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Do trading volumes explain the persistence of GARCH effects?

Carroll, Rachael; Kearney, Colm - In: Applied financial economics 22 (2012) 22/24, pp. 1993-2008

Persistent link: https://www.econbiz.de/10009719309

Intraday stealth trading : evidence from the Warsaw stock exchange

Będowska-Sójka, Barbara - In: The Poznań University of Economics review 14 (2014) 1, pp. 5-19

Persistent link: https://www.econbiz.de/10010361522

Duration, trading volume and the price impact of trades in an emerging futures market

Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - In: Emerging markets review 17 (2013), pp. 89-105

Persistent link: https://www.econbiz.de/10010243112

The impact of overconfidence on investors' decisions

Adel, Boubaker; Mariem, Talbi - In: Business and Economic Research : BER 3 (2013) 2, pp. 53-75

Persistent link: https://www.econbiz.de/10010376699

Determinants of stock price bubbles

Narayan, Paresh Kumar; Mishra, Sagarika; Sharma, Susan … - In: Economic modelling 35 (2013), pp. 661-667

Persistent link: https://www.econbiz.de/10010336726

Market depth and order size : an analysis of permanent price effects of DAX futures' trades

Kempf, Alexander; Korn, Olaf - 1998 - Revised version: February 1998

In this paper we empirically analyze the permanent price impact of trades by investigating the relation between unexpected net order flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network model suggests that the assumption of a linear impact...

Persistent link: https://www.econbiz.de/10011441131

Do order imbalances predict Chinese stock returns? : new evidence from intraday data

Narayan, Paresh Kumar; Narayan, Seema; Westerlund, Joakim - In: Pacific-Basin finance journal 34 (2015), pp. 136-151

Persistent link: https://www.econbiz.de/10011535319

Time variation in systematic risk, returns and trading volume : evidence from precious metals mining stocks

Ciner, Cetin - In: International review of financial analysis 41 (2015), pp. 277-283

Persistent link: https://www.econbiz.de/10011508966

Clustering of trading activity in the DAX index options market

Koch, Alexander K.; Lazarov, Zdravetz N. - 2001

Trades in DAX index options with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options with close strike prices are good substitutes. The...

Persistent link: https://www.econbiz.de/10011539670

The dark side of trading

Dichev, Ilia D.; Huang, Kelly; Zhou, Dexin - In: Journal of accounting, auditing & finance 29 (2014) 4, pp. 492-518

Persistent link: https://www.econbiz.de/10010425512