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 49 for “"Trading activity"”.
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Prices, Trading Activity, And Market Quality In The Modern Otc Marketplace
… by providing a more complete picture of trading in this market. I examine determinants of trading within the tiers and compare trading metrics of the biggest return winners and losers during the sample period. I also examine if day-of-the week effects previously documented for listed …
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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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The JSE Stock Exchange News Service : the impact of SENS announcements on trading activity on the JSE securities exchange
… Service Announcements (SENS Announcements) on trading volumes.
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Examining Relationships between Online Financial Message Board Interactions and Trading Activity of Securities Listed on the AIM Submarket of the London Stock Exchange
… to disseminate (mis)information. The high interactivity and low communication costs of online message boards result in a potential for social networks to amplify the effects of behavioural biases (Zhang, 2014; Russ, 2007). However, previous studies on the informational content of message board …
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The role of information asymmetry and the level of market trading activity in shaping the time-to-maturity pattern of futures return volatility
I consider two explanations for the mixed empirical results on the Samuelson effect, which postulates that futures return volatility increases closer to maturity when the futures price becomes more sensitive to information flows. First, I empirically investigate Hong’s (2000) theoretical suggestion …
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Intraday market dynamics
… of the new millennium have radically altered trading routines and strategies. Algorithms have taken over trade executions in an environment where interactions between virtual traders happen faster than blink of an eye. New trading strategies of long-term investors, e.g. institutional …
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Understanding the effects of uncertainty on the macroeconomy and financial markets
… in financial markets through examining trading activity around the U.S. macro news releases. It documents a sustained increase in stock and option trading activity coupled with a rise in risk and dramatic drop in uncertainty after the release of Federal Open Market Committee (FOMC) …
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Canadian market reaction to dividend omission and resumption announcements
… share price reaction and changes in beta and trading activity surrounding announcements of dividend omissions and resumptions made by Canadian corporations. Significant negative abnormal returns are identified for a three-day announcement period. No significant shift in beta is found. The …
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Financial sustainability and business income generating in the non-profit sector
… study looked at the degree to which NPOs employ trading activity to help fund and improve financial sustainability. Utilising a quantitative method, the study used an online survey tool to gather financial information from 72 NPOs in six different countries - Australia, Canada, India, Nigeria, …
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The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange
… between the volume and value of index futures trading for the three main share indices and the volatility of the underlying assets on the JSE. The results of the regression tests indicate significant positive relationships between futures trading activity and the volatility of the underlying …
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Three Essays On Bond Trading
… bond trades that execute on the NYSE have higher trading costs than listed bond trades that execute off-NYSE. We show that listed bonds are more volatile than unlisted bonds. Lastly, we study bond trading around earnings announcements. We find no evidence that listing influences institutional (or …
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Communication, confidence and asset pricing.
… ability to explain the observed enormous trading activity in financial markets. Yet, a growing literature documents that social communication affects individual trading behavior and market trading patterns, and over- and underconfident traders may coexist. The dissertation thus has two …
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Pricing and arbitrage in cryptocurrency markets
… for real-time data collection of pricing and trading activity for four cryptocurrencies across three exchanges. Using the data collected for the US Dollar to cryptocurrency order books from May 4, 2018 to May 9, 2018 we find that arbitrage opportunities exist in 0.03% to 40.38% of five-second …
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Three Essays on Trading by Members of Congress
… period, I present evidence that past firm-level trading activity by politicians predicts future firm-level stock returns, and this prediction is stronger for the pre-recession period and for small firms. By constructing buy-minus-sell transactions-based portfolios, I document that the portfolios …
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Exploring alternative values: the Cape Town talent exchange
… national and global exchanges to take place. Trading activity occurs between members of the community through an alternative currency, Talents. There are numerous incentives driving the participation of the community members. These include various political, social, economic, environmental and …
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The Impact of Unions on Information Asymmetry
… of information asymmetry (proxied for by insider trading activity, analyst following, and analyst dispersion). I also examine whether employee ownership impacts the effect of company-specific measures of employee unionization on my market-based measures of information asymmetry. I find mixed …
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Essays on Determinants of IPO Liquidity and Price Adjustments to Persistent Information in Option Markets
… IPO attributes play a role in explaining IPO trading activity. My empirical evidence shows that differences of opinion and estimation uncertainty about an IPO firm affect little IPO liquidity. My findings contribute to the understanding of determinants of IPO aftermarket trading. I also …
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MEAN REVERSION MODELING WITH APPLICATION IN ENERGY MARKETS
… energy price data to test their performance in trading activity. The simulation results generated by the two models are then compared and discussed. This application shows that when different measures are taken, similar sensitivity appears by fixing a relationship between symmetric parameters.
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Do accruals exacerbate information asymmetry in the market?
… I examine this impact both, in general, for all trading activity occurring for a firm over a continuous flow of information during the year and around the first release of accrual information for each quarter. The results of the study provide empirical evidence of a positive association between …
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International Financial Markets
… on the dynamic relation between market-wide trading activity and price variability in 20 countries. The results show that individualism and masculinity are positively related to volume-variability relation; other country factors including information asymmetry, financial development, short …
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