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Stock exchange
About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.
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TL;DR: In this paper, the authors provide large sample evidence that past price extremes influence investors' trading decisions, showing that volume spikes when price crosses either the upper or lower limit of the past trading range, then gradually subsides.
Abstract: We provide large sample evidence that past price extremes influence investors' trading decisions. Volume is strikingly higher, in both economic and statistical terms, when the stock price crosses either the upper or lower limit of its past trading range. This increase in volume is more pronounced the longer the time since the stock price last achieved the price extreme, the smaller the firm, the higher the individual investor interest in the stock, and the greater the ambiguity regarding valuation. These results are robust across model specifications and controls for past returns and news arrival. Volume spikes when price crosses either the upper or lower limit of the past trading range, then gradually subsides. After either event, returns are reliably positive and, among small investors, trades classified as buyer-initiated are elevated. Overall, results are more consistent with bounded rationality than with other candidate explanations.
133 citations
TL;DR: The authors investigated the impact of 19 announcements of environmental regulation on the equities listed on the Australian Stock Exchange over the period 2005-2011, using a well-established event study methodology to assess whether these announcements are value constructive or destructive for equity investors.
Abstract: We investigate the impact of 19 announcements of environmental regulation on the equities listed on the Australian Stock Exchange over the period 2005–2011. Using a well-established event study methodology, we assess whether these announcements are value constructive or destructive for equity investors. Additionally, we estimate the change in systematic risk following the announcements. Our results show that the Australian market was particularly sensitive to the carbon pollution reduction scheme (CPRS) announcement. A cumulative abnormal return of −31% was recorded in the alternative energy sector after Australia submitted its target range to the Copenhagen Accord. We observe that a move towards a greener nation has a mixed effect on abnormal returns with apparent sector-by-sector differences. Green policies appear to affect the long-term systematic risk of industries, leading to the diamond risk phenomenon.
133 citations
TL;DR: In this article, the authors investigated how global stock markets are integrated with respect to the U.S. macroeconomic news announcements and found that the market integration is high among the major stock markets while some emerging markets are segmented, which implies that international investors are able to obtain diversification benefit by investing in those segmented emerging regions.
133 citations
TL;DR: In this paper, the authors used a sample of Spanish companies to examine the use of stock split announcements as signals of a firm's earnings performance and found that firms that announced a stock split show significantly better operating profitability in the years prior to the split than matching companies of the same size and industry.
132 citations
TL;DR: In this paper, the authors study how local stock market development and internationalization are related to economic fundamentals and find that the better the fundamentals, the higher the ratio of internationalization to local market activity.
132 citations