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State-dependent stock liquidity premium : the case of the Warsaw stock exchange

Stereńczak, Szymon - In: International Journal of Financial Studies : open … 8 (2020) 1/13, pp. 1-24

The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar …-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging … Polish stock market exists stock liquidity premium, which is statistically significant, but constitutes only a small fraction …

Persistent link: https://www.econbiz.de/10012238765

Female Leadership and Value Creation : Evidence from London Stock Exchange

Trinh (Rainy), Dr Vu Quang - 2018

This study examines the effects of female leadership, at both board-level and individual-level, on the corporate value of UK FTSE100 stocks. United Kingdom is a valuable sample for this research as the UK governance sets the goal that at least a third of UK boardroom positions should be held by...

Persistent link: https://www.econbiz.de/10012926138

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an...

Persistent link: https://www.econbiz.de/10011431447

'Crude Oil Price Velocity & Stock Market Ripple' - A Comparative Study of BSE with NYSE & LSE

Khanna, Kirti - 2012

In this new era of economic growth, the exceptional increase in the crude oil prices is one of the significant developments that affecting the global economy. Crude oil is an important raw material used for manufacturing many goods, so that an extraordinary increase in the price of oil is bound...

Persistent link: https://www.econbiz.de/10013102794

Signalling Characteristics and Information Content of Directors’ Dealings on the London Stock Exchange

Ajlouni, Mohd M. - 2010

The study investigates the information content of insider trading transactions employing different signal definitions. Using directors' open market dealings during the period 1999-2000 for FTSE100 companies and new extensions of the event study methodology, the evidence suggests directors have,...

Persistent link: https://www.econbiz.de/10013135717

The Impact of Earnings Announcements on Stock Prices : An Event Study for the London Stock Exchange

Odendaal, Reon - 2015

The period of 2010-2012 was characterized by information uncertainty and market volatility. Information uncertainty is a critical characteristic of financial market behavior. The ability to absorb and distribute information is central to financial market efficiency. Uncertain corporate earnings...

Persistent link: https://www.econbiz.de/10013013687

The Extended Friday the 13th Effect in the London Stock Exchange

Stefanescu, Razvan - 2019

The extended Friday the 13th Effect is a calendar anomaly consisting in abnormal stock returns that occur in a time interval that starts some trading days before the supposed unlucky day of Friday the 13th and it ends some trading days after. This paper approaches the presence of such patterns...

Persistent link: https://www.econbiz.de/10012859712

Short-Run Returns around the Trades of Corporate Insiders on the London Stock Exchange

Friederich, Sylvain J.; Gregory, Alan; Matatko, John; … - 2023

Previous work examined the long-run profitability of strategies mimicking the trades of company directors in the shares of their own company, as a way of testing for strong-form market efficiency. However, the evidence regarding returns during the month containing the insider trade was...

Persistent link: https://www.econbiz.de/10014254607

The Extended January Effect on London Stock Exchange

Stefanescu, Razvan; Dumitriu, Ramona - 2023

Since their discovery, many calendar anomalies experienced different types of changes. This paper explores the possibility of enlargement of the time interval specific to the January Effect on London Stock Exchange. We investigate the abnormal returns presence on an extended time interval that...

Persistent link: https://www.econbiz.de/10014351025

Asymmetric Stock Price and Liquidity Responses to Changes in the FTSE SmallCap Index

Biktimirov, Ph.D., CFA, Ernest N. - 2014

market capitalization and are free of information effects. Our main results are asymmetric price and liquidity responses … smaller-cap to a larger-cap FTSE index experience a permanent increase in stock price accompanied by improvements in liquidity … accompanied by declines in liquidity. In contrast, firms added to the FTSE SmallCap index that were not previously in FTSE indexes …

Persistent link: https://www.econbiz.de/10013065993