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...

Informal" know-how trading is the extensive exchange of proprietary know-how by informal networks of process engineers in rival (and non-rival) firms. I have observed such know-how trading networks to be very active in the US steel minimill industry and elsewhere, and they appear to represent a novel form of cooperative R&D. When one examines informal know-how trading in the framework of a "Pri...

Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Excha...

nologies, particularly the Internet, have profoundly changed the dynamics of financial markets. More people are trading online through the Web instead of using full-service brokerages. According to Jupiter Communications, the $415 billion online brokerage assets in 1998 will grow by more than sevenfold to $3 trillion in 2003 [4]. Investors Combining new technology with established financial mar...

This paper aims to examine how corporate insider trading influences patterns of foreign and institutional investors especially in firms with high discretionary accruals low book-to-market ratios as proxies for information uncertainty. study uses methods such informed traders who are considered gather more precise before after tests affects traders. The results this provide evidence that is like...

In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on Jegadeesh and Titman approach.The...

Abstract A new approach for modeling lead–lag relationships in high-frequency financial markets is proposed. The model accommodates non-synchronous trading and market microstructure noise as well intraday variations of relationships, which are essential empirical applications. simple statistical methodology analyzing the proposed presented, well. illustrated by an study to detect between S&...

Recent research has proposed several ways in which overcon"dent traders can persist in competition with rational traders. This paper o!ers an additional reason: overcon"dent traders do better than purely rational traders at exploiting mispricing caused by liquidity or noise traders. We examine both the static pro"tability of overcon"dent versus rational trading strategies, and the dynamic evolu...

We investigate periodic, aperiodic and scaling behaviour of eigenmodes, i.e. daily price fluctuation time-series derived from eigenvectors, of correlation matrices of shares listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002. Periodic, or calendar, components are investigated by spectral analysis. We demonstrate that calendar effects are limited to eigenmodes whi...