33 verified PDFs
“News mostly drive overnight returns, whereas investors' trading mostly drives intraday returns.” Can you perform direct test? Test 1: Combine post-2000 high- ...
The market volume evolution represents the changes in the monthly aggregate volumes of all observed trades in securities in the relevant group, based to 100 ...
Approximately, 75% to 80% of total overnight trades originated from Asia, with Korea accounting for more than 75% of that Asian volume at the.
Their findings confirmed that volume spikes often precede significant price movements, providing empirical support for volume-based trading strategies. However, ...
Overconfidence increases ex- pected trading volume, increases market depth, and decreases the expected utility of overconfident traders. Its effect on ...
In the cross-section, negative skewness is greater in stocks that (1) have experienced an increase in trading volume relative to trend over the prior six months ...
Here, we explore the current 24-hour trading landscape and offer recommendations that we believe could improve investors' trading experience.
Abstract : This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression ...
Indeed, volume increased massively in regular trading during 5 August and bid-ask spreads came down sharply, indicating an influx of orders to ...
This paper documents large positive returns to holding U.S. equity futures overnight during the opening hours of European markets. Consistent with models of ...
The main findings are that when sorting stocks into decile portfolios by values of liquidity shocks, the average returns are fairly ...
This paper explored the relationship between volume and jumps in stock prices using high frequency, minute by minute, data from the S&P 500 stocks. It has been.
We find that volume prediction improves significantly over moving averages of lagged trading volume when using technical signals.
