33 verified PDFs
We mainly investigate how the prices, volumes and beliefs co-evolves in the stock market within fundamentalist-chartist framework. To evaluate the fitness of ...
overnight trading volume patterns. To account for an increasing trend in trade over time, for each day we compute the volume in every 5 minute interval ...
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 ...
Shock (iii) generates changes in the market's aggregate risk aversion, which cause the expected return on the stock to vary. Shock (ii) is in the model so that ...
We also find overnight return shocks to have t-distributions with degrees of freedom roughly equal to three, which emphasizes the potential ...
1. This figure shows dollar trading volume over 30-min intervals throughout the trading day for the period 1993–2013. In particular, we first sum up.
Contracts expire the last trading day in March, June,. September, and December. The popular S&P 500 stock index futures contracts, listed on the. Chicago ...
Equation (12) shows that changes in market share are not only driven by price factors but also by changes in export quality or consumer preference (taste) for ...
For this ticker, JC Penney, we observe a 17% jump in after-hours trading associated with about 64% of the Average Daily Volume (7.1M shares in the post-close.
These are known as volume spikes, which are abrupt and substantial increases in trading activity. These spikes can occur for various reasons, such as ...
Despite this interest, NSCC data indicates that overnight volumes currently account for only ~1% of total daily notional traded, underscoring ...
A strategy that buys stocks experiencing high volume shocks and sells stocks experiencing low volume shocks generates positive returns up to 12 months after ...
Note: This figure depicts the daily amount of traded volume in overall and overnight triparty repos (in billions of dollars) and the average.
Overnight returns are the returns earned by firms between the closing of the market and the opening of the market the next day. Overnight returns are ...
The significantly positive returns of our volume-based strategies are not due to compensation for excessive risk taking, nor are they due to firm announcement ...
To test this explanation, I compute overnight returns using volume-weighted average prices. (VWAP) in the first half hour of trading. As ...
“The volume-spike screen” Active Trader, March 2004. A combination of simple screening rules revolving around a volume surge shows potential as an entry signal.
When the liquidity of the stock later improves, the stock price recovers, which contributes to the high return on financially distressed stocks during the first ...
Only 4% of Nasdaq trading volume occurs after hours. This article examines how investors' decisions to trade after hours or during the trading day affect the ...
We find that in a time period with a Twitter volume spike, stock return is less likely to follow a lognormal distribution, indicating that ...
