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Investors' trading activity and information asymmetry : evidence from the Romanian stock market
Kampe, Cristina - In: Risks : open access journal 9 (2021) 8, pp. 1-19
This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004-2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years...
Persistent link: https://www.econbiz.de/10012612399
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A theory of very short-time price change : security price drivers in times of high-frequency trading
Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34
, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans … and only manageable by computers is still lacking. The theory presented in this paper attempts to fill this gap. The … outcome of such a theory is important for purposes of market stability, crisis avoidance, investment planning, risk management …
Persistent link: https://www.econbiz.de/10013272630
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What happens to trading volume when the regulator bans voluntary disclosure?
Abudy, Menachem; Shust, Efrat - In: The European accounting review 29 (2020) 3, pp. 555-580
Persistent link: https://www.econbiz.de/10012263214
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Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475
Persistent link: https://www.econbiz.de/10011611102
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Bitcoin transactions, information asymmetry and trading volume
Ante, Lennart - In: Quantitative finance and economics 4 (2020) 3, pp. 365-381
Persistent link: https://www.econbiz.de/10012271431
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Information shocks and the cross section of expected returns
Savaser, Tanseli; Tiniç, Murat - In: Borsa Istanbul Review 23 (2023) 2, pp. 378-401
This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on changes in the proportion of the...
Persistent link: https://www.econbiz.de/10014307769
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Size and information revelation in securities trading
Garvey, Ryan; Huang, Tao; Wu, Fei - In: Applied economics letters 25 (2018) 15, pp. 1083-1086
Persistent link: https://www.econbiz.de/10012132348
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Changes in information environment and merger announcements
Balasubramnian, Bhanu; Fuller, Kathleen P.; Steigner, Tanja - In: American journal of business : applying research to … 31 (2016) 3, pp. 123-145
Persistent link: https://www.econbiz.de/10011642602
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Liquidity skewness in the London Stock Exchange
Hsieh, Tsung-Han; Li, Youwei; McKillop, Donal G.; Wu, … - In: International review of financial analysis 56 (2018), pp. 12-18
Persistent link: https://www.econbiz.de/10012006199
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Asymmetric information spillovers between trading volume and price changes in Malaysian futures market
Go, You-How; Lau, Wee-Yeap - In: Journal of Asian finance, economics and business : JAFEB 1 (2014) 3, pp. 5-16
Persistent link: https://www.econbiz.de/10011687815