scholarly journals Does Friday-Monday Dance with Harmony?

2021 ◽  
Vol 17 (1) ◽  
pp. 1-16
Author(s):  
Said Kelana Asnawi ◽  
Chandra Wijaya ◽  
Dergibson Siagian ◽  
Salam Fadillah Alzah
Keyword(s):  
Trading Volume ◽  
Liquidity Risk ◽  
Weekend Effect ◽  
Efficient Market ◽  
Price Fluctuation ◽  
Risk Return ◽  
Positive Return

This research is about the weekend effect, a combination of Friday and Monday, and its impact on Monday trading volume. It was found that there was no association between Friday return and Monday return. Still, they occur a combination both Friday and Monday negative return was more than combination both Friday and Monday positive return. There are both combinations (Friday and Monday), and price fluctuation has not affected Monday's volume. There is also no difference in characteristics between groups: Friday and Monday negative return and Friday and Monday positive return. Thus, Friday-Monday dances with harmony; the efficient market occurs. Keywords: Weekend Effect; Trading Volume; Liquidity; Risk-Return; Market Efficient

scholarly journals Liquidity Risk, Return Predictability, and Hedge Funds’ Performance: An Empirical Study

2013 ◽  
Vol 48 (1) ◽  
pp. 219-244 ◽  
Author(s):  
Rajna Gibson Brandon ◽  
Songtao Wang
Keyword(s):  
Empirical Study ◽  
Emerging Markets ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Liquidity Risk ◽  
Equity Market ◽  
Return Predictability ◽  
Superior Performance ◽  
Managerial Skills ◽  
Risk Return

AbstractThis article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo (2007), (2011), we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills generate superior performance. This outperformance disappears or weakens substantially for most emerging markets, event-driven, and long/short hedge fund portfolios once we account for liquidity risk. Moreover, we show that the equity market-neutral and long/short hedge fund portfolios’ “alphas” also entail rents for their service as liquidity providers. These results hold under various robustness tests.

scholarly journals An Empirical Analysis of the Price Volatility Characteristics of China’s Soybean Futures Market Based on ARIMA-GJR-GARCH Model

2021 ◽  
Vol 2021 ◽  
pp. 1-9
Author(s):  
Yang Xu ◽  
Zhihao Xia ◽  
Chuanhui Wang ◽  
Weifeng Gong ◽  
Xia Liu ◽  
...  
Keyword(s):  
Trading Volume ◽  
Price Volatility ◽  
Futures Market ◽  
Conditional Variance ◽  
Agricultural Product ◽  
Price Fluctuation ◽  
Open Interest ◽  
Volume Coefficient ◽  
The Impact ◽  
The Relationship

As the main force in the futures market, agricultural product futures occupy an important position in the China’s market. Taking the representative soybean futures in Dalian Commodity Futures Market of China as the research object, the relationship between price fluctuation characteristics and trading volume and open position was studied. The empirical results show that the price volatility of China’s soybean futures market has a “leverage effect.” The trading volume and open interest are divided into expected parts and unexpected parts, which are added to the conditional variance equation. The expected trading volume coefficient is estimated. Also, the estimated value of the expected open interest coefficient is, respectively, smaller than the estimated value of the unexpected trading volume coefficient and the estimated value of the unexpected open interest coefficient. Therefore, the impact of expected trading volume on the price fluctuation of China’s soybean futures market is less than that of unexpected trading volume on the price of soybean futures market. This paper adds transaction volume as an information flow to the variance of the conditional equation innovatively and also observes transaction volume as the relationship between conditional variance and price fluctuations.

The Conceptual Model of Efficient Markets in Information Databases in Iran

2018 ◽  
Vol 9 (3) ◽  
pp. 35-43
Author(s):  
Mahshid Eltemasi
Keyword(s):  
Content Analysis ◽  
Market Efficiency ◽  
Conceptual Model ◽  
Trading Volume ◽  
Efficient Markets ◽  
Efficient Market ◽  
Analysis Techniques ◽  
Study Population ◽  
Model Market ◽  
Information Database

The main purpose of this article is to conceptually model market efficiency of information databases in Iran. In order to achieve that, summarizing content analysis techniques was used by reviewing literatures and exploratory interviews. The study population in interviews consists of brokers selling databases in Iran. The bibliographical research has been done on efficient market related publications published in the 5-year period of 2011-2015, indexed on Science Direct, ProQuest and EBSCO information databases. It was found that fourth categories for information database efficient markets: Linearity is most important and then to order, are logic and rationality, and Information-centric, trading volume reached fourth place, so one can say the information database markets are efficient and therefore author(s) traced the conceptual model of efficient markets in Information Databases in Iran.

scholarly journals Liquidity Risk and Return to Islamic Interbank Money Market Development

2019 ◽  
Vol 16 (2) ◽  
pp. 113-122
Author(s):  
Mochamad Malik Akbar
Keyword(s):  
Risk Management ◽  
Liquidity Risk ◽  
Money Market ◽  
Market Development ◽  
Islamic Banking ◽  
Research Use ◽  
Risk Return ◽  
Relationship Of ◽  
The Relationship ◽  
Management Issues

The low interest of Islamic banking in managing its liquidity risk management on Islamic Interbank Money Market (IIMM) has led to sluggish development of IIMM. The purpose of this study is to determine the effect of risk management of Islamic banking liquidity, determine the factors that cause the relationship of influence between the management of liquidity risk and IIMM Return, and knowing the prospects of risk management issues of Islamic bank liquidity concern to the development of IIMM. This research use descriptive and ARCH and GARCH. The results show the variant of EGARCH (1,1) as the best model with R2 1.44%. The Factors affect to IIMM are FDR, STM and Return.Keywords: IIMM Volume, Liquidity Risk, STM and FDR Risk, Return, ARCH and GARCH.

scholarly journals Analyzing the quality factor for Brazil

2021 ◽  
Vol 19 (3) ◽  
pp. 31-52
Author(s):  
Adriana Bruscato Bortoluzzo ◽  
Gustavo Nascimento Pistili ◽  
MAURICIO MESQUITA BORTOLUZZO
Keyword(s):  
Risk Factors ◽  
Stock Market ◽  
Quality Factor ◽  
Risk Return ◽  
Positive Return ◽  
Over Time

Investments in Brazil are increasingly allocated to the stock market, at the expense of more conservative investments. Would finding higher-quality assets allow investors to increase their risk-return ratio? We analyze quality with several metrics, including the quality-minus-junk (QMJ) factor for Brazil. We find that quality companies are valued more by investors, with a higher price-to-book ratio. A portfolio of shares of higher quality shows a significant positive return over the period analyzed, adjusted for several risk factors. The sample members classified as quality companies remained within this classification over time.

scholarly journals Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

2013 ◽  
Vol 2013 ◽  
pp. 1-11 ◽  
Author(s):  
Huijian Dong ◽  
Helen M. Bowers ◽  
William R. Latham
Keyword(s):  
Trading Volume ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
The United States ◽  
Efficient Market ◽  
Historical Information ◽  
Regional Market ◽  
Crude Oil Prices ◽  
Causality Tests ◽  
Market Indexes

This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) closed, (3) intraday high, (4) intraday low, and (5) trading volume series for the world’s 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as control groups. Our results indicate a persistent impact of historical information from global markets on their current levels, and this impact duplicates itself in a cyclical pattern consistently over decades. Such persistence in the patterns causes some market indexes to be upgraded to global or regional market leaders. These findings can be interpreted as constituting violations of the weak-form efficient market hypothesis. The results also reveal recursive impacts of information in these markets and the existence of an information digestion effect.

scholarly journals Week-end Effect: New Evidence from the Indian Stock Market

2001 ◽  
Vol 26 (2) ◽  
pp. 33-50 ◽  
Author(s):  
S Amanulla ◽  
M Thiripalraju
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Stock Exchange ◽  
Market Price ◽  
Weekend Effect ◽  
End Effect ◽  
Price Indices ◽  
Indian Stock Market ◽  
New Evidence ◽  
Positive Return

This paper tests whether the carry-forward transactions in different periods have any impact on week-end effect in the Indian stock market during the period January 1990-December 1999. This study uses the daily stock return of 82 companies traded in the Bombay Stock Exchange (BSE) and three stock market price indices, viz., BSE sensitive index, BSE national index, and S&P CNX Nifty index to investigate the weekend effect The results from the subsample period strongly support the existence of week-end effect during the period of ban on carry-forward (badld] transactions. This study also evidenced a reversal in week-end effect, i.e., positive Monday return and negative Friday return in modified carryforward transactions and revised modified carry-forward transactions. This paper further finds that there is consistent positive return on Wednesday and negative return on Tuesday due to possible impact of National Stock Exchange (NSE) on the week-end effect.

Sign in / Sign up

Export Citation Format

Share Document