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This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...
Persistent link: https://www.econbiz.de/10009355522
This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...
Persistent link: https://www.econbiz.de/10009357284
This paper studies the dynamics of stock market volatility and retail investors' attention to the stock market, where attention to the stock market is measured by internet search queries related to the leading stock market index. We find a strong co-movement of the Dow Jones' realized volatility...
Persistent link: https://www.econbiz.de/10013008478
limits of arbitrage being more severe in the short-leg due to impediments to short selling. Using short interest and …
Persistent link: https://www.econbiz.de/10013057742
Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any changes in relevant risk are assumed to be a result of...
Persistent link: https://www.econbiz.de/10012023919
This study adopts the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Autoregressive Moving Average (GARCH-M-ARMA) and Exponentially Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Autoregressive Moving Average (EGARCH-M-ARMA) models to analyze the spillover,...
Persistent link: https://www.econbiz.de/10013029073
market bets due to their low costs and high liquidity. Moreover, due to the arbitrage activities of authorized participants …
Persistent link: https://www.econbiz.de/10013235335
Persistent link: https://www.econbiz.de/10015062053
Financial markets in contemporary regulatory settings require the presence of high-frequency liquidity providers. We present an applied study of the profitability and the impact on market quality of an individual high-frequency trader acting as a market-maker. Using a sample of sixty stocks over...
Persistent link: https://www.econbiz.de/10012982141
Short-termism need not breed informational price ine fficiency even when generating Beauty Contests. We demonstrate this claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and find that prices reflect average expectations...
Persistent link: https://www.econbiz.de/10013036921