The profitability of pair trading strategy in stock markets: Evidence from Toronto stock exchange

2021 ◽  
Author(s):  
GholamReza Keshavarz Haddad ◽  
Hassan Talebi
Keyword(s):  
Stock Markets ◽  
Stock Exchange ◽  
Trading Strategy ◽  
Toronto Stock Exchange

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

Herd Behaviour: How Decisive is the Noise in the NSE and BSE Stock Markets?

2016 ◽  
Vol 6 (1) ◽  
Author(s):  
Paritosh Chandra Sinha
Keyword(s):  
Behavioral Finance ◽  
Stock Markets ◽  
High Frequency ◽  
Stock Exchange ◽  
Time Stamp ◽  
Trade Volume ◽  
Herding Behavior ◽  
Equilibrium Pricing ◽  
Indian Context ◽  
Herd Behaviour

Do investors in the stock markets act/react on true information or noise? Do they believe on their own information or simply herd? The study seeks to explore these typical research queries from the behavioral finance perspectives. In particular, it develops a new theory of herding behavior and extends the models of Banerjee (1992) and Bikhchandani, Hirshleifer, and Welch (1992). The study also empirically tests the same on the Indian context with the high frequency intraday trading data for the real trade-time or time-stamp, trade-volume, and trade-price of ten sample scripts listed for their trading in both markets - the Bombay Stock Exchange (BSE) and the National stock Exchange (NSE). The study contributes to the literature with original findings. It shows that investors in the two Indian stock markets show crowd of positive and negative herding as well significantly and there is huge noise along with information in the markets equilibrium pricing mechanism.

Does tick size influence price discovery? Evidence from the Toronto Stock Exchange

2002 ◽  
Vol 23 (1) ◽  
pp. 49-66 ◽  
Author(s):  
Marie-Claude Beaulieu ◽  
Shafiq K. Ebrahim ◽  
Ieuan G. Morgan
Keyword(s):  
Price Discovery ◽  
Stock Exchange ◽  
Tick Size ◽  
Toronto Stock Exchange

Financial statement effects of adopting IFRS: the Canadian experience

2018 ◽  
Vol 26 (4) ◽  
pp. 466-491 ◽  
Author(s):  
Eva K. Jermakowicz ◽  
Chun-Da Chen ◽  
Han Donker
Keyword(s):  
Financial Reporting ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Financial Statement ◽  
Net Income ◽  
Cross Sectional ◽  
Toronto Stock Exchange ◽  
Content Type ◽  
Publicly Traded Companies ◽  
Interaction Terms

Purpose The purpose of this study is to examine the effects of adopting International Financial Reporting Standards (IFRS) on financial statements of the largest Canadian firms (S&P/TSX 60) listed on the Toronto Stock Exchange (TSX). Design/methodology/approach This study investigates the financial statement effects of 46 companies from the S&P/TSX 60 index which report under IFRS in 2011 and switched to IFRS from CGAAP. This study used panel data analysis, which can be considered as more powerful when conducting cross-sectional and in time analysis among companies. Because of weakness of Cramer statistic on R-square, the authors used interaction terms as suggested by Hope (2007). Findings Consistent with the authors’ perceptions, this study finds that significant effects of adopting IFRS are associated with industry practices. The empirical results show that the adoption of IFRS in Canada created more relevant financial reporting for book value of equity and net income in the post-adoption periods. Originality/value This study should be of interest to the US regulators considering IFRS adoption by US publicly traded companies as well as to regulators, standard setters and listed companies in all countries worldwide that are in transition to IFRS.

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