This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other microstructure-induced noise, which will affect the estimation...

Given the increased attention of precious metals by investors and the finance literature as well as the growth of high frequency trading, the behaviour of intraday precious metal markets is of great interest and importance. Therefore, this paper examines the stylized facts, correlation and...

The compass rose pattern in financial data may indicate the presence of a nonlinear, possibly chaotic, data generating mechanism. Analysis reveals that over four equivalent subperiods, from 1996 to 2015, the compass rose pattern in gold returns fades. This feature provides an opportunity to...

This paper identifies several stylised facts relating to the volatility and price discovery process from eight cryptocurrencies utilising an empirical analysis of intra-day trading data to uncover four main results. First, cryptocurrencies exhibit weekend-volatility effects while intra-day...