This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages. We present a new statistical arbitrage test based on the subsampling methodology which has lower Type I error than existing...

The purpose of this study is to investigate whether there are certain price patterns during the trading session in the Athens Stock Exchange (ASE). We investigate statistically the series of stock returns, the volatility of stock returns and trading volume. In our analysis we use data from two...

There has been a common belief among stock market practitioners that stock prices move along with trading volume creating certain patterns in price and volume formation. Nevertheless, the above argument was hardly recognised by the academic community since for a number of years statistical...

I address the role of information heterogeneity in the Euro interbank market for unsecured term lending. I use high-frequency quotes of bid and ask prices to estimate probabilities of informed trading for contract maturities from one month to one year. The dataset spans from November 2000 to...

Taiwan Top 50 Tracker Fund (TTT) is the first Exchange Traded Fund (ETF) in Taiwan. This study investigates the impact of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage hypothesis that the liquidity of the constituents is...

The restriction of short-sale prices, which stated that short-sale prices must not be lower than the closing price of the previous trading day, no longer applies to the constituent stocks of the Taiwan Top 50 Index. This study investigates the abnormal returns and volatility changes of those...

We develop a dynamic model of order submission strategies in an order-driven market, where traders differ in their share valuations. Our model shows that several factors influence the uninformed trader¡¦s choice of order to submit: the market price, the expected asset value, the probability of...

We develop a model of insider trading where agents have private information either about liquidation value or about supply and behave strategically to maximize their profits. The supply informed trader plays a dual role in market making and in information revelation. This trader not only reveals...

While herding has long been suspected to play a role in financial market booms and busts, theoretical analyses have struggled to identify conclusive causes for the effect. Recent theoretical work shows that informational herding is possible in a market with efficient asset prices if information...

This paper investigates the relative strengths of complementary and substitution effects between earnings and dividend announcements on a sequential sample of announcements of earnings and dividends from U.S. firms. The empirical results support the complementary hypothesis for earnings...