In this article we explore how autocorrelation impacts volatility in stock markets. We use the Threshold Autoregressive-Generalized Autoregressive Conditional Heteroscedasticity (TAR-GARCH) model to obtain a better approximation of the volatility pattern with the threshold of a positive or...

Herding behavior, which is investing in crowded stocks during a specific period, will push the target stocks' return down or up. Using both institutional and individual investors' intraday trading data to calculate the measure of daily herding, we find that a zero-cost investing strategy of...

In this paper, we examine two different investing attitudes, being conservative sentiment which mitigates the momentum effect and, alternatively, the optimistic sentiment which strengthens such an effect. Where the stock market index levels close near a previous peak level, the impact of the...

This paper reports the announcement effects of insider transfer trades and relates these with firms' characteristics. Regulations in Taiwan specify that insiders give three days prior notice to the competent authority of stock transfers and this news can stimulate market participants' investment...