This paper explores how the fearful market-based sentiment indicators affect investor trading behavior and market liquidity. Our results show that a high degree of fearful market-based sentiment induces more sell orders along with a reduction in market liquidity, and vice versa. In addition,...

This paper investigates the intra-day price dynamics of the S&P 500, Nasdaq-100 and DJIA indices for the periods both before and after the Nasdaq market crash which occurred between March 2000 and March 2001. We explore the relative price efficiencies of the three indices in the spot, futures,...

We propose an ARJI-Trend model—a combination of the ARJI and component models—to capture the distinguishing features of US index returns, with the results indicating that our model has a good fit for the volatility dynamics of spot, floor- traded and E-mini index futures in US markets....