We study investor networks in the stock market, through the lens of information network theory. We use a unique account level dataset of all trades on the Istanbul Stock Exchange in 2005, to identify traders who are similar in their trading behavior as linked in an empirical investor network...

Firm-specific trading halts have become a common practice in many international stock markets during the last two decades. However, the effects and effectiveness of trading halts remain controversial among academics and regulators. In this debate, it seems crucial to understand how the trading...

Various seasonal patterns in stock markets have been shown that disappeared, or at least substantially weakened, since they were first documented in 1980s. To detect whether calendar anomalies are still alive or not, this paper investigates all types of seasonalities such as the day-of-the week,...

There has been considerable discussion in policy circles about controlling volatility by imposing price limits on asset prices. This study examines the effects of price limits on a stock market by testing volatility spillover, delayed price discovery, and trading interference hypotheses in a...

In spite of the strong existence of price limits in financial markets, there is not much agreement and information on the effects of price limits on volatility and price discovery, which has important policy implications for the investors and regulators. This study examines the effects of price...

One of the interesting findings among the seasonalities in stock markets is that the return, volume and volatility of the stock prices and bid-ask spreads all broadly follow a U-shaped pattern over the trading day. This study examines the intra-daily seasonalities of the stock returns in the...