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Author : Henry Kuanshen Wang
Publisher :
ISBN 13 :
Total Pages : 186 pages
Book Rating : 4.:/5 (264 download)
Download or read book Trading Volume and Serial Correlation of Returns on the Taiwan Stock Exchange written by Henry Kuanshen Wang and published by . This book was released on 1992 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lee-rong Wang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (753 download)
Download or read book Daily Serial Correlation, Trading Volume and Price Limits written by Lee-rong Wang and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (272 download)
Download or read book Trading Volume and Serial Correlation in Stock Returns written by John Y. Campbell and published by . This book was released on 1992 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "non-informational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (19 download)
Download or read book Trading Volume and Serial Correlation in Stock Return written by John Y. Campbell and published by . This book was released on 1992 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)
Download or read book Trading Volume and Serial Correlation in Stock Returns written by John Y. Campbell and published by . This book was released on 2012 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse quot;market makersquot; accommodate buying or selling pressure from quot;liquidityquot; or quot;non-informationalquot; traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Author : Edward H. Chow
Publisher :
ISBN 13 :
Total Pages : 148 pages
Book Rating : 4.:/5 (75 download)
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:
Author : Yu Chun Chen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (868 download)
Download or read book Forecasting the Trading Volume in Taiwan Stock Market by Principle Components written by Yu Chun Chen and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (143 download)
Download or read book Trading Volumen and Serial Correlation in Stock Returns written by John Y. Campbell and published by . This book was released on 1992 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : 鍾孟豪
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (15 download)
Download or read book Return-volume Relationship in the Taiwan Stock Market--a Revisit on Sample Selection Problem written by 鍾孟豪 and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nathan Sosner
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Trading Patterns and Excess Comovement of Stock Returns written by Nathan Sosner and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index redefinition allowed for a study of the effects of index-linked trading on the excess comovement of stock returns. A large increase occurred in the correlation of trading volume of stocks added to the index with the volume of stocks that remained in the index, and opposite results occurred for the deletions. Daily index return betas of the additions rose by an average of 0.45; index return betas of the deleted stocks fell by an average of 0.63. Theoretical predictions for changes in autocorrelations and cross-serial correlations of returns of index additions and deletions were confirmed. The results are consistent with the idea that trading patterns are associated with short-run excess comovement of stock returns.
Author : Jerry C. Ho
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (129 download)
Download or read book Market Response to Listing Switch between Order-Driven Markets written by Jerry C. Ho and published by . This book was released on 2008 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the change in returns, trading activities, and liquidity of 43 firms that moved from the Over-The-Counter market to Taiwan Stock Exchange during 2002. Using the intraday data, our empirical results suggest that abnormal returns rise as the switching date is approaching, but these returns fall off following the switch. The up-and-down pattern in cumulative abnormal returns around the switching date can be explained by the quot;correction-to-an-overreaction hypothesisquot;. The light trading activities of the switching stocks over the shorter event window are due to the precaution of public investors and trading activities are aroused after the switching firms stay for a longer period of time. The width and depth of liquidity are both worse following the switch. Day trading and stealth trading provide a possible explanation for this phenomenon.
Author : Stephen Satchell
Publisher : Elsevier
ISBN 13 : 0080550673
Total Pages : 299 pages
Book Rating : 4.0/5 (85 download)
Download or read book Forecasting Expected Returns in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-04-08 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
Author : Dong, Xi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Born Different written by Dong, Xi and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper comprehensively studies the differences in trading volume-induced serial correlation in returns between foreign-traded stocks (stocks with ADRs) and other stocks. High U.S. volume induces return reversals in ADRs, but momentum in average/comparable U.S. domestic stocks. The difference between the two types of stocks in the differential profits to reversal strategies between high and average volume days is enormous, e.g., 45bps weekly. Similar differences are observed between ADRs' counterparts and other stocks in ADRs' home countries, or between stocks before and after cross-listing. Using a large proprietary database of institutional trading, I find U.S. investors' trading in ADRs plays an important role behind these patterns. A comprehensive news dataset further corroborates that such patterns are more likely to be driven by noninformational (liquidity) than informational trading motives. The results support that the presence of foreign trading volume induces high profits for liquidity provision, thereby leading to important implications for return predictability and market efficiency.
Author : Ralph C. Lu
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (129 download)
Download or read book Probability of Information-Based Trading as a Pricing Factor in Taiwan Stock Market written by Ralph C. Lu and published by . This book was released on 2009 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Easley, Hvidkjaer and O'Hara (2002) study the role of information-based trading in affecting U.S. asset returns. They find that information risk or the probability of information-based trading (PIN) is a determinant of the expected returns of NYSE listed stocks. In this paper, we investigate whether emerging financial markets also share similar findings. Specifically, we use transactions and quote data of Taiwan Stock Exchange to measure PIN. Cross-sectional asset pricing tests show that PIN is a significant pricing factor in Taiwan stock market. An increase of ten percentage point in PIN on average requires an additional of four to seven percent in annual stock returns.
Author : Ralph Lu
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)
Download or read book The News Effect and Asset Pricing in Taiwan Stock Market written by Ralph Lu and published by . This book was released on 2013 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the relationship between the news effect and the abnormal returns. The content analysis is applied to quantify the public news related to the listed stocks in the Taiwan Stock Market. By Referring to Demers and Vega (2011), this study constructs the net optimism of public news (SR) and considers the SR as the proxy variable of news effect. The study samples are the listed stocks in the Taiwan Stock Exchange for the period from January 2004 through December 2012. The portfolios are established by sorting the SR and the news effect is measured by the high portfolio SR minus the low portfolio SR. By following the methodology of Florackis, Gregoriou and Kostakis (2011), we estimate the abnormal returns of SR portfolios by using the asset pricing models that involve the single-factor model of Black, Jensen and Scholes (1972), three-factor model of Fama and French (1993) and the four-factor model of Carhart (1997). The empirical results show that there is a significant positive relationship between the net optimism of public news (SR) and the abnormal returns. The strategy of positive excess returns could be generated by buying stocks with high SR and shorting stocks with low SR. In addition, the two-stage regression analysis of Fama and MacBeth (1973) is applied to examine whether the news effect could explain the portfolios abnormal returns in the Taiwan Stock Market. The empirical results show that the news effect extracted from the public information could increase the explanatory of abnormal returns. The public news could explain the anomalies in the financial theories if it is investigated properly which is consistent to the findings of Vega (2006), Tetlock (2007), Tetlock, Saar-Tsechansky and Macskassy (2008) and Demers and Vega (2011).
Author : Cheng-Few Lee
Publisher : Elsevier
ISBN 13 : 9780762306589
Total Pages : 222 pages
Book Rating : 4.3/5 (65 download)
Download or read book Advances in Investment Analysis and Portfolio Management written by Cheng-Few Lee and published by Elsevier. This book was released on 2001-02-02 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: - Desarrolla una metodología que permite compaginar la adquisición de los objetivos y el trabajo en competencias básicas. - Asume un compromiso con la educación en valores que se refleja en el tratamiento de los contenidos, de la ilustración y de las propuestas de trabajo. - Otorga un papel destacado a las nuevas tecnologías. - Favorece la adecuación de la exposición y la profundidad de los contenidos con el grado de maduración del alumnado. - Confiere a las ilustraciones un papel didáctico de primer orden. - Proporciona una rica oferta en actividades, tanto en el plano cuantitativo como en el cualitativo. - Ofrece materiales que fomentan la autoevaluación del alumnado.
Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
