This paper analyzes the impact of network externalities and market quality on trading costs and activity. The price impacts of trades of stocks cross-listed on two international stock exchanges are found to be significantly lower on one of the exchanges. Foreign exchange conversion costs, and differences in tick size and the network externalities associated with how the upstairs markets on the ...

This paper aims to apply the quantile regression analysis to explore the impacts of the stock market trading value, change in international oil prices, and the US implementation of Quantitative easing monetary policy on Taiwan’s and Korea’s stock index returns. This study is in accordance with the 2008 US implementation of quantitative policy to conduct research on 53-month data collected from ...

in this article using autoregressive (ar), autoregressive conditional heteroskedasticity (arch), generalized autoregressive conditional heteroskedasticity (garch) models we assess the weekend effect and also compare the trading patterns of individual and legal investors during 1381-1385 in tehran stock exchange. our findings suggest that weekend effect exists in tehran stock exchanges which are...

We demonstrate empirically how recent proposals to modify the penny-based system of stock trading may have simultaneous and opposite effects on the incidence of high frequency trading (HFT) and the trading of undisplayed (or “dark”) liquidity. We do so by exploiting the fact that the existing ban on sub-penny quotations (Rule 612 of Regulation NMS) only applies to equity orders (bids or asks) p...

This study examines share price and trading volumes data around the date of cash dividend distributions made by a sample of companies listed on The London Stock Exchange. The ex-day share price behaviour is modelled to take account of the personal taxes of long-term investors as well as the transaction costs and holding risks of short-term traders. The post-announcement drift is linked to the b...

the purpose of this research is to examine the existence of seasonality in the stock market return, its volatility and trading amount associated with moving calendar events such as the holy month of ramadan using a garch specification and data for the tehran stock exchange (tse) from april 1998 to june 2010. the result shows a statistically significant increase in returns and a systematic patte...

The portfolio management for trading in the stock market poses a challenging stochastic control problem of significant commercial interests to finance industry. To date, many researchers have proposed various methods to build an intelligent portfolio management system that can recommend financial decisions for daily stock trading. Many promising results have been reported from the supervised le...

In recent years, many brokerage firms and hedge funds use a trading system based on financial engineering and many algorithms. On the other hand, many personal investors judge their trade by their intuition or advices from stock analysts. Therefore, there are a big gap of a trading method between the institutional investors and the personal investors. The objective of this paper is to propose a...

Stock data mining such as financial pairs mining is useful for trading supports and market surveillance. Financial pairs mining targets mining pair relationships between financial entities such as stocks and markets. This paper introduces a fuzzy genetic algorithm framework and strategies for discovering pair relationship in stock data such as in high dimensional trading data by considering use...

In this paper, we assess customers’ value which can be provided by mobile financial information services enabling private investors to react promptly to critical market events and to exploit the subsequent abnormal intraday stock price movements. We present two frameworks for evaluating customers’ benefits of a corresponding investment. First, we empirically analyze the impact of timelier infor...