Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 100 for “"Trading Volume"”.
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Trading Volume as a Proxy for Other Information in the Returns -Earnings Regression
Overall, these results validate Liu and Thomas' claim (2000) that failure to control for other information proxies in the returns-earnings regression can lead to misleading inferences and that future research should control for those proxies when using the regression to address a research question.
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
… the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities …
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The shareholder-wealth and trading volume effects of information technology infrastructure investments in a developing country
Little research has been done into the relationship between IT investment and business value in South Africa, particularly regarding the effects of IT infrastructure investment. Therefore this thesis, in a replication of a recent US study, poses the research question: Do South African stock market …
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The impact of retail investor attention on the returns, trading volume and volatility of non-fungible tokens
… attention, impacts the returns, volatility and trading volume of stocks and cryptocurrencies, although there is mixed evidence as to whether the impact on returns is negative or positive. This study evaluates whether retail investor attention impacts the returns, trading volume and volatility of …
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Pengaruh pencalonan Jokowi menjadi calon presiden 2014-2019 terhadap abnormal return dan trading volume activity di bursa efek Indonesia: Studi pada kelompok perusahaan LQ 45
… dan menganalisis perbedaan Abnormal Return dan Trading Volume Activity yang diperoleh investor terhadap harga saham yang d isebabk an peristiwa Pengumuman Pencapresan Jokowi. Metode penelitian ini menggunakan metode k uantitatif deskriptif dengan pengamb ilan sampel pop ulasi, data sekunder, dan …
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Analysis on the KOSPI200 option from the time-series and cross- sectional perspectives
… options accounted for 43.4% of the global trading volume in equity index futures and options in 2011. It also accounted for 93.5% of the total trading volume in the Korean derivatives market in 2011. In this thesis, I examine why investors have traded KOSPI200 options so much among various …
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Analisis perbedaan abnormal retrum dan trending activity sebelim dan sesudah pengumuman stimulus the fed 19 September 2013: Study kasus pada Perusahaan LQ 45 di BEI
… ditunjukan dengan adanya Abnormal Return dan Trading Volume Activity pada perusahaan LQ 45. Penelitian ini menggunakan data sekunder dengan menggunakan sampel sebanyak 45 perusahaan yang tergabung dalam kelompok LQ 45. Model yang digunakan untuk menghitung actual ritern adalah Market Adjusted …
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Essays in financial economics
In Chapter 1, I investigate trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases by more than 15% prior to scheduled announcements. The decline in trading volume is largest when …
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Essays on International Stock and Bond Returns
… relationships between stock returns and trading volume, and between trading volume and volatility. By using the nonlinear Granger causality test, we find the existence of both bi-directional relations between stock returns and trading volume, and between trading volume and volatility. …
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Three Essays on the Effect of Overconfidence on Economic Decision Making
… a causal link between overconfidence and trading behavior. Feedback is used to eliminate the possibility for subjects to be overconfident about the accuracy of their signals. The data from this experiment show that overconfidence affects trading volume and profits, but when feedback is …
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An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure
… contracts by investigating the relation between trading volume and price volatility under different market conditions defined by the shape/slope of forward curve. Both contemporaneous and lead-lag relation between trading volume and volatility are found significantly positive, while the latter is …
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Essays on stock exchanges speed competition, designs and high-frequency trading
… connection speeds because this will reduce its trading volume. I provide empirical evidence showing that slow exchanges lose trading volume to fast exchanges as the latter attract more price-improving orders. I first show that a slow exchange's (IEX) market share of trading volume in stocks with …
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A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes
… models are able to estimate the actual rights trading prices relatively well. Some models performed better than others did and these findings were consistent with the original reasonings. The market was shown to not account for the effect of dilution. The best model prices were obtained when …
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Investor attention and stock market behaviour in Europe: Evidence from Google search data
… Google search data through the Google Search Volume Index (GSVI) across European stock markets. To provide a solid foundation for the research, the thesis includes a comprehensive literature review and develops a theoretical framework that incorporates the primary theories on investor …
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Two Essays on Oil Futures Markets
… study also empirically analyzes the effects of trading characteristics on the information share of these two markets. Trading characteristics examined in the study include trading volume, trade size, and trading costs. On average, CME is characterized by greater volume and trade size but also …
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Spatio-Temporal Patterns, Correlations, and Disorder in Evolutionary Game Theory
… such as the fat-tail distributions in return and trading volume, the volatility clustering, and the long-range correlation in volatility. It is demonstrated that the long-tail feature in trading volume distribution results in the fat-tail distribution of asset return, and furthermore it is shown …
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Market Reactions to Dual-class Share Creation and Unification: Evidence from Canada
… Specifically, we analyze abnormal returns, trading volume, liquidity, and institutional ownership changes surrounding these two events. We use the event study methodology to conduct abnormal return analysis on three event days: The Announcement Day (AD), the Approval Day (ApD), and the …
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Impact of IFRS adoption on stock performance and financial indicators: a comparative study between Germany and the UK
… the movement to IFRSs in Europe on share prices, trading volume of shares and financial ratios of listed companies in Germany, as a case study of code-law countries, and the UK, as a case study of common-law countries. Using 8 years of data, which cover the period from 2000 to 2007 and incorporate …
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The efficiency of the oil futures markets: information, price discovery and long memory
… in the short term. Third, the price change and trading volume relationship is examined in the oil futures markets using the generalized method of moments (GMM), Granger causality test, impulse response function and variance decomposition approaches. The findings reject the postulation of a …
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The immediate price and volume effects of investment advisory services on stocks recommended
… study was to investigate the immediate price and volume effects or investment advisory services on stocks recommended. The methodology used in this study consisted of the selection of sixty-four stock recommendations published by three major advisory services, Value Line Investment Service, …
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