Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Intraday Versus Inter Day Trading Analysis Of Market Depth Trading Volume And Return Volatility With Holiday Effects On Us And Taiwan Stock Market
Download Intraday Versus Inter Day Trading Analysis Of Market Depth Trading Volume And Return Volatility With Holiday Effects On Us And Taiwan Stock Market full books in PDF, epub, and Kindle. Read online Intraday Versus Inter Day Trading Analysis Of Market Depth Trading Volume And Return Volatility With Holiday Effects On Us And Taiwan Stock Market ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Intraday Versus Inter-day Trading : Analysis of Market Depth, Trading Volume and Return Volatility with Holiday Effects on US and Taiwan Stock Market by :
Download or read book Intraday Versus Inter-day Trading : Analysis of Market Depth, Trading Volume and Return Volatility with Holiday Effects on US and Taiwan Stock Market written by and published by . This book was released on 2015 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intraday Information, Trading Volume, and Return Volatility by : Edward H. Chow
Download or read book Intraday Information, Trading Volume, and Return Volatility written by Edward H. Chow and published by . This book was released on 2004 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intraday Trading Patterns and Day-of-the-Week in Stock Index Options Markets by : Min-Hsien Chiang
Download or read book Intraday Trading Patterns and Day-of-the-Week in Stock Index Options Markets written by Min-Hsien Chiang and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article studies the intraday patterns of trading volume, volatility, and spreads and day-of-the-week variations for stock index options traded on the Taiwan Futures Exchange (TAIFEX). In addition, we examine the overnight variations in returns, volatility and spreads as well. We find that trading volume of TAIFEX options exhibit a U-shaped pattern. While the volatility at the market open is extremely volatile, the volatility quickly levels off for much of the rest of a trading. The bid-ask spreads pattern for TAIFEX options approximately follows a U-shaped pattern with a small hump immediately after 13:00 hours. The mean returns at Monday open for TAIFEX calls are lower while returns at the end of a trading day are larger. Calls have smaller overnight variations in volatility and bid-ask spreads compared to those in puts.
Book Synopsis Intraday Trading Volume and Return Volatility of the Djia Stocks by : Ali F. Darrat
Download or read book Intraday Trading Volume and Return Volatility of the Djia Stocks written by Ali F. Darrat and published by . This book was released on 2003 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones Industrial Average (DJIA). We use 5-minute intraday data and measure return volatility by the EGARCH method. Contrary to the mixture of distribution hypothesis, the vast majority of the DJIA stock shows no contemporaneous correlation between volume and volatility. However, we find evidence of significant lead-lag relations between the two variables in a large number of the DJIA stocks in accordance with the sequential information arrival hypothesis.
Book Synopsis Intraday Market-Wide Ups/Downs and Returns by : Wei Zhang
Download or read book Intraday Market-Wide Ups/Downs and Returns written by Wei Zhang and published by . This book was released on 2018 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using stock market data over 16 years for Chinese stock markets and over 3 years for U.S. stock markets, this study explores the explanatory power of early intraday market-wide up and down movements to the subsequent intraday returns within the same trading day. As compared to the closing of the previous trading day, we introduce two intraday market-wide up/down indicators in terms of the index return and the proportional difference in the numbers of stocks moving upwards to downwards at each minute. A time series analysis shows an economically and statistically significant positive relation between the intraday indicators and the subsequent intraday returns of the market indices. Intraday trading strategies that exploit this intraday relationship lead to monthly returns of 4.1% in the Chinese market and 2.8% in the U.S. market. In addition, the strategies are more profitable in markets with high activity of individual investors (i.e., high trading value, low trading volume per transaction, small-cap, high B/M ratio, low institutional ownership, low price, and high number of shareholders). The results indicate that simple intraday market-wide up/down movements in the earlier trading affect the sentiment of retail investors, resulting in market movements in the same direction within the trading day.
Book Synopsis Volume and Volatility in the Stock Market by : Melissa Danielle Davis
Download or read book Volume and Volatility in the Stock Market written by Melissa Danielle Davis and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intraday Interdependence of International Stock Markets by : Ulrich Carl
Download or read book Intraday Interdependence of International Stock Markets written by Ulrich Carl and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the interdependence between international equity markets represented by the S&P 500 Mini Future, the Eurostoxx 50 Future and the Nikkei 225 Dollar Future using 5 minute tick data from April 2007 until February 2012. This very recent, high-frequency, future market data approach has a significant advantage over previous research based on lower frequency data by explicitly accounting for intraday effects and avoiding biases due to non-synchronous data. A preliminary analysis of hourly data reveals distinct intraday patterns especially in hourly volatility, correlations and volume. For the study of correlation and volatility, the trading day for each pair of markets is divided into four subsections of varying trading activity. The correlation is highest when only the American stock markets are open. While the European volatility strongly depends on the opening status of the U.S. equity markets, the American volatility is much less affected by the opening status of the European equity markets. This clearly indicates that U.S. markets are still dominant. The opening of a major stock exchange significantly increases volatility and correlation. There is no statistically significant return pattern, but some indication for a trend reversal in Eurostoxx 50 returns after Stoxx opening.
Book Synopsis The High-frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market by :
Download or read book The High-frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market written by and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that have been used in most previous high frequency foreign exchange analysis. We describe intraday volume and volatility patterns in euro-dollar and dollar-yen trading. We study the effects of scheduled U.S. macroeconomic data releases, first confirming the finding of recent literature that the conditional mean of the exchange rate responds very quickly to the unexpected component of data releases. We next study the effects of data releases on trading volumes. News releases cause volume to rise, and to remain elevated for a longer period. However, in contrast to the result for the level of the exchange rate, even if the data release is entirely in line with expectations, we find that there is still typically a large pickup in trading volume"--Federal Reserve Board web site.
Book Synopsis Two Essays on the Intraday Behavior of Stocks Around Holidays by : Dong Yaabo Nyonna
Download or read book Two Essays on the Intraday Behavior of Stocks Around Holidays written by Dong Yaabo Nyonna and published by . This book was released on 2006 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises two related essays on the intraday behavior of stocks around holidays. Essay one studies the intraday pattern of spreads for a sample of NYSE stocks on a short trading day (a trading day where the stock markets close at 1 p.m. ET). A plot of an interval-by-interval time series mean percentage bid-ask spreads reveal a "stretched L-shaped" intraday pattern. The spreads pattern demonstrated in this study contrasts with the "U-shaped" intraday spreads pattern documented by McInish and Wood (1992), Brock and Kleidon (1992), and Chung and Zhao (2003). The wide spreads at the open of trading are consistent with both the specialist market power hypothesis and the specialist anticipating trading with informed traders. We attribute the relatively constant spread (following the first half hour till the close of trading) to the loss of specialist market power, and investors exiting the market in preparation for a holiday observation. In addition, our study documents mixed findings on the determinants of spreads on the short trading day. We attribute the mixed results to the yearly differences in mean percentage bid-ask spreads in our sample period. Essay two examines the intraday pattern of bid-ask spreads for NASDAQ stocks on trading days around holidays. A plot of mean percentage bid-ask spreads shows that spreads are highest at the open, fall slightly after the first few minutes of trading, and remain relatively constant till around the close of trading, where they fall slightly. Our results are consistent with those of Chan, Christie, and Schultz (1995), but inconsistent with those of Chung and Zhao (2003). We attribute the observed pattern of spreads in this study to the low participation of ECNs on trading days around holidays. Finally, we show that both the intraday trading volume and volatility patterns are "U-shaped," supporting the results documented on the regular trading days.
Book Synopsis Testing the Implications of Overconfidence for Intraday Trading by : Ali F. Darrat
Download or read book Testing the Implications of Overconfidence for Intraday Trading written by Ali F. Darrat and published by . This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the implications of overconfidence behavior using U.S. intraday trading data. We propose several testable hypotheses for return autocorrelations, trading volume, return volatility, and for the causal interrelations between volume and volatility. As predicted by overconfidence behavior, return autocorrelations are positive for short lags and then gradually decline as lags lengthen. Also consistent with the prediction of overconfidence together with biased self-attribution, return volatility is higher during periods containing public news signals compared with volatility during periods without public news signals. To differentiate between the overconfidence hypothesis and the sequential information arrival hypothesis, we test the lead-lag links between trading volume and return volatility during periods without public news. After necessary Bayesian adjustments to avoid large sample biases, we find evidence that volume Granger-causes volatility but without feedback during the periods without public news. The results lend support to the overconfidence hypothesis as opposed to the sequential information arrival hypothesis and suggest that investors trade according to their private signals but are reluctant to close their positions afterwards.
Book Synopsis Intraday Trading Activity and Volatility by : Vivek Rajvanshi
Download or read book Intraday Trading Activity and Volatility written by Vivek Rajvanshi and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We use tick-by-tick data for one energy futures (crude oil) and four metal futures (gold, silver, copper, and zinc) traded at Multi-Commodity Exchange India Limited (MCX) for the period of four years from January 1, 2009 to December 31, 2012. We test and find support for the Mixture of-Distribution Hypothesis (MDH), which suggests a positive simultaneous relationship between trading volume and price volatility, and the Sequential Information Arrival Hypothesis (SIAH), which argues that information arrives sequentially in the market and there would be a lead-lag relationship between volatility and volume. Further, in order to test the dispersed belief and asymmetrical information hypothesis, we test the impact of the net effect of trading numbers and order imbalance on volatility. We find that trading numbers explain the volume-volatility relationship better than the order imbalance and mainly drive the return volatility in the Indian commodity futures market. Our results find strong support for the above hypotheses and suggest that the four theories -- MDH, SIAH, dispersed belief, and asymmetrical information hypothesis -- complement each other.
Book Synopsis Securities Operations by : United States. General Accounting Office
Download or read book Securities Operations written by United States. General Accounting Office and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility by : Syed Mujahid Hussain
Download or read book The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility written by Syed Mujahid Hussain and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes a fresh empirical investigation of key financial market variables and the theories that link them. We employ high frequency 5-minute data that include transaction price, trading volume, and the close bid and ask quote for the period May 5, 2004 through September 29, 2005. We document a number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. We are able to confirm the reverse J-shaped pattern of intraday bid-ask spreads with the exception of a major bump following the intraday auction at 13:05 CET. The aggregate trading volume exhibits L-shaped pattern for the German blue chip index, while German index volatility displays a somewhat reverse J-shaped pattern with two major bumps at 14:30 and 15:30 CET. Our empirical findings show that contemporaneous and lagged trading volume and bid-ask spreads have numerically small but statistically significant effect on return volatility. Our results also indicate asymmetry in the effects of volume on conditional volatility. However, inclusion of both measures as proxy for informal arrival in the conditional volatility equation does not explain the well known volatility persistence in intraday stock returns.
Book Synopsis Information, Trading and Stock Returns by : K. C. Chan
Download or read book Information, Trading and Stock Returns written by K. C. Chan and published by . This book was released on 1994 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European dually- listed stocks, Japanese dually-listed stocks also listed in London, and Japanese dually-listed stocks not listed in London with American stocks of comparable average trading volume and volatility. It is shown that the intra-day patterns for these stocks are remarkably similar even though the public information flows differ markedly across these stocks during the trading day. In the morning, Japanese stocks have the greatest volatility and volume, followed by European stocks and American stocks. These rankings are reversed in the afternoon. We argue that these patterns are consistent with markets reacting to the overnight accumulation of public information which is greatest for Japanese stock and smallest for American stocks and inconsistent with the view that early morning volatility can be attributed to monopolistic specialist behavior.
Book Synopsis Public Information Arrival and Volatility of Intraday Stock Returns by : Petko S. Kalev
Download or read book Public Information Arrival and Volatility of Intraday Stock Returns written by Petko S. Kalev and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data from the Australian Stock Exchange. Our analysis reveals a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns, even after controlling for the potential effects of trading volume and high opening volatility. Furthermore, the inclusion of the news variable in the conditional variance equation of the generalized autoregressive conditional heteroscedastic model also reduces volatility persistence, especially with intraday data. Combined with the evidence that news arrivals display a very strong pattern of autocorrelation, our results are consistent with the Mixture of Distribution Hypothesis, which attributes conditional heteroscedasticity of stock returns to time-dependence in the news arrival process.
Book Synopsis Interday and Intraday Volatility by : Gary Gang Tian
Download or read book Interday and Intraday Volatility written by Gary Gang Tian and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session having a much higher interday volatility than the afternoon session. This L-shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility observed at the market open.
Book Synopsis Intraday Patterns in Returns, Trading Volume, Volatility and Trading Frequency on SEATS by : Michael J. Aitken
Download or read book Intraday Patterns in Returns, Trading Volume, Volatility and Trading Frequency on SEATS written by Michael J. Aitken and published by . This book was released on 1993 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt:
