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Call Auction Mechanism and Closing Price Manipulation : Evidence from the Hong Kong Stock Exchange
Park, Seongkyu Gilbert - 2020
The Hong Kong Stock Exchange (HKEx) adopted a closing call auction in 2008 but suspended its operation ten months later due to suspicion of widespread price manipulation. The Exchange relaunched the auction in 2016 with manipulation-deterrence enhancements. We exploit this unique setting by...
Persistent link: https://www.econbiz.de/10012846904
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Measuring the Effectiveness of Volatility Auctions
Castro, Carlos - 2019
build a credible counterfactual. The method is used to evaluate the effectiveness of volatility auctions using intraday data …
Persistent link: https://www.econbiz.de/10012897016
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Idiosyncratic volatility and stock returns : Indian evidence
Aziz, Tariq; Ansari, Valeed Ahmad - In: Cogent economics & finance 5 (2017) 1, pp. 1-20
This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this...
Persistent link: https://www.econbiz.de/10011887525
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Semiparametric conditional quantile models for financial returns and realized volatility
Žikeš, Filip; Jozef, Baruník - 2014
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the exible quantile regression framework and rely on recently developed...
Persistent link: https://www.econbiz.de/10010407475
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Volatility spillover effect from energy markets to foreign exchange markets : the case of Central and Eastern European and Eurasian countries
Živkov, Dejan; Kuzman, Boris; Papić-Blagojević, Nataša - In: Prague economic papers : a bimonthly journal of … 33 (2024) 4, pp. 478-503
This paper investigates the nonlinear risk transmission from the oil and natural gas markets to the foreign exchange markets of five energy importers and one major energy exporter. We separate conditional volatility into the transitory (short-term) and permanent (long-term) parts, and then these...
Persistent link: https://www.econbiz.de/10015073350
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Call auctions with contingent orders
Hafalir, Isa; Imisiker, Serkan - In: Games 13 (2022) 5, pp. 1-8
We introduce a new mechanism for call auctions which are widely used in stock exchanges. Our unique design incorporates … higher liquidity during the call auctions is achieved, as well as lower volatility after the call auctions. Moreover, we show … that current call auctions and the proposed mechanism have similar incentive properties. Hence, we argue that the proposed …
Persistent link: https://www.econbiz.de/10013368211
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10011897589
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Difference in the intraday return-volume relationships of spots and futures : a quantile regression approach
Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2018
This study examines the difference in the intraday return-volume relationships of spot and index futures. Quantile regression analyses show that the widening effect of the stock trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...
Persistent link: https://www.econbiz.de/10011901877
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The difference in the intraday return-volume relationships of spot and futures : a quantile regression approach
Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2019
This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...
Persistent link: https://www.econbiz.de/10011986884
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Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10011927961