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Positive illiquidity premium is documented to be linked with level and risk of illiquidity effect across global markets. Our study shows that this evidence is subject to variation from one measure of illiquidity to another with one potential implication. That the magnitude of illiquidity premium...
Persistent link: https://www.econbiz.de/10012856081
We explore the impact of delisting on the performance of the momentum trading strategy in Australia. We employ a new … large stocks are less exposed to liquidity risks, the momentum effect in Australia is even more puzzling than in the U.S …
Persistent link: https://www.econbiz.de/10013043095
This paper evaluates the existence of herding behavior and its drivers in the Australian equity market by considering the impacts of the COVID-19 crisis. Utilizing an updated dataset from 2009 to 2021, we confirm that herding propensity is more pronounced at the beginning of the crisis due to a...
Persistent link: https://www.econbiz.de/10013406886
(Ehrmann, et al., 2003), this paper investigates the dynamic relationships among the stock markets of the US, Australia and New …
Persistent link: https://www.econbiz.de/10013124196
between Australia and its major trading partners in the pre-crisis and post-crisis (includes crisis-period). We also found the … long-run relationship between Australia and its medium trading partners only in the post-crisis period. Granger non …-causality test show the presence of bidirectional relationship between Australia and Singapore. Study also finds unidirectional …
Persistent link: https://www.econbiz.de/10013101449
The high-frequency market reaction to intraday stock-specific news flow is examined over the period January 2000 to November 2011. Data on novelty, relevance, and direction of company-specific news for the ASX50 leading Australian stocks is garnered from the Ravenpack news analytics tool....
Persistent link: https://www.econbiz.de/10013065673
We examine whether China's growing importance to Australia as both a trade partner and engine of growth has been … sector, which has been accounting for over half of Australia's exports to China in the years since the global financial …
Persistent link: https://www.econbiz.de/10012839142
Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is …
Persistent link: https://www.econbiz.de/10012951895
This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad...
Persistent link: https://www.econbiz.de/10012896689
Despite the increasingly tight economic relationship between China and Australia, little attention has been paid to the …
Persistent link: https://www.econbiz.de/10013010937