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Volatility, trading volume and open interest in futures markets
Floros, Christos; Salvador, Enrique - In: International Journal of Managerial Finance 12 (2016) 5, pp. 629-653
Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures …, commodities, stock indices, interest rates and bonds). The authors employ a two-stage estimation methodology: first, the authors … employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors …
Persistent link: https://www.econbiz.de/10014785499
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Financial applications of ARMA models with GARCH errors
Ghahramani, M.; Thavaneswaran, A. - In: The Journal of Risk Finance 7 (2006) 5, pp. 525-543
principal method used for the research. The results were also illustrated using examples and simulation studies. Volatility … statistical properties of volatility modeling.  …
Persistent link: https://www.econbiz.de/10014901409
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Blood, Sweat, and Tears: The Rise and Decline of the East German Economy, 1949–1988 / Blut, Schweiß, Tränen: Aufstieg und Niedergang der ostdeutschen Wirtschaft, 1949–1988
Blum, Ulrich; Dudley, Leonard - In: Jahrbücher für Nationalökonomie und Statistik 220 (2000) 4, pp. 438-452
Summary The rise of the East-German economy in the 1950s and 1960s and its decline in the 1970s and 1980s is difficult to explain by neoclassical economics. However; the observed life cycle may be explained by the inclusion of concepts from old and new institutional economics and from functional...
Persistent link: https://www.econbiz.de/10014608780
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Individual and institutional trading volume around firm-specific announcements
Mudalige, Priyantha; Kalev, Petko S; Duong, Huu Nhan - In: International Journal of Managerial Finance 12 (2016) 4, pp. 422-444
Purpose – The purpose of this paper is to investigate the immediate impact of firm-specific announcements on the trading volume of individual and institutional investors on the Australian Securities Exchange (ASX), during a period when the market becomes fragmented. Design/methodology/approach...
Persistent link: https://www.econbiz.de/10014785394
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Market reactions to corporate name changes: evidence from the Toronto Stock Exchange
Biktimirov, Ernest N.; Durrani, Farooq - In: International Journal of Managerial Finance 13 (2017) 1, pp. 50-69
Purpose The purpose of this paper is to examine stock price and trading volume reactions to name changes of the Toronto Stock Exchange listed companies. Previous studies present conflicting evidence on reactions to corporate name changes in US and other capital markets....
Persistent link: https://www.econbiz.de/10014785619
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Size, trading volume, and the profitability of technical trading
Chang, Yung-Ho; Jong, Chia-Ching; Wang, Sin-Chong - In: International Journal of Managerial Finance 13 (2017) 4, pp. 475-494
Purpose The purpose of this paper is to evaluate the profitability of technical trading relative to buy-and-hold (BH) strategy at firm level, controlling for firm size and trading volume. Design/methodology/approach This paper applies variable-length moving averages (VMAs) thoroughly to each and...
Persistent link: https://www.econbiz.de/10014785650
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Cause and effect between FII trading behaviour and stock market returns
Chandra, Abhijeet - In: Journal of Indian Business Research 4 (2012) 4, pp. 286-300
Purpose – The purpose of this paper is to examine the direction of causality between foreign institutional investment (FII) trading volume and stock market returns in the Indian context. There is evidence of uni‐directional causalities from stock returns to FII flows across various sample...
Persistent link: https://www.econbiz.de/10014874954
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Changes in information environment and merger announcements
Balasubramnian, Bhanu; Fuller, Kathleen; Steigner, Tanja - In: American Journal of Business 31 (2016) 3, pp. 123-145
Purpose The purpose of this paper is to examine the impact of regulatory changes by the US Securities and Exchange Commission in 2000 on private information leakage prior to merger announcements. Design/methodology/approach Using a sample of 5,045 merger announcements between 1990 and 2008, the...
Persistent link: https://www.econbiz.de/10014668451
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Trading volume and return relationship in the crude oil futures markets
Abba Abdullahi, Saada; Kouhy, Reza; Muhammad, Zahid - In: Studies in Economics and Finance 31 (2014) 4, pp. 426-438
information flow and therefore the measures that control price volatility should not focused more on volume; otherwise they may …
Persistent link: https://www.econbiz.de/10015014082
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From cents to half-cents and its liquidity impact
Anderson, Hamish D.; Peng, Yuan - In: Pacific Accounting Review 26 (2014) 3, pp. 160-176
Purpose – The purpose of this paper is to examine the impact on stock liquidity following the reduction of minimum tick size from $0.01 to $0.005 for a selection of dual-listed and property stocks on the New Zealand Exchange (NZX) during 2011. Design/methodology/approach – Various liquidity...
Persistent link: https://www.econbiz.de/10014968906