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Invariance of Buy-Sell Switching Points
Bae, Kyoung-hun - 2016
volatility. Using trading data from the Korea Exchange (KRX) from 2008 to 2010, we estimate the exponent to be 0.675 with …
Persistent link: https://www.econbiz.de/10012999271
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Invariance in buy-sell switching points
Bae, Kyoung-hun; Bondarenko, Oleg; Lee, Eun Jung; … - 2020
Persistent link: https://www.econbiz.de/10012494223
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Impacts of relatively rational and irrational investor sentiment on realized volatility
Tseng, Tseng-Chan; Lai, Hung-Cheng; Chen, Jih-Kuang - In: Asian economic journal : journal of the East Asian … 36 (2022) 4, pp. 458-478
Persistent link: https://www.econbiz.de/10014280248
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Intradaily patterns in the Korean index futures market
Copeland, Laurence S.; Jones, Sally-Anne - In: Asian economic journal : journal of the East Asian … 16 (2002) 2, pp. 153-174
Persistent link: https://www.econbiz.de/10001695928
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News and Intraday Retail Investor Order Flow in Foreign Exchange Markets
Kaourma, Filia; Milidonis, Andreas; Nishiotis, George; … - 2021
This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD for the period July 2014 to April 2016. Standard event study analysis shows no significant...
Persistent link: https://www.econbiz.de/10013243514
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The effect of investor sentiment on feedback trading and trading frequency : evidence from Taiwan intraday data
Hu, Wu-Yueh; Huang, Chih-Jen; Chang, Heng-Yu; Lin, Wei-Ju - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 111-120
Persistent link: https://www.econbiz.de/10011603397
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Ultra-fast activity and intraday market quality
Cartea, Álvaro; Payne, Richard; Penalva, José; Tapia, … - In: Journal of banking & finance 99 (2019), pp. 157-181
Persistent link: https://www.econbiz.de/10012162376
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Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen; Ramaswamy, Vasudeva - In: Quantitative finance 23 (2023) 12, pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
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Algorithmic trading : intraday profitability and trading behavior
Arumugam, Devika - In: Economic modelling 128 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014464406
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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …
Persistent link: https://www.econbiz.de/10012138660