The possibility to investigate the impact of news on stock prices has observed a strong evolution thanks to the recent use of natural language processing (NLP) in finance and economics. In this paper, we investigate COVID-19 news, elaborated with the "Natural Language Toolkit" that uses machine...

Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability of global equity limit order markets. Taking market resiliency as an indicator of market quality, we investigate how resilient are trading venues in a high-frequency environment...

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...

This paper studies the optimal clearing arrangement for bilateral financial contracts in which an assessment of counterparty credit risk is crucial for efficiency. The economy is populated by borrowers and lenders. Borrowers are subject to limited commitment and hold private information about...

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

Market efficiency has been analyzed through many studies using different linear methods. However, studies on financial econometrics reveal that financial time series exhibit nonlinear patterns because of various reasons. This paper examines market efficiency at Borsa Istanbul using a smooth...

By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found evidence that is consistent with the idea that option...

In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market....

This paper investigates the information in monthly nominal Swedish real estate stock market returns from 1939-1998. Thus we test the weak form efficient market hypothesis. Our results contradict previous findings from the general Swedish stock market as we find very little evidence of seasonal...

This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process. For...