[PDF] Top 20 Essays on the Role of Informed Trading in Stock Markets

... Jiang, Lee, and Zhang (2005) summarize that stocks with high information uncertainty refer to firms with higher volatility (Ang, Hodrick, Xing, and Zhang 2003), higher volume (or turnover) (Lee and Swaminathan 2000), ... See full document

... financial markets all over the world have been perceived as highly ...important role for the stock price volatility, but also for the exchange rate ...goods markets of advanced and transition ... See full document

... abnormal stock returns in each of the next three (four) days following the extreme market movement days in the case of stocks that hit the 10% upper price limit on the extreme market movement day in the Shanghai ... See full document

... Similar to our study, Jain et al. (2012) utilize the Arrowhead event in their study. They find that the LOB liquidity measured by the cost of immediacy (COI) and LOB slope improves, and auto correlation and cross ... See full document

... Our work is related to the research on the microstucture of the options market. Jameson and Wilhelm (1992) examine the effects of an option's gamma and vega on option spreads using a sample of the most active option ... See full document

... expected stock returns? The theoretical literature has come to different ...from trading against informed ...financial markets where investors are not ... See full document

... London Stock Exchange (LSE) on which firms could go public via a two-stage IPO strategy ...a stock lending supply after the first-stage introduction, the second-stage equity issuance becomes short-sale ... See full document

... African Stock Exchange News Services (SENS) stipulates strict disclosure requirements for listed companies and enhances investor confidence and market ...these markets may be processed at different speeds ... See full document

... expected stock returns? The theoretical literature has come to different ...from trading against informed ...financial markets where investors are not ... See full document

... are stock variables that include the flows of new aircraft/operators, and time-varying unobservables that affect aircraft utilization and prices may be correlated with these new flows and, thus, with the measures ... See full document

... total trading fee (maker and taker fee together) retained by the exchange affect liquidity and trading ...option markets, Anand, Hua and McCormick (2016) present that the introduction of the ... See full document

... liquidity suppliers in our model are subject to adverse selection risk, because they may fail to cancel stale quotes during value jumps. HFTs in our model have no private value to trade. They consistently monitor the ... See full document

... for informed traders. Fourth, estimated option gains of informed traders easily exceed several millions for a single ...underlying stock price does not display any particular behavior on the day of ... See full document

... the informed trading ...the trading process, in which a competitive market maker sets bid and ask prices based on her forecast of the composition of the traders (informed versus uninformed) ... See full document

... With the growing transparency of transaction prices resulting from advances in the communications industry, regulatory authorities came to the opinion (Lannoo, 2007) that retail investors, a steadily growing category of ... See full document

... The resulting sample of stocks on which options are traded tend to be constituents of the FT-100 with a strong focus on high technology stocks. Table 3 presents some descriptive statistics of the firms on which options ... See full document

... how stock splits affect trading in the presence of uninformed and informed ...After stock splits, there is a slight increase in uninformed trading and a tendency to execute trades using ... See full document

... Table 3.9 reports probit estimation results for the determinants of profit warnings including three proxies for having access to the debt market: PD, ISSUES, and PD/LTD. The sample consists of UK firms subject to a ... See full document

... 2.4.2.1 Importance of mutually exclusive favor opportunities: The proofs of Propo- sition 2.19 and Proposition 2.21 relied on the mutually exclusive favor opportunities so that one agent could grow pessimistic while the ... See full document

... frontier markets located in the GCC region, namely Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates ...GCC stock markets and the foreign participation and ownership is mostly ... See full document