Intraday analyses of volatility-volume relation by decomposing the volume into number of trades and average trade size is measured in Borsa Istanbul equity market. Results confirm that the number of trades has more explanatory power over the short-term volatility comparably parallel with the...

This research is based on an empirical analysis of the impact of HFT activity on the stock in the SET50 index trading in the Stock Exchange of Thailand (SET), using publicly-available trade-by-trade tick data for the period between January 01, 2016, and June 30, 2018. The HFT data is illustrated...

The intraday volatility and volume U-shape pattern is well documented in the literature. It describes the common pattern of investor's behavior on the stock markets: investors trade in the beginning and the end of the day more intensive than in the lunch time. However that pattern does not...

The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...

The issues regarding regulation and the impact of introduction of futures on cash market are under debate in developing and developed countries. This study investigates the role of index futures on the stability aspect of underlying spot market. Specifically, this study checks the impact of...

The concerns regarding regulations of futures markets and their destabilizing ability are unresolved in both developed and developing markets. Following stringent regulations of single stock futures (SSFs) for resumption episode after financial crises, this study addresses this concern and...

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find...