This study employs firm-specific announcements as a proxy for information flows and investigates
the information–volatility relation using high-frequency data from the Australian Stock …

This study investigates the relationship between underpricing, ownership structure and post-listing
liquidity of initial public offerings (IPOs). It is argued that higher underpricing induces …

This paper examines the nature of information asymmetry between foreign and local investors
on the Helsinki stock exchange (HEX) for the period 1999–2004. We take into account the …

This paper considers the Samuelson hypothesis, which argues that the futures price volatility
increases as the futures contract approaches its expiration. Utilizing intraday data from 20 …

Despite widely documented criticisms, price-limit rules are present in many equity markets
around the world. Using a game-theoretic model, we argue that, if the cost of monitoring a …

The Asia-Pacific securities markets are among the fastest growing markets in the world and
account for more than one third of the global market capitalization. Drawing from the …

This paper investigates the determinants of the order aggressiveness of institutional and
individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that …

In this paper we investigate short-term contrarian investment strategies in the Australian
stock market using weekly data of those stocks comprising the All Ordinaries Index during the …

… Kalev’s research was supported with a NCG grant from the Faculty of Business and
Economics, Monash University. Data are supplied by Securities Industry Research Center of Asia-…

We study the volume–volatility relation by splitting volume into the number of trades and the
average trade size at individual and institutional level, and realized volatility into its …