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Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

Baur, Dirk G. - 2017

There is a large literature that reports time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study is the first to report intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using...

Persistent link: https://www.econbiz.de/10012941302

Ramadan Effect on Stock Market Return and Trade Volume : Evidence from Dhaka Stock Exchange (DSE)

Hassan, Hashibul - 2019

holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH (p … return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE. This is might be …

Persistent link: https://www.econbiz.de/10012870992

Institutional Trading in Volatile Markets : Evidence from Chinese Stock Markets

Darby, Julia - 2019

We investigate all listed firms in Shanghai and Shenzhen stock Exchanges on extreme market movement days over 2010 to 2017, and highlight the important role of price limit on post extreme day stock returns. Utilising daily cash flow data of the largest trading group as a proxy of institutional...

Persistent link: https://www.econbiz.de/10012871675

Exchange Traded Funds and Stock Market Volatility

Xu, Liao - 2016

This study investigates the relationship between the volatility of stock market indexes and the trading volumes of … volume of S&P 500 ETFs is a key determinant of S&P 500 volatility at both monthly and daily frequencies. Vector … autoregressive estimation on the other hand suggests a two-way Granger causality between S&P 500 volatility and the trading of S …

Persistent link: https://www.econbiz.de/10013005290

Emission Permits and the Announcement of Realized Emissions : Price Impact, Trading Volume, and Volatilities

Hitzemann, Steffen - 2016

before the event, as suggested by significantly lower trading volumes and volatilities. The high event-day volatility is …

Persistent link: https://www.econbiz.de/10013007371

Impact of Macroeconomic Announcements on ETF Trading Volumes

Nadler, Daniel - 2015

Impact of major macroeconomic announcements on the daily trading volumes of several US ETFs is examined for the period of January 2004-April 2014. An ARIMA model with external factors that describe the announcement events is used. It is found that several macroeconomic announcements,...

Persistent link: https://www.econbiz.de/10013024960

Relevance of Uncertainty on the Volatility and Trading Volume in the US Treasury Bond Futures Market

Laakkonen, Helinä - 2015

daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market …

Persistent link: https://www.econbiz.de/10013027232

Day-of-Week Effect on Stock Market Return, Volatility and Trade Volume : Evidence from Dhaka Stock Exchange (DSE)

Hassan, Hashibul - 2020

This paper estimates the day-of-the-week effect on the market return, volatility of market returns and trade volume of … exist in case of market return, volatility of market return and trade volume over the study period of 2005 to 2018. It is … evident that lowest return, highest volatility, and lowest trading volume occur on the Sundays. Returns of Mondays and …

Persistent link: https://www.econbiz.de/10012849345

News and Intraday Retail Investor Order Flow in Foreign Exchange Markets

Kaourma, Filia; Milidonis, Andreas; Nishiotis, George; … - 2021

This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD for the period July 2014 to April 2016. Standard event study analysis shows no significant...

Persistent link: https://www.econbiz.de/10013243514

No News Is Not Good News : Evidence from the Intraday Return Volatility - Volume Relationship in Shanghai Stock Exchange

Krishnamurti, Chandrasekhar - 2014

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

Persistent link: https://www.econbiz.de/10013060597