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The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets
16 references·3 citing·34 second hop
The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets (2014)The Impacts of Individual and Institution…Individual Investor Trading and Stock Returns (2008)Individual Investor Trading a…Institutional Investors and Equity Prices (2001)Institutional Investors and E…The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)The investment behavior and p…Mutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…Herding and Feedback Trading by Institutional and Individual Investors (1999)Herding and Feedback Trading …Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Institutional Investors and Equity Prices (1998)Institutional Investors and E…International Portfolio Investment Flows (1997)International Portfolio Inves…Emerging equity market volatility (1997)Emerging equity market volati…Home bias and high turnover (1995)Home bias and high turnoverARCH modeling in finance (1992)ARCH modeling in financeInferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Institutional investor sentiment and the mean-variance relationship: Global evidence (2021)Institutional investor sentim…Volatility information trading in the index options market: An intraday analysis (2019)Volatility information tradin…Investor Sentiment and the Risk-Return Tradeoff in the Brazilian Market (2016)Investor Sentiment and the Ri…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)What Makes Investors Trade? (2001)A model of investor sentiment /Investor Psychology and Security Market Under‐ and Overreactions (1998)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Multifactor Explanations of Asset Pricing Anomalies (1996)Chapter 18 A survey of behavioral finance (2003)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Retail Investor Sentiment and Return Comovements (2006)Herd Behavior and Investment (1988)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)On Persistence in Mutual Fund Performance (1997)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Illiquidity and stock returns: cross-section and time-series effects (2002)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices1,730 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2001Institutional Investors and Equity Prices1,646 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 1999Herding and Feedback Trading by Institutional and Individual Investors1,587 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1997International Portfolio Investment Flows1,284 cited
  • 1998Institutional Investors and Equity Prices1,263 cited
  • 1995Home bias and high turnover1,245 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 2008Individual Investor Trading and Stock Returns

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Cited by

  • 2016Investor Sentiment and the Risk-Return Tradeoff in the Brazilian Market27 cited
  • 2021Institutional investor sentiment and the mean-variance relationship: Global evidence27 cited
  • 2019Volatility information trading in the index options market: An intraday analysis27 cited