International Journal of Financial Studies

Special Issue Information

Dear Colleagues,

This Special Issue will focus on the very important topic of high fluctuations and large opportunities for profit-making by speculation in modern financial assets. The preponderant issue of highly volatile investment assets that present asymmetries, non-linearities, exponential, threshold and other forms of non-ordinary volatility is under scrutiny. The risk–return trade-off will be under scrutiny for a vast range of financial assets, as will opportunities for excess returns during financial crises, as well as in normal conditions. Special emphasis will be put on the behavioural aspects of finance, such as mimicking behaviour, herding phenomena and the overall irrationality that results in bubble creation in financial markets. The hot topic of irrationality in investment decision-making that leads to extremely unstable returns will cast further light on the behavioural characteristics of investors during special, as well as normal, economic and financial conditions. This will provide a roadmap for further development of asset pricing and forecasting during the highly evolutionary era of information nowadays

Dr. Nikolaos A. Kyriazis
Guest Editor

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Keywords

behavioural finance
herding
volatility
financial markets

Published Papers (3 papers)

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Research

16 pages, 1589 KiB

Open AccessArticle

Intraday Patterns of Liquidity on the Warsaw Stock Exchange before and after the Outbreak of the COVID-19 Pandemic

by Jakub Kubiczek and Marcin Tuszkiewicz

Int. J. Financial Stud. 2022, 10(1), 13; https://doi.org/10.3390/ijfs10010013 - 16 Feb 2022

Cited by 5 | Viewed by 4034

Abstract

A highly significant feature of the stock market is its efficiency, which is associated with information efficiency. However, the liquidity of stock on the market is its essential characteristic. The inflow of information in highly liquid markets allows for the maintenance of high information efficiency. The COVID-19 pandemic affected many aspects related to stock markets, including their liquidity. The impact of the pandemic is so multidimensional that there are still areas that need to be investigated. One of them is the intraday liquidity patterns on the stock markets. Therefore, the present paper aims to verify the existence of intraday liquidity patterns on the Warsaw Stock Exchange in three periods: before, during and after the panic caused by the first wave of the COVID-19 pandemic. The results confirmed the existence of a U-shaped intraday distribution of the number of transactions and their trading. This outcome highlights the importance of the first and last minutes of a trading session. The COVID-19 pandemic resulted in the domination of WSE transactions of small individual investors who feared the loss of value of their assets, selling them on the stock exchange. In the pandemic, the average percentage change between transactions increased. Full article

(This article belongs to the Special Issue Explaining Volatility Patterns and Speculation Incentives in Sophisticated Investments by Behavioural Finance)

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11 pages, 783 KiB

Open AccessArticle

Cannabis Stocks Returns: The Role of Liquidity and Investors’ Attention via Google Metrics

by Stephanos Papadamou, Alexandros Koulis, Constantinos Kyriakopoulos and Athanasios P. Fassas

Int. J. Financial Stud. 2022, 10(1), 7; https://doi.org/10.3390/ijfs10010007 - 5 Jan 2022

Cited by 5 | Viewed by 3082

Abstract

This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., return, volatility, and liquidity. To this end, in the empirical analysis we study how liquidity and investors’ attention affect the return dynamics of an investment in cannabis stocks by augmenting the three-factor Fama–French model. In addition, we use a vector autoregressive approach and the impulse response function to measure shock transmission between the variables under consideration. Our empirical findings show that there is a statistically positive relationship between cannabis stock returns and liquidity. We also find that increased investors’ attention results in higher returns. Full article

(This article belongs to the Special Issue Explaining Volatility Patterns and Speculation Incentives in Sophisticated Investments by Behavioural Finance)

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16 pages, 2480 KiB

Open AccessArticle

A Transmission of Beta Herding during Subprime Crisis in Taiwan’s Market: DCC-MIDAS Approach

by Yi-Chang Chen, Hung-Che Wu, Yuanyuan Zhang and Shih-Ming Kuo

Int. J. Financial Stud. 2021, 9(4), 70; https://doi.org/10.3390/ijfs9040070 - 11 Dec 2021

Viewed by 2695

Abstract

The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that herding is a key transmitter in Taiwan’s stock market. The significant estimation of DCC-MIDAS explains that the herding phenomenon is highly dynamic and time-varying in herding behavior. By means of time-varying beta of herding based on our rolling forecasting method and robustness check of the Markov-switching regression approach using four types of portfolios, the evidence indicates that there are conditional correlations between betas and herding. In addition, it also reveals that herding forms in Taiwan’s markets during the subprime crisis period. Full article

(This article belongs to the Special Issue Explaining Volatility Patterns and Speculation Incentives in Sophisticated Investments by Behavioural Finance)

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