While investors in the west are generally skeptical about the reliability of the candlestick technical analysis, this technique is commonly used in some Asian equity markets in short-term speculative investments. This paper examines the effectiveness of five different candlestick reversal...

The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market...

This paper investigates how the introduction of a closing call auction in the OMXS 30 index futures market influences market quality and price accuracy. Index futures markets are characterized by traders with no or little private information. Limit order book models where trader patience (rather...

This paper analyzes the impact of pre-trade transparency on price discovery. On January 1, 2003, the Taiwan Stock Exchange discloses unexecuted orders of the best five bid and ask prices to market participants. This rule change provides an opportunity to examine the impact of transparency on...

This paper addresses the information asymmetry between Chinese local A-share and foreign B-share markets and its impact on the B-share discount puzzle, contingent upon Chinese stock market liberalization reforms in 2001 and 2002. In contrast with the widespread notion that domestic investors are...

We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading "with the wind," that is, in the same direction. We find that HFTs initially lean...

This paper examines changes in market quality resulting from the smaller tick size of the interbank foreign exchange market. Coupled with the lower tick size, the special composition of traders and their order placement strategies created a suitable environment for high- frequency traders...

Competition for order flow is widely documented for U.S. markets, but is a relatively new phenomenon in European equities trading. Only with the Markets in Financial Instruments Directive, which went into effect in November 2007, did new trading venues emerge in Europe that for the first time...