scholarly journals Trading Cryptocurrencies as a Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume

Mathematics ◽  
2021 ◽  
Vol 9 (15) ◽  
pp. 1771
Author(s):  
Alexander Guzmán ◽  
Christian Pinto-Gutiérrez ◽  
María-Andrea Trujillo
Keyword(s):  
Time Series ◽  
Trading Volume ◽  
Econometric Models ◽  
Free Time ◽  
Individual Investors ◽  
Herding Behavior ◽  
Noise Trader ◽  
Using Data ◽  
Google Search ◽  
The Impact

This paper examines the impact of COVID-19 lockdowns on Bitcoin trading volume. Using data from Apple mobility trends and several time-series econometric models, we find that investors became active participants during the COVID-19 pandemic period and traded more bitcoins on days with low mobility associated with lockdown mandates. These results remain robust after controlling for stocks and gold returns, the VIX index, and the level of attention and sentiment toward Bitcoin, as measured by Google search frequencies and the tone of Tweets discussing Bitcoin. These results suggest that when individual investors have ample free time on their hands, they trade cryptocurrencies as a pastime and use the Bitcoin market as a form of entertainment. Moreover, our results have important implications concerning investors’ herding behavior and overconfidence leading to noise trader risks and bubbles typically accompanied by high trading volume in cryptocurrency markets.

scholarly journals The Impact of Serious Safety Incidents on Airline Stocks

2021 ◽  
Vol 12 (4) ◽  
pp. 1
Author(s):  
Jeffery A. Born
Keyword(s):  
Trading Volume ◽  
Shareholder Wealth ◽  
Noise Trader ◽  
High Level ◽  
The Impact

The impact of commercial airplane crashes on the shareholder wealth of US-listed airline stocks has been the focus of many prior studies, but none have explored the concomitant impact on trading volume. We expand the scope of prior studies to include near crashes. We examine 262 ‘incidents’ from 1962 to 2018 (220 with return evidence) and document a significant (negative) wealth impact for crashes with fatalities and casualties, and an insignificant impact for incidents with no casualties. We find that log-transformed trading volume spikes upward in the three-day crash-period window and that trading volume remains abnormally high in the three plus weeks that follow the crash when casualties occur. We interpret the high level of post-event trading to be consistent with a noise trader hypothesis: naïve trading hoping to take advantage of airline stock over-reaction – which we do not detect.

scholarly journals A Tax-Based Estimate of the Elasticity of Intertemporal Substitution

2013 ◽  
Vol 03 (01) ◽  
pp. 1350001 ◽  
Author(s):  
Jonathan Gruber
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Interest Rates ◽  
Consumer Expenditure ◽  
Intertemporal Substitution ◽  
Tax Rate ◽  
Elasticity Of Intertemporal Substitution ◽  
Using Data ◽  
The Interest Rate ◽  
The Impact

One of the most important behavioral parameters in macroeconomics is the elasticity of intertemporal substitution (EIS). Starting with the seminal work of Hall (Hall, R., 1978, Stochastic Implications of the Life Cycle — Permanent Income Hypothesis: Theory and Evidence, Journal of Political Economy 86, 971–987), researchers have used an Euler equation framework to estimate the EIS, relating the growth rate of consumption to the after-tax interest rate facing consumers. This large literature has, however, produced very mixed results, perhaps due to an important limitation: The impact of the interest rate on consumption or savings is identified by time-series movements in interest rates. Yet the factors that cause time-series movements in interest rates may themselves be correlated with consumption or savings decisions. I address this problem by using variation across individuals in the capital income tax rate. Conditional on observable characteristics of individuals, tax rate movements cause exogenous shifts in the after-tax interest rate. Using data on total non-durable consumption from the Consumer Expenditure Survey over two decades, I estimate a surprisingly high EIS of two. This finding is robust to a variety of specification checks.

LIMIT-TO-ARBITRAGE FACTORS AND IVOL RETURNS PUZZLE: EMPIRICAL EVIDENCE FROM TAIWAN BEFORE AND DURING COVID-19

2021 ◽  
pp. 2150004
Author(s):  
KHOA DANG DUONG ◽  
QUI NHAT NGUYEN ◽  
TRUONG VINH LE ◽  
DIEP VAN NGUYEN
Keyword(s):  
Transaction Costs ◽  
Stock Returns ◽  
Trading Volume ◽  
Negative Relationship ◽  
Idiosyncratic Volatility ◽  
Individual Investors ◽  
Limits To Arbitrage ◽  
Trading Activities ◽  
Using Data ◽  
The Relationship

This paper examines the impacts of limit-to-arbitrage factors on the returns of the idiosyncratic volatility (IVOL) puzzle in Taiwan before and during the Covid-19 pandemic. Although various studies explore the relationship between stock returns and IVOL, the empirical findings are mixed. We are motivated by unique market microstructures in Taiwan, such as individual investors’ aggressive trading volume and low transaction costs in Taiwan, discouraging arbitrary trading activities. Our empirical results indicate a negative relationship between IVOL and stock returns by using data from the Taiwan stock market. However, the IVOL anomaly does not exist during the Covid-19 pandemic, even in the small stocks sample. Besides, our findings suggest that four proxies of limits-to-arbitrage, such as reversal, transaction costs, turnover and Amihud’s Illiquidity, have statistically significant impacts on the return of IVOL anomaly in Taiwan except for the pandemic period. Finally, our finding suggests that the stock turnover is the only limit-to-arbitrage factor that helps investors earn arbitrary profits during the COVID-19 period.

Time-Series Analyses of the Impact of Sex Offender Registration and Notification Law Implementation and Subsequent Modifications on Rates of Sexual Offenses

2017 ◽  
Vol 65 (11) ◽  
pp. 1483-1512 ◽  
Author(s):  
Jeff A. Bouffard ◽  
LaQuana N. Askew
Keyword(s):  
Time Series ◽  
Sex Offender ◽  
Sexual Offending ◽  
Public Awareness ◽  
Future Research ◽  
Sex Offender Registration ◽  
Sexual Offenses ◽  
Time Series Analyses ◽  
Using Data ◽  
The Impact

Sex offender registration and notification (SORN) laws were implemented to protect communities by increasing public awareness, and these laws have expanded over time to include registration by more types of offenders. Despite widespread implementation, research provides only inconsistent support for the impact of SORN laws on incidence of sexual offending. Using data from a large metropolitan area in Texas over the time period 1977 to 2012, and employing a number of time-series analyses, we examine the impact of the initial SORN implementation and two enhancements to the law. Results reveal no effect of SORN, or its subsequent modifications, on all sexual offenses or any of several specific offenses measures (e.g., crimes by repeat offenders). Implications for effective policy and future research are presented.

scholarly journals Oscillatory fluctuations in the incidence of infectious disease and the impact of vaccination: time series analysis

1984 ◽  
Vol 93 (3) ◽  
pp. 587-608 ◽  
Author(s):  
R. M. Anderson ◽  
B. T. Grenfell ◽  
R. M. May
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Whooping Cough ◽  
Disease Incidence ◽  
Childhood Diseases ◽  
England And Wales ◽  
Incidence Data ◽  
Series Analysis ◽  
Using Data ◽  
The Impact

SummaryThis paper uses the techniques of time series analysis (autocorrelation and spectral analysis) to examine oscillatory secular trends in the incidence of infectious diseases and the impact of mass vaccination programmes on these well-documented phenomena. We focus on three common childhood diseases: pertussis and mumps (using published disease-incidence data for England and Wales) and measles (using data from England and Wales, Scotland, North America and France). Our analysis indicates highly statistically significant seasonal and longer-term cycles in disease incidence in the prevaccination era. In general, the longer-term fluctuations (a 2-year period for measles, 3-year periods for pertussis and mumps) account for most of the cyclical variability in these data, particularly in the highly regular measles series for England and Wales. After vaccination, the periods of the longer-term oscillations tend to increase, an observation which corroborates theoretical predictions. Mass immunization against measles (which reduces epidemic fluctuations) magnifies the relative importance of the seasonal cycles. By contrast, we show that high levels of vaccination against whooping cough in England and Wales appear to have suppressed the annual cycle.

What Does a Concept Attract? The Case of Gaming in Macau

2013 ◽  
Vol 2 (3) ◽  
pp. 1-22
Author(s):  
Ricardo Chi Sen Siu ◽  
Rose Neng Lai
Keyword(s):  
Hong Kong ◽  
Trading Volume ◽  
Herding Behavior ◽  
Before And After ◽  
The Impact

This paper examines herding behavior among Hong Kong investors using announcements of the opening of new casinos in Macau. The results show that there is a difference in the herding behavior toward these “Macau concept” stocks before and after the change in investment sentiment regarding Macau. Similar results are also revealed for the impact of announcements related to the Macau concept. Furthermore, investors in general herd more on selling than on buying upon a corresponding announcement. The evidence that is documented in this paper also suggests that there is herding around exceptional price and trading volume movements in the trading of Macau concept stocks.

Wanna bet there will be war? A time-series analysis of prediction markets during the Libya conflict 2011

2014 ◽  
Vol 7 (3) ◽  
pp. 1-28
Author(s):  
Sebastian Matthias Woerle
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Trading Volume ◽  
Collective Intelligence ◽  
Explanatory Power ◽  
Prediction Markets ◽  
Short Term ◽  
Series Analysis ◽  
Price Performance ◽  
The Impact

This paper tests the explanatory power of an online Prediction market on the ousting of Muammar Gaddafi as Libya’s leader during the uprising in 2011. Based on the theory of efficient markets and collective intelligence, it employs a GARCH time-series analysis and an event study of Intrade data to test the impact of events on market performance and trading volume. The market distinguishes sensibly between relevant and irrelevant news for the outcome of the conflict and prices them in at a surprising speed. Some support for short-term anticipative trading and price performance is found. The analyzed market is found to be semi-strong efficient and works as an evaluative tool in international conflict.

scholarly journals The impact of dividend announcements on share price and trading volume

2018 ◽  
Vol 45 (2) ◽  
pp. 210-230 ◽  
Author(s):  
Razaz Felimban ◽  
Christos Floros ◽  
Ann-Ngoc Nguyen
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
High Growth ◽  
Good News ◽  
Share Price ◽  
Content Type ◽  
Dividend Announcements ◽  
Stock Price Reaction ◽  
Using Data ◽  
The Impact

Purpose The purpose of this paper is to investigate the stock market response to dividend announcements in high growth emerging markets of Gulf countries. Design/methodology/approach The sample includes 1,092 dividend announcements from 299 listed firms over the period 2010-2015. Findings In the environment where there is an absence of capital gain and income tax, the authors find some evidence for the stock price reaction that partly supports the signaling hypothesis. The findings show that the Gulf Cooperation Council (GCC) market is inefficient because of the leakage information before the announcement in bad news, and the delay of share price adjustment in good news. In addition, the authors report significant trading volume (TV) reaction in all the three announcements clusters, where dividends increase, decrease, and are constant, lending support to the hypothesis that the dividend change announcements have an impact on the TV response due to different investors’ preferences. Originality/value This is the first empirical paper on market reaction in share price and TV around dividend announcement using data for the majority of GCC countries.

scholarly journals US manufacturing imports from China and employment in the Mexican manufacturing sector

2016 ◽  
Vol 35 (69) ◽  
pp. 583-613 ◽  
Author(s):  
Jorge Eduardo Mendoza Cota
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Manufacturing Sector ◽  
Labor Demand ◽  
Industrial Activity ◽  
Manufacturing Activity ◽  
The Usa ◽  
Using Data ◽  
Reduced Rate ◽  
The Impact

Since 2001 the Mexican manufacturing sector has experienced a reduced rate of growth. This study estimates the impact of US and Chinese industrial activity on the demand for labor in the sector. A time series cointegration model is developed using data on industrial activity, Chinese exports, wages and the peso: dollar exchange rate. The results show that exports from China to the USA and manufacturing wages have both affected labor demand negatively, while factors such as US industrial production and the exchange rate encourage manufacturing activity.

scholarly journals Executive bonus compensation and financial leverage: do growth and executive ownership matter?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Emmanuel Adu-Ameyaw ◽  
Albert Danso ◽  
Samuel Acheampong ◽  
Cynthia Akwei
Keyword(s):  
Design Methodology ◽  
Firm Growth ◽  
Econometric Models ◽  
Financial Leverage ◽  
Content Type ◽  
Econometric Methods ◽  
Corporate Executive ◽  
Using Data ◽  
The Impact

Purpose This study aims to examine the impact of executive bonus compensation on a firm’s financial leverage policy and the extent to which this compensation–leverage relation is moderated by firm growth and executive ownership. Design/methodology/approach Using data from 213 non-financial and non-utility UK FTSE 350 firms for the period 2007–2015, generating a total of 1,784 firm-year observations, panel econometric methods are used to test the model. Findings Drawing insights from agency theoretic view, this paper uncovers that managerial cash bonus compensation is negatively and significantly related to financial leverage. However, stock bonus compensation has a positive and significant impact on leverage. This study also observes that compensation–leverage is moderated by both firm growth and executive ownership. The results remain robust to alternative econometric models. Originality/value While this paper builds on the risk-motivated argument of executive bonus compensation literature, it is the first – to the best of the knowledge – to explore the bonus compensation-corporate financial leverage and, particularly, examine the extent to which firm growth and corporate executive ownership matter in this relationship.

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