a r t i c l e i n f o JEL classification: C22 E44 F31 Keywords: Monetary shocks Asymmetric effects MSVAR–EGARCH In this paper, we study the effect of monetary shocks on the Chinese stock market over the period of 2005 to 2011 with the MSVAR–EGARCH model. The evidence suggests that Chinese monetary policies have significantly asymmetric effects on the stock market in different time periods and m...

The Indian stock market is one of the earliest in Asia being in operation since 1875, but remained largely outside the global integration process until the late 1980s. A number of developing countries in concert with the International Finance Corporation and the World Bank took steps in the 1980s to establish and revitalize their stock markets as an effective way of mobilizing and allocation of...

Exploiting a precise reproduction of a stock exchange, the robustness of the Continuous Double Auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36 different set ups made by varying both the operators’ behaviour and the market micro structure. The obtained results demonstrate that the CDA remains able to clear strongly different order flows, t...

This paper communicates the overall behaviour of the stock exchange. Basically, stock exchange is marketing for companies/group(s) assets to sell their shares and in-return generates revenues to invest and grow their company/business. The attitude of giant investors keeps on changing their move to destabilise the market so that the trivial investors cannot become stable/grow and compel to sell ...

This paper examines lunisolar calendar anomalies in the Taiwan stock market, particularly the solar term effect. Using the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), the significance of the solar term effect was tested. Statistical results showed that the lowest and the highest average stock returns are observed on Cold Dew and White Dew, respectively. Additionally, we f...

In our previous work, we have developed a multi-agent based simulated stock market where artificial stock traders coevolve by means of individual and social learning and learn to trade stock profitably. We tested our model on a single stock (British Petroleum) from the LSE (London Stock Exchange) where our artificial agents demonstrated dynamic learning behaviours and strong learning abilities....

This study examined the role of positive and negative discretionary accrual management in the stock price impact. A sample of 66 firms listed in Tehran Stock Exchange was selected for a ten-year period (2008-2017). Accrual management was found to lead to significant changes in stock prices, and uninformed investors incur trading costs caused by the stock price impact. The results showed two key...

We examine the impact of stock exchange trading rules and surveillance on the frequency and severity of suspected insider trading cases in 22 stock exchanges around the world over the period January 2003 through June 2011. Using new indices for market manipulation, insider trading, and broker-agency conflict based on the specific provisions of the trading rules of each stock exchange, along wit...