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Price discovery and up-tick rule in Taiwan

Lin, Ching-chung; Chan, Shih-ju - In: The empirical economics letters : a monthly … 10 (2011) 4, pp. 417-424

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The impacts of individual day trading strategies on market liquidity and volatility : evidence from the Taiwan index futures market

Chou, Robin K.; Wang, George H. K.; Wang, Yun-Yi - In: The journal of futures markets 35 (2015) 5, pp. 399-425

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The first crash : lessons from the South Sea Bubble

Dale, Richard - 2004

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The impact of speculative trading on stock return volatility : the evidence from Taiwan

Hsin, Chin-wen; Guo, Wen-chung; Tseng, Seng-su; Luo, … - In: Global finance journal 14 (2003) 3, pp. 243-270

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A positivist analysis of fluctuations in prices on the Chinese stock exchange

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Price limits and stock market volatility in the Athens Stock Exchange

Phylaktis, Kate; Kavussanos, Manolis; Manalis, Gikas - In: European financial management : the journal of the … 5 (1999) 1, pp. 69-84

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Timing the market : how to profit in the stock market using the yield curve, technical analysis, and cultural indicators

Weir, Deborah J. - 2006

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The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility : Evidence from the Taiwan Index Futures Market

Chou, Robin K. - 2013

liquidity by reducing the bid-ask spread, temporary price volatility and the temporal price impacts. Our results, which are … impact on market liquidity and volatility. Our results indicate a tendency among most individual day traders to behave as … trading destabilizes the market while also exacerbating market volatility …

Persistent link: https://www.econbiz.de/10013083788

How Do Alphas and Betas Move? Uncertainty, Learning and Time Variation in Risk Loadings

Trecroci, Carmine - 2010

I employ a parsimonious model with learning but without conditioning information to extract time-varying measures of market-risk sensitivities, pricing errors and pricing uncertainty. Parameters estimated for U.S. equity portfolios show significant fluctuations, along patterns that change across...

Persistent link: https://www.econbiz.de/10013150448