We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the...

The purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the price limits on the French stock exchange market. We analyze the impact of such...

Using stocks traded on the NYSE, AMEX and NASDAQ for the period of 1964 to 2009, this study demonstrates that, while momentum prevails among small stocks, momentum and reversals coexist among large stocks for a holding period of up to six months. The momentum/reversal divide is along the...

Using a panel of stock indices of the BRICS countries from 31 December 2019 to 17 October 2020, the nexus between funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding liquidity and the COVID-19 pandemic interacts positively...

This paper focuses on three important calendar events namely day of the week, turn of the month and January effect. Using both a GARCH (1 1)-M model and a mixture of distribution hypothesis (MDH) this paper investigates the return and conditional volatility pattern of the Malaysian stock index...

We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

In this article, we examine dynamic relationships between volatility and various microstructure measures of trade activity and quoted liquidity for each component stock in the Toronto Stock Exchange 35 Index and for the Toronto 35 Index Participation Shares. When volatility is conditioned on...

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving...

This study investigates the relationship between trading volume and returns and volatility of Pakistani market for the period of July 1998 to October 2008. The Dickey-Fuller test is applied to turn the time series stationary. The ARCH and GARCH-M models are used to test the return, volatility...

Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading "with the wind," that is, in the same direction. We find that HFTs initially lean...