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Abnormal Stock Returns, for the Event Firm and Its Rivals, Following the Event Firm's Large One-Day Stock Price Drop

Yu, Susana - 2011

We find intra-industry contagion and the following other potential violations of the efficient market hypothesis following large one-day individual stock price decline events. On average, after an event, the event stock experiences a positive three-day abnormal return (S&P 600 stocks) followed...

Persistent link: https://www.econbiz.de/10013131645

Piety and Profits : Stock Market Anomaly During the Muslim Holy Month

Bialkowski, Jedrzej Pawel - 2011

Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are significantly higher...

Persistent link: https://www.econbiz.de/10013134379

Impact of the Introduction of Call Auction on Price Discovery : Evidence from the Indian Stock Market Using High-Frequency Data

Agarwalla, Sobhesh Kumar - 2012

call auction on market quality at phases with high volatility or information asymmetry. The results suggest that the … intraday pattern of volume and volatility in the continuous market remains unchanged even after the introduction of the call …. The volatility and volume still take about 30 minutes to stabilize and the auction attracts very little volume. There is …

Persistent link: https://www.econbiz.de/10013096649

Robust Weak-Form Efficiency Tests in Volatile European Equity Indices

Enninful, Kwesi - 2013

capitalisation equities, and suggests that weak-form efficiency can be influenced by high market volatility …

Persistent link: https://www.econbiz.de/10013089775

The Twilight Zone : OTC Regulatory Regimes and Market Quality

Brüggemann, Ulf - 2018

Studying a comprehensive sample of stocks from the U.S. OTC market, we show that this market is a large and diverse trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and state laws beyond SEC regulation. We exploit this institutional richness to...

Persistent link: https://www.econbiz.de/10012927131

Non-Synchronous Trading and Testing for Market Integration in Central European Emerging Markets

Zalewska, Anna (Ania) - 2007

The paper contributes to the literature on integration of stock markets by addressing the issue of non-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration. We...

Persistent link: https://www.econbiz.de/10012732052

CDS Market Transparency and Equity Market Quality

Haas, Marlene - 2020

Following the recent financial crisis, increasing the transparency of credit default swap (CDS) markets has been a popular goal among regulators. We examine how changes in the transparency of the CDS market can impact liquidity in the corresponding equity market. We first extend a model of...

Persistent link: https://www.econbiz.de/10012856221

Effects of Market Reforms and External Shocks on Indian Stock Indices : Evidence on Structural Breaks and Weak-Form Efficiency

Chattopadhyay, Somnath - 2018

This study explores stock market efficiency in India after allowing for potential structural changes induced by reforms processes and/or external shocks. Failing to consider the effect of structural breaks while testing the efficient market hypothesis (EMH) could result in the flawed acceptance...

Persistent link: https://www.econbiz.de/10012929113

High Frequency Trading and Market Quality in the Thai Stock Exchange

Chancharat, Surachai; Phuensane, Pongsutti - 2021

This research is based on an empirical analysis of the impact of HFT activity on the stock in the SET50 index trading in the Stock Exchange of Thailand (SET), using publicly-available trade-by-trade tick data for the period between January 01, 2016, and June 30, 2018. The HFT data is illustrated...

Persistent link: https://www.econbiz.de/10013239413

The Egyptian Stock Market : Efficiency Tests and Volatility Effects

Mecagni, Mauro; Sourial, Maged S. - 2021

pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the … returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly …

Persistent link: https://www.econbiz.de/10013317713