scholarly journals DOES PRE-OPENING SESSION IMPACT MARKET VOLATILITY AND LIQUIDITY?

2010 ◽  
Vol 9 (2) ◽  
Author(s):  
Luluk Kholisoh ◽  
Sri Hermawati Gunadarma
Keyword(s):  
Stock Exchange ◽  
High Volume ◽  
Market Liquidity ◽  
Conventional Wisdom ◽  
Market Volatility ◽  
Trading Rules ◽  
Session Impact ◽  
Opening Session

On February 4, 2004, the Indonesian Stock Exchange (IDX) was implemented the changed its trading rules from continuous open to opening call, called pre-opening session. The purpose of this trading rules changed is to improve market liquidity. Previous study found that the opening call would reduce the volatility and spread at the opening call than the continuous open. These studies analyze market volatility and liquidity (trade base and order base) using intra-day data from the Indonesian Stock Exchange, where this market uses pre-opening session as the opening call. More than 100,000 transactions were used in this study with one- month period. The results of this study are contradicts to the previous studies. Using the opening call does not reduced market volatility, especially at the opening trade. The opening trade is more volatile then closing trade. Using the opening call do not impair on liquidity, especially for high volume stocks, based on trade or based on order. This phenomenon was contradicts to the conventional wisdom which suggests that thinly traded stocks is better in call trading method while the continuous auction method is preferred for heavily traded stocks.

scholarly journals Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Risks ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 89
Author(s):  
Muhammad Sheraz ◽  
Imran Nasir
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Approximate Entropy ◽  
Market Volatility ◽  
Comparative Approach ◽  
Stock Market Volatility ◽  
Information Theoretic ◽  
Information Theoretic Measures ◽  
Garch Modeling

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification of the randomness of PSX-100. The methodology includes two approaches: (i) the implementation of EGARCH, GJR-GARCH, and TGARCH models to estimate the volatilities; and (ii) analysis of randomness in volatilities series, return series, and PSX-100 closing prices for pre-pandemic and pandemic period by using Shannon’s, Tsallis, approximate and sample entropies. Volatility modeling suggests the existence of the leverage effect in both the underlying periods of study. The results obtained using GARCH modeling reveal that the stock market volatility has increased during the pandemic period. However, information-theoretic results based on Shannon and Tsallis entropies do not suggest notable variation in the estimated volatilities series and closing prices. We have examined regularity and randomness based on the approximate entropy and sample entropy. We have noticed both entropies are extremely sensitive to choices of the parameters.

Creating Value in Small-cap Firms by Mitigating Risks of Market Volatility

2017 ◽  
Vol 21 (4) ◽  
pp. 350-355 ◽  
Author(s):  
Sayantan Khanra ◽  
Sanjay Dhir
Keyword(s):  
Stock Exchange ◽  
Emerging Market ◽  
Market Volatility ◽  
Emerging Market Economies ◽  
Financial Returns ◽  
Market Economies ◽  
Volatility Index

Extant research has explored numerous ideal approaches to predict and anticipate the unpredictability in stocks to mitigate business risks. This article attempts to offer an important insight on creating values in terms of financial returns dodging the risks associated with the market volatility in emerging market economies by exploring the context of National Stock Exchange (NSE), India. The study establishes that Small-cap companies, which are included in NSE Small 100 index, are less inclined to be impacted by the market volatility index (NVIX) compared to the Large-cap companies and Mid-cap companies that are under respective Broad Market Indices. Furthermore, this article examines 64 Small-cap companies, belonging to nine different sectors, to investigate the sector-wise impact of market volatility on Small-cap businesses in India.

Conditional stock liquidity premium: is Warsaw stock exchange different?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Szymon Stereńczak
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Market Liquidity ◽  
Investment Horizon ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Content Type ◽  
Bear Market

Purpose This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one. Design/methodology/approach Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples. Findings The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market. Originality/value This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.

scholarly journals Margin requirements and Stock Market Volatility in Bangladesh

2012 ◽  
Vol 3 (2) ◽  
pp. 29
Author(s):  
A. F. M. Mainul Ahsan ◽  
Mohammad Osman Gani ◽  
Md. Bokhtiar Hasan
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Margin Requirements ◽  
Margin Requirement ◽  
Daily Stock Returns ◽  
The Impact

Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.

scholarly journals Financial contagion: The impact of the volatility of global stock exchanges on the Lima-Peru Stock Exchange

2020 ◽  
Vol 1 (1) ◽  
pp. 13-27
Author(s):  
Pedro Pablo Chambi Condori
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Exchange ◽  
Market Volatility ◽  
Financial Contagion ◽  
Stock Market Volatility ◽  
Important Indicator ◽  
Dynamic Correlation ◽  
High Volatility ◽  
The Impact

What happens in the international financial markets in terms of volatility, have an impact on the results of the local stock market financial markets, as a result of the spread and transmission of larger stock market volatility to smaller markets such as the Peruvian, assertion that goes in accordance with the results obtained in the study in reference. The statistical evaluation of econometric models, suggest that the model obtained can be used for forecasting volatility expected in the very short term, very important estimates for agents involved, because these models can contribute to properly align the attitude to be adopted in certain circumstances of high volatility, for example in the input, output, refuge or permanence in the markets and also in the selection of best steps and in the structuring of the portfolio of investment with equity and additionally you can view through the correlation on which markets is can or not act and consequently the best results of profitability in the equity markets. This work comprises four well-defined sections; a brief history of the financial volatility of the last 15 years, a tight summary of the background and a dense summary of the methodology used in the process of the study, exposure of the results obtained and the declaration of the main conclusions which led us mention research, which allows writing, evidence of transmission and spread of the larger stock markets toward the Peruvian stock market volatility, as in the case of the American market to the market Peruvian stock market with the coefficient of dynamic correlation of 0.32, followed by the Spanish market and the market of China. Additionally, the coefficient of interrelation found by means of the model dcc mgarch is a very important indicator in the structure of portfolios of investment with instruments that they quote on the financial global markets.

scholarly journals High-Frequency Trading Competition

2018 ◽  
Vol 54 (4) ◽  
pp. 1469-1497 ◽  
Author(s):  
Jonathan Brogaard ◽  
Corey Garriott
Keyword(s):  
High Frequency ◽  
Stock Exchange ◽  
Market Liquidity ◽  
High Frequency Trading ◽  
Toronto Stock Exchange ◽  
Bid Ask Spreads

Theory on high-frequency traders (HFTs) predicts that market liquidity for a security decreases in the number of HFTs trading the security. We test this prediction by studying a new Canadian stock exchange, Alpha, that experienced the entry of 11 HFTs over 4 years. We find that bid–ask spreads on Alpha converge to those at the Toronto Stock Exchange as more HFTs trade on Alpha. Effective and realized spreads for non-HFTs improve as HFTs enter the market. To explain the contrast with theory, which models the HFT as a price competitor, we provide evidence more consistent with HFTs fitting a quantity-competitor framework.

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