We study the effect of non-marketability on stock prices, and examine a unique repeated non-marketability constraint that lasts for less than one day in China. Chinese stock buyers face a one-day lockup and cannot sell their shares until the next trading day. Using the equity call warrants that are not subject to this trading constraint as a control, we provide evidence that non-marketability l...

In this paper we try to answer the question as to whether insider trading disclosures convey valuable information to market participants, valuable in the sense of the profitability of an investment strategy that faithfully mirrors insider behaviour. Our interest in this subject is limited to the case of announcements concerning insider transactions issued over a six-year period on the Warsaw St...

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock ...

In this study, we utilize the genetic algorithm (GA) to select high quality stocks with investment value. Given the fundamental financial and price information of stocks trading, we attempt to use GA to identify stocks that are likely to outperform the market by having excess returns. To evaluate the efficiency of the GA for stock selection, the return of equally weighted portfolio formed by th...

Article history: Received 31 July 2008 Received in revised form 27 July 2009 Accepted 29 April 2010 Available online 16 May 2010 Complex networks are constructed to study correlations between the closing prices for all US stocks that were traded over two periods of time (from July 2005 to August 2007; and from June 2007 toMay 2009). The nodes are the stocks, and the connections are determined b...

In this paper we study the structural variation of the network formed by connecting Standard & Poor’s 500 (S&P500) stocks whose closing prices (or price returns) are highly correlated. Specifically we consider S&P500 stocks that were traded from January 1, 2000 to December 31, 2004, and construct complex networks based on cross correlation between the time series of the closing prices (or price...

Recent studies in financial markets suggest that technical analysis can be a very useful tool in predicting the trend. Trading systems are widely used for market assessment. This paper employs a genetic algorithm to evolve an optimized stock market trading system. Our proposed system can decide a trading strategy for each day and produce a high profit for each stock. Our decision-making model i...

We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibits size-dependent non-universal long memory and multifractal nature. No crossover in the power-law dependence of the detrended fluctuation functions is observed. Our results show that the intraday pattern in t...