trading day
The one trading day ahead forecast errors of intra day realized volatility
... A volatility forecasting evaluation framework that brings together a well defined measure with known statistical properties is applied for predicting one-trading-day-ahead realized volatility. Any ...
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Terrorist Activities, Investor Sentiment, and Stock Returns: Evidence from Pakistan
... first trading day after the incident which was 3 days after the ...investors’ trading activity around the assassination of Benazir ...the trading volume (total number of shares traded) on a ...
10
Vol 9, No 1 (2014)
... daily trading data including opening price, highest price, lowest price, closing price and trade volume of the ten essential candidate stocks as shown in Table 2 are first collected from Taiwan Stock Exchange ...
21
Seasonal Adjustment of the Consumer Price Index
... The consumer price index (CPI) mainly includes the year-on-year index, which is calculated by using the same month of previous year as the base period (pre- vious year = 100), and the chain index by taking the previous ...
11
Travel.pdf
... Using event study methodology we show that, on the first trading day after the announcement of the travel ban, high-tech firms experienced average abnormal returns of − 0.55% or − 0.68%, depending upon the ...
10
Is Temporary Trading Halt Mechanism for New Shares on The First Day of Trading Conducive to Curbing Speculations?
... On 25 th May, 2012, three shares landed on Small-and-Medium Enterprise Board which commenced the implementation of new IPO rules. The new rules bring three changes: increasing the allotment for institutional investors in ...
11
The Impact of “Offer for Sale” by Existing Shareholders in an IPO on Initial Aftermarket Performance
... positive relationship between MKT and RETUTN is expected. Next control variable of this study, investors’ sentiment reflected by heurestic representative, is measured by the average returns on the opening trading ...
16
Price Discovery in the Chinese Gold Market
... different trading sessions for the gold spot ...non-overlapping trading sessions in a trading day: Morning, Afternoon, and ...night trading session on ...
33
ASSOCIATION RULE MINING BASED VIDEO CLASSIFIER WITH LATE ACCEPTANCE HILL CLIMBING APPROACH
... resume trading day after the sub-owned shares reform was declared by China’s Securities Regulatory ...resume trading day as the explained ...
6
Timing of initial public offerings, seasoned equity offerings and takeover bids financed with equity: UK evidence
... They are all characterisedby three significant stylised facts: first, on the first trading day of the IPO firm and on the announcement of the SEO or the takeover bid, the share price of [r] ...
375
Intra Day Seasonality in Foreign Exchange Market Transactions
... We begin by examining the stylized facts of the returns and volatility series for market and limit orders across the trading day. Summary statistics are given in Table 1 with related time series plots in ...
22
Stock market efficiency in the S&P 500 with respect to day of the week
... significantly negative compared to the rest of the week. French focused his study between 1953 and 1977 (French, 1980). Further, Michael Gibbons and Patrick Hess looked closer at individual stocks and the treasury bills ...
11
Overnight Momentum, Informational Shocks, and Late Informed Trading in China
... First, we test the dynamic relation between intraday predictability and financial crises. Over the entire sample period, there are two notable crises which earn their names in the Chinese financial history. Namely, the ...
44
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
... critical trading volume threshold is required to shift price discovery from the trading day to the ...smaller trading volumes the opening price (and hence, the observed overnight return from ...
32
On the Observational Implications of Knightian Uncertainty
... The observation that ambiguity remains until the last trading day suggests, unlike risks, Knightian uncertainty may be not “learnable” in practice to the traders. The intuition can be illustrated using the ...
44
Order aggressiveness of institutional and individual investors
... the trading day and become less aggressive as the trading day progresses while individual investors behave in an opposite ...the trading day and in response to changes in the ...
49
How Much is the Gap?:Efficient Overnight Jump Risk Adjusted Valuation of Leveraged Certificates
... the trading day progresses, the maximum gap risk premium increases and the asset price in which the maximum is attained shifts further towards the ...current trading day increases, thus ...
38
Predictability of the daily high and low of the S&P 500 index
... The rolling regressions for predicting daily highs predict the correct sign of the trading-day-over-trading day growth in the high of S&P 500 index 78.2 percent of the time, over the ...
13
The Moderating Effect of Information Asymmetry on the Signalling Role of Institutional Investors in the Malaysian IPOs
... Similar arguments can also be applied to FLIP where results shown in Column (c) of Table 5 indicate that successful subscribers of IPO with high INSTRAT are less likely to flip their shares on the first trading ...
40
Front Running and Collusion in Forex Trading
... This paper examines the market-wide e ff ects of front-running and information-sharing by dealers in a quantitive microstructure model of Forex trading. Recent investigations by gov- ernment regulators and court ...
68