Three Essays on the Trading Behavior of Market Participants PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Three Essays on the Trading Behavior of Market Participants PDF full book. Access full book title Three Essays on the Trading Behavior of Market Participants by Orkunt Mesut Dalgic. Download full books in PDF and EPUB format.
Author: Orkunt Mesut Dalgic
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 348
Get Book Here
Book Description
Author: Orkunt Mesut Dalgic
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 348
Get Book Here
Book Description
Author: Andrea Rossi (Ph. D. in finance)
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 187
Get Book Here
Book Description
In the third chapter, coauthored with Itzhak Ben-David and Justin Birru, we study whether industry familiarity is an advantage in stock trading by exploring the trading patterns of industry insiders in their own personal portfolios. To do so, we identify accounts of industry insiders in a large data set provided by a retail discount broker. We find that insiders trade firms from their own industry more frequently. Furthermore, they earn abnormal returns exclusively when trading own-industry stocks, especially obscure stocks (small, low analyst coverage, high volatility). In a battery of tests, we find no evidence of the use of private information. The results are most consistent with the interpretation that industry familiarity is an advantage in stock trading.
Author: Adam Daniel Clark-Joseph
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles, but also generate several new testable predictions. Although these three essays differ considerably in methodology and focus, they all address the same basic issue of understanding the foundations of trading behavior.
Author: Hao-Chen Liu
Publisher:
ISBN:
Category :
Languages : en
Pages : 334
Get Book Here
Book Description
Author: Seungho Lee
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This dissertation consists of three essays that address recent developments in international financial markets that have been of concern for scholars, policymakers, and practitioners. The first essay examines how cultural factors can influence individual investors' trading behavior in response to risk in nine Eurozone countries. The markets studied were particularly affected by the global financial crisis, the subsequent European banking crisis, and the European sovereign debt crisis. Using mutual fund flows as proxy of investors' trading behavior, our evidence indicates that a country culture variable significantly affects investors' trading responsiveness to risk. Specifically, the impact of risk on fund flows is significantly positive and is larger in scale in countries with individualist cultures. The second essay attempts to investigate the effects of negative interest rate policies (NIRP) on foreign exchange and equity markets of eight European countries and Japan. To see the impacts of these policies, event studies and regime-switching vector autoregressive regression analyses are conducted for the nine countries that implement NIRP. The results provide valid evidence that the announcement of NIRP has a transitory effect on currency depreciation; long term effects are less evident. On the day of NIRP implementation, both currency and equity market returns reacted in response to the event efficiently and negatively, especially in Switzerland's case. These outcomes suggest that simulative monetary policy by lowering interest rates below zero might have counter-effects from those observed when interest rates are lowered, but to rates that remain positive. Additionally, findings from the long term analyses explain that interest rate term structure and cointegration level of local and the U.S. equity index may be related to effectiveness of NIRP in currency and equity markets, respectively. The last essay examines the determinants of the price of the leading cryptocurrency, Bitcoin. The analyses identify a number of factors that significantly affect the returns to investments in Bitcoin including: trading volume, high-low price spread, and extreme price change in the previous period. The latter result supports the assertion that recent severe price fluctuations in Bitcoin markets are primarily due to speculative investment activities. Furthermore, evidences suggested in this study explain possibility of market compromise and inefficiency of the cryptocurrency market, implying pivotal risks for Bitcoin market participants.
Author: Yaodong Liu
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Michael Young
Publisher:
ISBN:
Category :
Languages : en
Pages : 328
Get Book Here
Book Description
Over the last two decades, there has been a significant increase in research related to behavioral finance. As Barberis and Thaler (2002) point out, there are two main aspect of behavioral finance: limits to arbitrage and the effects of psychology. My dissertation will focus on the second aspect, the effects of psychology on individual investor behavior. The first essay examines an important question in this behavioral finance literature: changes in aggregate risk aversion. I use changes in the level of terrorism in the United States as a shock to the aggregate mood of American investors, and examine changes in flows to mutual funds as a proxy for investor risk preferences. After examining investors vulnerable to changes in mood after attacks, and ruling out any possible effect due to changes in expect risk, and changes to expected returns, the first essay concludes that mood driven risk aversion is the likely cause of the change in behavior. In the second essay, we use the insights gained from Essay 1 regarding the change in behavior of U.S. investors following an increase in terrorist attacks. Using household level of equity market participation and individual trading data the second essay examines the array of decisions investors make. The second essay finds that households participate less in equity markets, trade less, but purchase more local stocks in response to terrorist attacks. Additionally, this change in behavior is especially apparent in households where the designated head is a male. Finally, in the third essay we turn away from terrorism, and examine the effects that local NFL team performance on equity market participation. Examining the most popular spectator sport in the U.S. the third essay shows that poor performance by local NFL teams correlates with fewer households in that state owning equity. While previous studies argue that sentiment is the driver of sports related behavior, the third essay find that gambling losses may also play a role in the drop in equity market participation following seasons with a low number of wins. Taken together, the dissertation demonstrates the importance of examining external shocks and the effect they have on the behavior of investors. From terrorism to something as seemingly benign as the NFL, the dissertation adds to the behavior finance literature by identifying new shocks that effect the investing behavior of individuals.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 398
Get Book Here
Book Description
Author: Yaqin Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 180
Get Book Here
Book Description
Author: Nuri Volkan Kayacetin
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages :
Get Book Here
Book Description
