Ran; Zhang, Dayong - In: Journal of the Asia Pacific economy 29 (2024) 3, pp. 1257-1283

Persistent link: https://www.econbiz.de/10015053452