Essays about: "traded volume"

Showing result 1 - 5 of 36 essays containing the words traded volume.

1. 1. Adverse Selection : The Effect of Short-Term Adverse Selection on the Swedish Stock Market

   University essay from Linnéuniversitetet/Institutionen för management (MAN)

   Author : Jonathan Nestenborg; Jonathan Erch; [2023]
   Keywords : abnormal volume; adverse selection; announcements; data analysis; information asymmetry; traded volume; Swedish stock market; t-test; regression.;

   Abstract : This paper aims to analyze the phenomenon of adverse selection of its presence and potential short-term impact on the Swedish stock market. Adverse selection refers to a situation where information asymmetry among market participants might lead to potential imbalances in information and unfairness among all market participants. READ MORE

3. 2. Post Earnings Announcement Drift in the Stockholm Stock Exchange : How pronounced is PEAD on beta, traded volume and sector allocation?

   University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

   Author : Ramon Nino; Paula Sander Pettersson; [2023]
   Keywords : PEAD; Post Earnings Announcement Drift; Anomalies; Efficient Market Hypothesis; Earnings announcements; beta; volume; sector; price;

   Abstract : Post Earnings Announcement Drift (PEAD) is a market anomaly that challenge the “Efficient Market Hypothesis” (EMH). It was first discovered in 1968 by Ball and Brown. When firms on the stock market have their earnings announcement the stock price will be affected and tend to drift up or down in price for days, weeks or months. READ MORE

4. 3. A Framework to Model Bond Liquidity

   University essay from KTH/Matematik (Avd.)

   Author : Alan Issa; [2023]
   Keywords : Bonds; liquidity; order book; stochastic process; stationarity; gamma distribution.; Obligationer; likviditet; orderbok; stokastisk process; stationaritet; gamma distribution.;

   Abstract : The liquidity of financial assets can be studied in various different ways. In this thesis, liquidity is defined as the cost and time required to liquidate a position. READ MORE

5. 4. Option Expiration Day Impact on Underlying Stock Return- A Study on the Swedish Option Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Alisa Penkina; Alan Karaduman Sorsenger; Sirwan Kakai; [2023]
   Keywords : Option Market; Open Interest; Stock Return; Delta Hedging; Option Expiration Day; Business and Economics;

   Abstract : Research questions: Is there significant change in the stock return on option expiration dates in the underlying stock? Does the net open interest have an effect on the return of the underlying stock on option expiration day? Purpose: The purpose of the bachelor's thesis is to study whether there is a significant difference in the stock returns on option expiration dates in relation to the net open interest of the underlying stocks within the OMXS30 index. Methodology: A quantitative study using a deductive approach to statistically describe the relationship between the daily stock return with open interest and traded volume. READ MORE

6. 5. Mandated Short Selling Transparency and its Impact : An empirical analysis on significant short selling disclosures and their impact on Swedish small cap securities between 2017 - 2022

   University essay from Stockholms universitet/Företagsekonomiska institutionen

   Author : William Florin; William Jonnerberg; Rasmus Strandberg; [2023]
   Keywords : short selling disclosures; ESMA;

   Abstract : In this paper, the impact of significant short selling disclosures (> 0.5%) on returns and trading activity is studied. READ MORE