All Outputs (6)

Three empirical studies on market efficiency – evidence from the Pakistan stock exchange (2017)
Thesis
Ahmed, R. (2017). Three empirical studies on market efficiency – evidence from the Pakistan stock exchange. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4223306

The thesis is comprised of three interrelated empirical chapters on the Pakistan stock exchange which effects on the market efficiency. In the first empirical chapter, ‘Is the Market Efficient – Evidence from Pakistan stock exchange’. It is evaluatin... Read More about Three empirical studies on market efficiency – evidence from the Pakistan stock exchange.

Studies of liquidity in the London Stock Exchange (2017)
Thesis
Wang, A. (2017). Studies of liquidity in the London Stock Exchange. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4220527

The thesis studies liquidity related issues in the London Stock Exchange from 2001 to 2013 from different viewpoints. The first chapter introduces and motivates the study. The second chapter fully discusses the liquidity and liquidity measures from m... Read More about Studies of liquidity in the London Stock Exchange.

Test of recent advances in extracting information from option prices (2017)
Journal Article
Healy, J. V., Gregoriou, A., & Hudson, R. (2018). Test of recent advances in extracting information from option prices. International review of financial analysis, 56, 292-302. https://doi.org/10.1016/j.irfa.2017.09.011

© 2017 Elsevier Inc. A large literature exists on techniques for extracting probability distributions for future asset prices from option prices. No definitive method has been developed however. The parametric 'mixture of normals', and non-parametric... Read More about Test of recent advances in extracting information from option prices.

Stock liquidity and SMEs’ likelihood of bankruptcy: evidence from the US market (2017)
Journal Article
El Kalak, I., Azevedo, A., Hudson, R., & Abd Karim, M. (2017). Stock liquidity and SMEs’ likelihood of bankruptcy: evidence from the US market. Research in international business and finance, 42, 1383-1393. https://doi.org/10.1016/j.ribaf.2017.07.077

We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a dataset that comprises information on 5075 firms over the time period from 1984 to 2013 using the hazard model of Campbell et al. (2008... Read More about Stock liquidity and SMEs’ likelihood of bankruptcy: evidence from the US market.

Stock predictability and preceding stock price changes - Evidence from central and Eastern European markets (2017)
Journal Article
Ison, L., & Hudson, R. (2017). Stock predictability and preceding stock price changes - Evidence from central and Eastern European markets. Economics Bulletin, 37(2), 733-740

This paper extends the empirical evidence on stock returns after preceding price innovations using data from Central and Eastern European (CEE) markets. In contrast to many previous papers, we find no evidence of either overreaction effects or ration... Read More about Stock predictability and preceding stock price changes - Evidence from central and Eastern European markets.

Sampling frequency and the performance of different types of technical trading rules (2017)
Journal Article
Hudson, R., McGroarty, F., & Urquhart, A. (2017). Sampling frequency and the performance of different types of technical trading rules. Finance research letters, 22, 136-139. https://doi.org/10.1016/j.frl.2016.12.015

The predictive ability of technical trading rules has been studied in great detail however many papers group all technical trading rules together into one basket. We argue that there are two main types of technical trading rules, namely rules based o... Read More about Sampling frequency and the performance of different types of technical trading rules.