Combining data on high frequency trading (HFT) activities of a randomly selected sample of 120 stocks and data on institutional trades, I find that HFT increases the trading costs of traditional institutional investors. One standard deviation increase in the intensity of HFT activities increases institutional execution shortfall costs by a third. Further analysis suggests that HFT represents as...

Fundamental and technical analyses are two common methods for predicting the future behavior of the stock. Fundamental analysis focuses on the economic forces of supply and demand which cause stock prices change. On the other hand, technical analysis examines historical data relating to changes in the price and trading volume by using graphs and indicators as a primary tool to predict future pr...

A trading strategy is an algorithm that provides decision support for a trader. An ideal system suggests which stocks to buy and sell at every moment. Limited but still very useful trading strategies suggest stocks to buy, but leave the sell decisions and the decision of proportions of different stocks to the trader, or to another automatic decision mechanisim. In this paper we use a previously...

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...

Does Algorithmic Trading Improve Liquidity? Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic as a proxy for algorithmic liquidity supply and trace the associations between liquidi...

Using a new hand-collected data set, this study examines the stock price manipulation in the Taiwan Stock Exchange (TSE). We examine the characteristics of the manipulated stocks, and their impacts on market quality. The results show that manipulated stocks tend to be small. The stock prices rise throughout the manipulation period, followed by a price reversal. The average cumulative abnormal r...

The last decade has witnessed a dramatic increase in both the number and the market share of screen-based trading systems. Electronic trading systems do offer lower operating costs and the possibility of remote access to the market. On the other hand, arguments based on the anonymity of electronic trading systems suggest that adverse selection may be a more severe problem and that, therefore, b...

We test and confirm the hypothesis that individual investors are net buyers of attentiongrabbing stocks, e.g., stocks in the news, stocks experiencing high abnormal trading volume, and stocks with extreme one day returns. Attention-driven buying results from the difficulty that investors have searching the thousands of stocks they can potentially buy. Individual investors don’t face the same se...

This paper analyses the presence of the disposition effect in the Australia equity market. We examine over 10,000 individual investor accounts at a leading local retail brokerage. Robust evidences of the disposition effect are found across all investors. We further explore the contributing factors for the observed bias by separating the sample into groups with different demographic features and...

This study examines the pattern of active versus passive trading in UK equities over the period 1991-2005. We describe a metric to analyse trading activity and volumes in the UK FTSE350 and AIM markets, with emphasis on industrial and size-based effects. Our findings indicate that active stock picking has been consistently declining in the UK market over the period studied for all markets, size...