Objective - Less than 1% of the population in the Philippines has invested in the stock market (PSE, 2016). The Philippine Stock Exchange (PSE) has been in operation since 1927 and is one of the oldest in the Asia Pacific. The primary objective of this research is to examine the investing...

Russian Abstract: В статье представлены результаты исследования инсайдерской торговли в периоды, предшествующие случаям административного давления на бизнес, на...

We investigate the role of proprietary algorithmic traders (PAT) in facilitating liquidity in a limit order market. Using the order level data from NSE of India, we find that they increase limit order supply following periods of high short-term stock-specific volatility, periods of high...

This paper examines the presence of the turn-of-the-year effects on the Romanian capital market. We use the daily closing values of some important indexes of the Bucharest Stock Exchange for the period January 2000 – August 2017. In order to reveal the impact of a turbulent context on the...

I test whether the persistence of the momentum and reversal effects is the result of idiosyncratic risk limiting arbitrage. Idiosyncratic deters arbitrage, regardless of the arbitrageur's level of diversification. Reversal is prevalent only in high idiosyncratic risk stocks, suggesting that...

This paper confronts the main foundations of the neoclassical theory of the capital market and asset pricing with allegations of behavioral finance. Cornerstones of the traditional theory are discussed in the first section. It is followed by a brief presentation of the behavioral approach....

Distributed securities exchanges may become de facto fragmented if they span geographical regions with asymmetric computer infrastructure. First, we build an economic model of a decentralized exchange with two miner clusters, standing in for compact areas of economic activity (e.g., cities)....

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

Before 1975, the mean weekend rate of return on the equal-weight (value-weight) stock market portfolio is significant -18bp (-19bp). After 1975, it is insignificant -5bp (-1bp). This break date is determined by a structural break test with unknown break date. The weekend effect is no longer an...

Analysing the financial performance of Islamic equity indices from all relevant providers, we document these indices to outperform their conventional benchmarks on a global and developed market level after controlling for investment styles and a potential back-testing bias. To explain this...