Can a short-squeeze incident trigger financial contagion over the entire stock markets? The recent GameStop frenzy provides a unique natural experiment to explore this question. In this study, we examine the static and dynamic return and volatility connectedness among the GameStop stock, the...

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and future return was investigated in the Korean stock market from July 1990 to June 2018. The capital gains overhang was used as a reference point for a definition of the loss and...

In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...

Existing time series of the returns on German stocks are either short or have weaknesses. We discuss the problems of creating such a time series and then report our monthly series based on all stocks in the top segment of the Frankfurt Stock Exchange. We compare our return series with the...

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 paper investigates seasonal anomalies in stock returns on Bucharest Stock Exchange. The anomalies studied are two of the most common security price anomalies detected on international stock markets, the day-of-the-week effect and the month-of-the-year effect. The empirical research is...

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...

We revisited the Jegadeesh and Titman (1993) methodology of momentum to find out whether any momentum still exists in the Australian stock market. Our results suggest the presence of significant momentum returns in the Australian market. The momentum can last up to 100 weeks if the portfolio is...

This study analyzes stock market performance in 70 countries to determine which months generate higher returns and which months exhibit lower returns. Results from numerical analyses and t-tests show that returns are significantly higher in January, February, April, July and December relative to...

The purpose of the paper is to provide new insights on the relation between the value/growth anomaly and the external financing anomaly by considering an expanded value/growth indicator: free cash flow yield (free cash flows scaled by price). In line with the literature on contrarian portfolios,...