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Equity Trading Activity and Credit Spread Shock

Sum, Vichet - 2019

This study investigates how equity trading activity dynamically responds to credit spread shock. Based on the analysis of monthly data from 1925M1 to 2013M7, equity trading activity, using share volume turnover as a proxy, significantly drops following the shock to credit spread. The results...

Persistent link: https://www.econbiz.de/10012905198

Order imbalance and commonality : evidence from the options market

Omole, John; Sensoy, Ahmet; Gulay, Guzhan - In: Borsa Istanbul Review 22 (2022) 1, pp. 1-11

Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options....

Persistent link: https://www.econbiz.de/10012817765

Cross-Asset Market Order Flow, Liquidity, and Price Discovery

Garrison, Robert - 2019

component of liquidity and price discovery, particularly during periods of market volatility …

Persistent link: https://www.econbiz.de/10012860759

Contrarian and Momentum Profits During Periods of High Trading Volume Preceded by Stock Prices Shocks

Stefanescu, Razvan - 2016

This paper approaches the opportunities for contrarian and momentum profits during the periods of high trading volume preceded by stock prices shocks. We investigate these aspects for ten stocks from New York Stock Exchange. We found that more than three quarters of the periods of high trading...

Persistent link: https://www.econbiz.de/10012992215

Large Trade Price Impact on Contrarian Trades as a Proxy of Informed Trades

Wu, Yingying - 2018

This paper reexamines contrarian trades as a proxy of informed trades. Empirical analysis is applied to intraday trade and quote data of the Chinese CSI300 index component stocks over 2012-2014. By dividing each trading day into 48 5-minute intervals and employing this measure for all intervals...

Persistent link: https://www.econbiz.de/10012921360

Equity Trading Activity and Treasury Bond Risk Premia

Schraeder, Stefanie; Sojli, Elvira; Subrahmanyam, Avanidhar - 2021

willing to trade against informed ones. This implies low volume and high volatility, i.e., a high volatility-volume ratio …

Persistent link: https://www.econbiz.de/10013216339

When Do Informed Short Sellers Trade? Evidence from Intraday Data and Implications for Informed Trading Models

Hu, Danqi; Jones, Charles M.; Zhang, Xiaoyan - 2021

Using intraday 2015-2019 short sale data from CBOE and FINRA, we examine the intraday time patterns and information content of on-exchange and off-exchange shorting. Midday short sales and those near the open strongly and negatively predict the cross-section of stock returns at daily horizons...

Persistent link: https://www.econbiz.de/10013223121

News and Trading After Hours

Cui, Bei; Gozluklu, Arie Eskenazi - 2021

This paper explores after-hours trading (AHT) in U.S. equity markets. We collect a large set of news releases during AHT and document their effect on AHT activity and market quality. Three types of news events attract most AHT: earnings announcements, insider trades, and index reconstitutions....

Persistent link: https://www.econbiz.de/10013240837

Trading Activity and Bid-Ask Spreads of Individual Equity Options

Zheng, Jinguo - 2010

proportional bid-ask spread. There are three main findings. First, the option return volatility, defined as the option price … elasticity times the stock return volatility, has a much higher power in explaining the spread variations than the commonly … considered liquidity determinants such as the stock return volatility and option trading volume. Second, after controlling for …

Persistent link: https://www.econbiz.de/10013147825

Retail Order Flow Imbalances : Informed Trading or Liquidity Provision?

Barardehi, Yashar H.; Bernhardt, Dan; Da, Zhi; … - 2022

We show that wholesalers internalize unbalanced amounts of retail order flow to provide liquidity to institutional investors. The Tick Size Pilot highlights how wholesaler incentives affect the magnitude and composition of internalized retail trade imbalances (Mroib, Boehmer et al.\ 2021). Large...

Persistent link: https://www.econbiz.de/10013313692