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We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities, arguably the biggest event in international business and…
In this paper, we examine the interlinkages among firms through a financial network where cross-holdings on both equity and debt are allowed. We relate mathematically the correlation among equities with the unconditional correlation of the…
Whether or not stocks are predictable has been a topic of concern for decades.The efficient market hypothesis (EMH) says that it is difficult for investors to make extra profits by predicting stock prices, but this may not be true,…
Recent works have shown that social media platforms are able to influence the trends of stock price movements. However, existing works have majorly focused on the U.S. stock market and lacked attention to certain emerging countries such as…
Considered an important macroeconomic indicator, the Purchasing Managers' Index (PMI) on Manufacturing generally assumes that PMI announcements will produce an impact on stock markets. International experience suggests that stock markets…
This study looks into employees' communication, offering novel metrics which can help to predict a company's stock price. We studied the intranet forum of a large Italian company, exploring the interactions and the use of language of about…
This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of…
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the…
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other stocks, we introduce a self- and a…
We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
The Chinese venture capital (VC) market is a young and rapidly expanding financial subsector. Gaining a deeper understanding of the investment behaviours of VC firms is crucial for the development of a more sustainable and healthier market…
We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of…
The study aims to explore the strength of causal relationship between stock price search interest and real stock market outcomes on worldwide equity market indices. Such a phenomenon could also be mediated by investor behavior and extent of…
The connectivity of stock markets reflects the information efficiency of capital markets and contributes to interior risk contagion and spillover effects. We compare Shanghai Stock Exchange A-shares (SSE A-shares) during tranquil periods,…
Predicting stock prices presents a challenging research problem due to the inherent volatility and non-linear nature of the stock market. In recent years, knowledge-enhanced stock price prediction methods have shown groundbreaking results…
Cross-sectional dispersion in firm-level realized skewness is significantly and negatively related to future stock market returns. The predictive power of skewness dispersion is robust to in-sample and out-of-sample estimation and is…
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored…
In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some…
The correlation-based financial networks are studied intensively. However, previous studies ignored the importance of the anti-correlation. This paper is the first to consider the anti-correlation and positive correlation separately, and…