We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...

This paper shows stock exchange trading rules are of central importance for the trading location of cross-listed stocks. We also consider various measures of sovereign governance and shareholder rights across countries to assess the complementary effects of other legal and institutional drivers...

We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at...

In July 2002, FINRA began mandatory dissemination of price and volume information for corporate bond trades. This paper, using recently released data, measures transparency's effect on trading activity and costs for the entire corporate bond market. Even though trading costs decrease...