In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...

This chapter reviews and synthesizes a rapidly growing subfield that analyzes the relation between media and financial markets. Research in this area identifies novel data sources, such as newspaper articles, Internet search queries, and posts on social networks, and employs inventive empirical...

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

The following paper is a theoretical introduction of the misinformation effect to behavioural finance. The misinformation effect causes a memory report regarding an event or particular knowledge to become contaminated with misleading information from another source. The paper aims to describe...

The present study explores the effect of the gambler’s fallacy on stock trading volumes. I hypothesize that if a stock’s price rises (falls) during a number of consecutive trading days, then the gambler’s fallacy may cause at least some of the investors to expect that the stock’s price...

This study develops an agent-based computational stock market model in which each trader’s buying and selling decisions are endogenously determined by multiple factors: namely, firm profitability, past stock price movement, and imitation of other traders. Each trader can switch from being a...

In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto exchange-Binance. Given the unique features of the crypto asset market, we find that conventional regression models exhibit strong model specification uncertainty. To circumvent...

Purpose - For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction problem based on the CSI300 nearby futures by using high-frequency data recorded each minute from the launch...

We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particularly relevant but its negative effects have...