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Time-Varying Liquidity and Momentum Profits
Avramov, Doron - 2019
are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time …
Persistent link: https://www.econbiz.de/10012905292
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …
Persistent link: https://www.econbiz.de/10012020325
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Long Memory in Stock Market Volatility : Indian Evidences
Hiremath, Gourishankar S. - 2011
Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in...
Persistent link: https://www.econbiz.de/10013123503
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Impact of the Introduction of Call Auction on Price Discovery : Evidence from the Indian Stock Market Using High-Frequency Data
Agarwalla, Sobhesh Kumar - 2012
opening call auction at the National Stock Exchange of India. This was advocated based on the evidence of positive effect of …
Persistent link: https://www.econbiz.de/10013096649
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Whether Cross-Listing, Stock-Specifi c and Market-Wide Calendar Events Impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market Using High-Frequency Data
Agarwalla, Sobhesh Kumar - 2012
Using high-frequency stock price data, we investigate the effect of various stock-specific and market-wide events on intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the effect of – cross-listing, weekends and holidays,...
Persistent link: https://www.econbiz.de/10013097346
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Impact of Quarterly Results on Sensex and Market Volatility - An Empirical Research
Saxena, Pramod Kumar - 2012
In traditional practices, an Indian company has to communicate the information regarding its all workings, financial positions and status once in a year through the annual report. But as the time has passed; the need of quick and timely reporting has been arisen. By this the disclosures of the...
Persistent link: https://www.econbiz.de/10013103654
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Time Varying Volatility in the Indian Stock Market
Singh, Gurmeet - 2017
This paper investigates the volatility dynamics of stock market in India by using daily data of the NIFTY index of NSE …
Persistent link: https://www.econbiz.de/10012955128
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Weekly Momentum Study on Indian Stock Markets
Sapate, Uttam B - 2017
The Efficient Market Hypothesis (EMH) has been one of the dominant topics in the financial research literature. The main purpose of this study is to explore the existence of return continuation in the Indian Stock Markets, thus investigating its efficiency at the weak form level (Fama,1970)....
Persistent link: https://www.econbiz.de/10012944173
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Estimating Stock Return Volatility in Indian and Chinese Stock Market
Tripathi, Vanita - 2016
Investors step into the stock market with the objective of earning smart returns on their investments. The stock market can help in realising these goals of the investors, however, all investments are subject to risks. The origin of the risk is the uncertainty of realising the desired returns on...
Persistent link: https://www.econbiz.de/10012984654
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The Empirical Investigation of Relationship between Return, Volume & Volatility in Indian Stock Market
Singh, Gurmeet - 2016
This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock market exhibits characteristics similar to those found...
Persistent link: https://www.econbiz.de/10012988495