Diffusion Entropy technique applied to the study of the market activity

2005 ◽  
Vol 355 (1) ◽  
pp. 131-137 ◽  
Author(s):  
Luigi Palatella ◽  
Josep Perelló ◽  
Miquel Montero ◽  
Jaume Masoliver
Keyword(s):  
Market Activity ◽  
Diffusion Entropy ◽  
Entropy Technique

Investor protection and market reaction to unusual market activity replies

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Chun-Teck Lye ◽  
Tuan-Hock Ng ◽  
Kwee-Pheng Lim ◽  
Chin-Yee Gan
Keyword(s):  
Market Reaction ◽  
Investor Protection ◽  
Abnormal Returns ◽  
Stock Exchanges ◽  
Uncertain Information ◽  
Information Uncertainty ◽  
Content Type ◽  
Market Activity ◽  
Information Hypothesis ◽  
New Information

PurposeThis study uses the unique setting of unusual market activity (UMA) replies to examine the market reaction and the effects of disclosure and investor protection amid information uncertainty.Design/methodology/approachA total of 1527 hand-collected UMA replies from the interlinked stock exchanges of Indonesia, Malaysia, Thailand and Singapore for the period of 2015–2017 were analysed using event study and Heckman two-step methods with market and matched control firm benchmarks.FindingsThe overall results support the uncertain information hypothesis. The UMA replies with new information were also found to reduce information uncertainty, but not information asymmetry, and they are complementary to investor protection in enhancing abnormal returns. The overall finding suggests that the UMA public query system can be an effective market intervention mechanism in improving information certainty and efficiency.Research limitations/implicationsThis study provides insight on the effects of news replies and investor protection on abnormal returns, and support for the uncertain information hypothesis. The finding is useful to policymakers and stock exchanges as they seek to understand how to alleviate investors' anxiety and to create an informationally efficient market. Nevertheless, this study is limited by the extensiveness of the hand-collected UMA replies and also the potential issue of simultaneity-induced endogeneity.Originality/valueThis study uses UMA replies and cross-country data taking into account the effects of market surroundings such as information uncertainty and the level of investor protection on market reaction.

scholarly journals A Theory of Large Fluctuations in Stock Market Activity

2003 ◽  
Author(s):  
Xavier Gabaix ◽  
Parameswaran Gopikrishnan ◽  
Vasiliki Plerou ◽  
H. Eugene Eugene Stanley
Keyword(s):  
Stock Market ◽  
Market Activity ◽  
Large Fluctuations
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