Showing 61 - 70 of 431,240
This study examines the effect of Exchange Traded Funds (ETFs) on their underlying AmericanDepository Receipts (ADRs). We find that percentage of ADR shares owned by ETFs increasesdramatically in the past two decades. Contrary to U.S. firms, ETF ownership is positivelyassociated with stock...
Persistent link: https://www.econbiz.de/10013322035
The relationship between the level of stock market volatility and public information flow is non-linear, resembling a bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information flow do not, regardless of whether news are negative...
Persistent link: https://www.econbiz.de/10013228092
We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US cross-listing boosts HFT low-latency cross-border arbitrage. This highly correlated HFT arbitrage activity across...
Persistent link: https://www.econbiz.de/10013232823
Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction of market participants who own a stock) predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23% per year....
Persistent link: https://www.econbiz.de/10013116293
This paper investigates the dynamics of information processing for equity prices and the exchange rate of cross-listed firms. Using high-frequency data and a novel structural setting, I disentangle the effects on firm value of the exchange rate from the other determinants of a firm's cash flow....
Persistent link: https://www.econbiz.de/10012851381
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...
Persistent link: https://www.econbiz.de/10012868588
I study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. The analysis exploits a unique dataset, which allows comparing environments with and without high-frequency competition, and contains an exogenous event - a tick size reform...
Persistent link: https://www.econbiz.de/10012857042
We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...
Persistent link: https://www.econbiz.de/10012838619
We investigate the effects of macroeconomic announcements made in the United States on trading activity of stocks listed in Borsa Istanbul. The influence of these releases on the selected variables are an important source of information for market participants. Results show a clear negative...
Persistent link: https://www.econbiz.de/10012862886
This study aims to examine regularities of price limit hits for stocks listed in the TSE. Regularities of limit hits have not been examined before. The results show an increase of limit hits on Monday and Tuesday. These results of limit hits are consistent with the existing literature for the...
Persistent link: https://www.econbiz.de/10012976789