The implementation of margin trading and securities lending mechanism offers us a unique circumstance to analyze the impact of short selling regulations in China. We define the addition events as the stocks are included to the designated securities list and therefore can be sold short. By focusing on the 30 trading days around the addition events, the results document statistically significant ...

Pairs trading is an investment strategy that depends on the price divergence between a pair of stocks. Essentially, this strategy involves choosing a pair of stocks that historically move together, then taking a long-short position if the pair’s prices diverge, and finally reversing the previous position when prices converge. The rationale of the pairs trading is to make a profit and avoid mark...

In this paper we apply evolutionary optimization techniques to compute optimal rule-based trading strategies based on financial sentiment data. The sentiment data was extracted from the social media service StockTwits to accommodate the level of bullishness or bearishness of the online trading community towards certain stocks. Numerical results for all stocks from the Dow Jones Industrial Avera...

a r t i c l e i n f o This paper examines the relationship between option trading activity and stock market volatility. Although the option market is uniquely suited for trading on volatility information, there is little analysis on how trading activity in this market is linked to stock price volatility. The bulk of the discussion tends to focus on whether trading activity in the stock market i...

This paper empirically evaluates the effects of NASDAQ’s $1-minimum-bid-price threshold (known as the one-dollar rule) as part of its listing maintenance criteria. Even though this controversial rule was introduced as early as in September 1991, it remained unexplored by academic research. Empirical evidence compiled in this study suggests that the implementation of this one-dollar rule is just...

Internet stock message boards provide individual investors with a new information medium that could have several effects on stock activity. Message boards may provide investors with a new information source on small cap stocks. Message boards may affect the trading and volatility of certain stocks by influencing investors. The impact of message board information may vary according to characteri...

In equilibrium, active investing must be compensated with returns from gathering costly information about stock values (e.g., Grossman and Stiglitz, 1980). In return, active investors serve to promote price discovery in stocks. However, substantial trading is required by active, informed investors, who may prefer to trade in the same stocks as passive, uninformed investors to hide their intenti...

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...