This paper studies price discovery in Nikkei 225 markets through the nonlinear smooth transition price adjustments between spot and future prices and across all three futures markets. We test for smooth transition nonlinearity and employ an exponential smooth transition error correction model...

We examine the linkages between dark and lit venues using a proprietary data set. We find that algorithmic trades for less liquid stocks are correlated with higher spreads and price impact, as well as contemporaneous trading on the lit venues. Also, signed trades for these stocks predict future...

Much research has examined performance or market efficiency by using the moving average convergence divergence (MACD) technical analysis tool. However, most tests fail to verify efficiency with the traditional parameter settings of 12, 26, and 9 days. This study confirms that applying the...