scholarly journals Há Efeito Manada em Ações com Alta Liquidez do Mercado Brasileiro?

2015 ◽  
Vol 1 (2) ◽  
Author(s):  
Juliana Xavier Serapio da Silva ◽  
Claudio Henrique Barbedo ◽  
Gustavo Silva Araújo
Keyword(s):  
Mutual Funds ◽  
Stock Prices ◽  
High Frequency ◽  
Stock Exchange ◽  
High Frequency Data ◽  
Herd Behavior ◽  
Frequency Data ◽  
Price Pressure ◽  
Behavior Based

Purpose: This work aims to verify the herd behavior in both liquid stocks of Brazilian stock exchange, i.e. Petrobras and Vale.Methodology: This work uses the methods of Christie and Huang (1995) and price pressure with high frequency data to detect the herd behavior between 2010 and 2014.Findings: The first method suggest that there are no signs of herd behavior using 30 minutes intervals data. However, there is evidence of price pressure for the sample with all intraday data.Originality: Herd behavior studies usually focus on mutual funds. This work analyses the herd behavior based on individual stock prices. 

scholarly journals The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange

2003 ◽  
Vol 10 (1-2) ◽  
pp. 133-168 ◽  
Author(s):  
David D. Cho ◽  
Jeffrey Russell ◽  
George C. Tiao ◽  
Ruey Tsay
Keyword(s):  
High Frequency ◽  
Stock Exchange ◽  
High Frequency Data ◽  
Frequency Data ◽  
Price Limits ◽  
Taiwan Stock Exchange ◽  
Magnet Effect

scholarly journals Daily LGARCH model estimation using high frequency data

2021 ◽  
Vol 1 (2) ◽  
pp. 165-179
Author(s):  
Xiaoling Chen ◽  
◽  
Xingfa Zhang ◽  
Yuan Li ◽  
Qiang Xiong
Keyword(s):  
High Frequency ◽  
Stock Exchange ◽  
Likelihood Estimation ◽  
High Frequency Data ◽  
Simulation Studies ◽  
Frequency Data ◽  
Asymptotic Results ◽  
Estimation Precision ◽  
Quasi Maximum Likelihood ◽  
Autoregressive Conditional Heteroscedasticity

<abstract> <p>In this paper, we introduce the intraday high frequency data to estimate the daily linear generalized autoregressive conditional heteroscedasticity (LGARCH) model. Based on the volatility proxies constructed from the intraday high frequency data, the quasi maximum likelihood estimation (QMLE) of the daily LGARCH model and its asymptotic distribution are studied under some regular assumptions. One criterion is also given to choose the optimal volatility proxy according to the asymptotic results. Simulation studies show that the QMLE of the parameters performs well. It is also found that introducing the intraday high frequency data can significantly improve the estimation precision. The proposed method is applied to analyze the SSE 50 Index, which consists of the 50 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. Empirical results show the method is of potential application value.</p> </abstract>

scholarly journals Liquidity of Tunisian Stock Market: A Panel Var Estimation

2021 ◽  
Vol 10 (3) ◽  
pp. 93
Author(s):  
Wafa Chabeb ◽  
Adel Boubaker
Keyword(s):  
Response Function ◽  
High Frequency ◽  
Stock Exchange ◽  
Impulse Response Function ◽  
High Frequency Data ◽  
Var Model ◽  
Panel Var ◽  
Frequency Data ◽  
Dynamic Interactions ◽  
Dynamic Relationships

The purpose of this paper is to estimate the functions impulsions-response of liquidity on the Tunisian Stock Exchange (TSE). We will use the methodology proposed by Abrigo and Love (2016). Our study is done on an order-driven market. The data is composed of high frequency data of orders listed on the TSE for the period April 2014 to June 2014. Inspired of the study of Jarnecic and Snape (2014), we apply a panel VAR model to stocks traded in continuous in order to examine the dynamic interactions between spread, volatility, size and frequency of transactions. Then we study the liquidity of the TSE through the impulse response function of the Panel VAR model. Our findings show dynamic relationships between spread, volatility, size and frequency of trading. Some differences exist in the dynamics of liquidity when we take into account the trading intensity of the stock. Furthermore, we note that shocks are absorbed after three gaps of 45minutes.

scholarly journals Variance reduction estimation for return models with jumps using gamma asymmetric kernels

2019 ◽  
Vol 23 (5) ◽  
Author(s):  
Yuping Song ◽  
Weijie Hou ◽  
Shengyi Zhou
Keyword(s):  
Simulation Study ◽  
Bias Correction ◽  
High Frequency ◽  
Variance Reduction ◽  
Stock Exchange ◽  
High Frequency Data ◽  
Weak Consistency ◽  
Frequency Data ◽  
Finite Sample ◽  
Nonparametric Estimators

Abstract This paper discusses Nadaraya-Watson estimators for the unknown coefficients in second-order diffusion model with jumps constructed with Gamma asymmetric kernels. Compared with existing nonparametric estimators constructed with Gaussian symmetric kernels, local constant smoothing using Gamma asymmetric kernels possesses some extra advantages such as boundary bias correction, variance reduction and resistance to sparse design points, which is validated through theoretical details and finite sample simulation study. Under the regular conditions, the weak consistency and the asymptotic normality of these estimators are presented. Finally, the statistical advantages of the nonparametric estimators are depicted through 5-minute high-frequency data from Shenzhen Stock Exchange in China.

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