Market Microstructure Noise, Intraday Stock Market Returns, and Adaptive Learning: Indian Evidence

Intraday Liquidity Patterns in Indian Stock Market

This paper attempts to study the liquidity patterns and to detect any commonality across liquidity measures, using one year intraday data from India's National Stock Exchange (NSE). Using the data on 20 stocks from NSE's NIFTY Index, we found that most of the volume and spread related liquidity measures exhibit an intra-day U-shaped pattern, similar to those found for a market consisting of mar...

Petrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange

While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...

Exploring relation between Indian market sentiments and stock market returns

Demographics , Stock Market Flows , and Stock Returns ∗

This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models — the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negative...

Moon Phases, Mood and Stock Market Returns: International Evidence

We employ recent data from 59 international emerging and mature stock markets to provide new evidence of a lunar cycle (full and new moon) effect on their stock market returns. Using a TGARCH model, we further examine the linkages between efficient-market theory, calendar-related effects and investors' mood resulted from moon phases. The empirical results show significant full moon effects in 6...