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The purpose of this paper is to study the empirical relationship between order imbalance and returns in the backdrop of structural changes in the Indian market.

The study makes use of hypothesis testing and dummy variable regression to investigate the relationship between order imbalance and returns during the period 1999‐2005, which saw definitive change in the structure of the Indian markets.

Order imbalance (buying or selling pressure) has significantly reduced post the structural reforms at the daily as well as intra‐day intervals across trade, as well as value measures of order imbalance. After controlling for the number of transactions, order imbalance and return correlations have fallen in the post‐2002 period as compared to the pre‐2002 period, at daily as well as intra‐day intervals. Further, after controlling for past high and low returns, order imbalance exhibits day of the week effect in the pre‐2002 period while no such effect is seen in the post‐2002 period.

The work brings out order imbalance and returns relationship for the Indian market, which has different structure from that of many developed, as well as developing, markets in the backdrop of changes in its own structure. This would provide a richer literature in the area of market structure and design.

The purpose of this paper is to critically evaluate the different market‐making systems found in most developed capital markets and to provide guidance to emerging market regulators for a possible implementation of such a system.

The paper looks closely at the market design of seven developed countries focusing on the obligations and privileges of market makers. Through a case study and empirical evidence the paper identifies advantage and disadvantage of a possible implementation of a similar design to an emerging market.

The paper identifies three forms of market making applied today: the quote‐driven, the centralized and non‐centralized systems. Four factors are proposed that regulatory authorities in emerging markets should consider when deciding whether, and which of, the three market‐making systems they should implement. These are: current exchange design and the costs of restructuring, international and domestic investors' sentiment towards the exchange, size of the emerging market and the market designs in countries hosting the target foreign capital.

The paper looks at the implementation of a market‐making system in an emerging market. Further research may investigate other ways of how emerging markets authorities can restructure their markets into more efficient, compatible and trustworthy financial venues in order to attract both domestic and foreign investors.

The area of emerging markets' microstructure design and market quality is still relatively under‐studied. We provide evidence of the challenges and benefits of the implementation of a market‐making system in those markets.

This study investigates the impact of program trading on the market volatility by separating the volatility into long-run and short-run components using VA-CEGARCH model. This approach allows us to observe the two channels through which the program trading affects the market volatility. We have following results. Program trading and non-program trading both have no impact on the long-run component but do increase short-run component. In case of short-run component‘ program trading has a larger impact compared to non-program trading. Secondly, in both daily and intra-day analysis, arbitrage program trading is found to have a larger impact on short-run components than non-arbitrage program trading.

Thirdly, ARCH effects are found in short-run components of daily analysis and long-run components of intra-day analysis. And the volatility’s asymmetric responses to good or bad news are introduced through long-run components. What is noteworthy is the fact that non-arbitrage program trading is actually found to reduce short-run volatility in the intra-day analysis.

Which means that non-arbitrage program trading, such as hedging transactions, helps promote intra-day market stability. Our findings mean that the short-run component is the main channel by which program trading produce unnecessary market volatility.

The purpose of this paper is to investigate the market reaction to the decision made by the management of the Karachi Stock Exchange (KSE) to impose a price floor that resulted in trading curbs in 2008. The paper analyzes if regulatory intervention helped in restoring investor confidence.

The paper examines the effect of enforcement of a price floor and trading curbs by splitting the time period studied into two periods: pre-floor and post-floor period. The parametric t-statistics and non-parametric Mann-Whitney test are used to compare the abnormal returns (ARs), abnormal trading volume, bid-ask spread, Amihud illiquidity ratio, and price volatility between the two periods. Event study was conducted to observe the behavior of market returns surrounding market-wide price floor. Finally, multivariate regression analysis was also applied by controlling for factors that might influence valuation, liquidity, and volatility. The standard errors have been corrected for cross-sectional clustering due to market-wide restrictions.

The study found an adverse impact of price freeze and trading curb in the KSE, following the relaxation of floor (resumption of active trading). First, the price of securities (or ARs) significantly declined following the relaxation of the price freeze. Second, the market liquidity deteriorated following the relaxation of the price floor. Third, the price volatility increased in the post-floor period. It seems that the decision made by the KSE’s board to implement lower cap on prices for an extended period was ineffective.

Market intervention by regulators to bring calm in the financial markets have negative consequences across the globe. The results presented in this paper suggest that implementing price floor brought inefficiency in the market and prevented firms from raising capital to finance their future investments. The author believe this study will add to the knowledge base of regulatory intervention and its impact on the performance of financial markets.

There is no empirical evidence on the impact of price limits on volatility in emerging markets. The author selected Pakistan as a case study, where we particularly focus upon impact of the enforcement of a price floor around the peak of Global Financial Crisis (or market intervention) in Pakistan. This study also documents the effect of trading curb on liquidity and volatility in an emerging market, given that a majority of research on trading halt/price limits is based on developed markets.

This paper aims to analyze the impact of price-limit hits by hit type and when such hits start and stop using intraday trades and quotes at a one-second frequency for firms included in the BIST-50 index during the 13-months starting with March 2008. Like the recent COVID-19 period, this period includes the heightened stress in global financial markets in September 2008.

Using intra-day trades and quotes at a one-second frequency, the authors examine the market effects of price limits for firms included in the BIST-50 index during the global financial crisis. The authors compare the values of various metrics for 60 min centered on price-limit hit periods. The authors conduct robustness tests using auto regressive integrated moving average (ARIMA) models with trade-by-trade and with 3-min returns.

The findings are supportive of the following hypotheses: magnet price effects, greater informational asymmetric effects of market quality and each version of price discovery. Results are robust using samples differentiated by cross-listed status, same-day quotes instead of transaction prices and equidistant and trade-by-trade returns.

The authors use intraday data to reduce measurement error that is particularly pronounced when daily data are used to assess price limits that start and/or stop during a trading session. The authors contribute to the micro-structure literature by using ARIMA models with trade-by-trade and 3-min returns to alleviate some bias due to the autocorrelations in returns around price-limit hits in the presence of a magnet effect. The authors include some recent regulation changes in various countries to illustrate the importance of circuit breakers using price limits during COVID-19.

The purpose of this paper is to study the individual investors’ preferences towards stock selection in social media environments. The study is conducted to understand the implications and conceptual directions for the corporates and financial advisors to understand the choices of individual investors applied in financial markets. Further, this study aims to examine the selection of the most preferred social media platform and behavioral intentions of investors towards selection of investment portfolios in Indian stock markets.

A questionnaire was designed based on the technique of conjoint analysis and was responded by 428 respondents belonging to the Northern region of India. The estimation of preference functions in Conjoint Analysis was designed by using orthogonal arrays and was calculated using the ordinary least square regression technique.

This study reveals that while making selection of desired investment portfolios, the investors give highest preference to social media platforms in terms of highest utility value and range followed by their preference for behavioral intentions to invest. Among different social media platforms, the investors preferred Twitter the most, followed by Facebook and the primary interest of investors was observed towards Intra-day trading purposes and balanced portfolio investments in financial markets. The major reason behind opting the social media platforms was selection of speculative stocks.

The actual individual investment behavior cannot be observed through the survey, which limits the external validity of the study.

The paper presents a very important practical tool that can help financial advisors, opinion leaders and corporates in defining their target audience more sharply for investment-related advice. The findings revealed by the study will put them in a better position to understand how investors differ behaviorally and they will get acquainted with their choices and preferences while making investment decisions in the backdrop of social media environments. The preferences of the investors based on social media usage discovered by the study will not only enable the individual investors understand their own preferences, but those of the other investors as well in terms of planned investment decisions and choices.

The paper is a first of its kind to empirically identify the individual investors and their preferences and choices by applying conjoint analysis in the new social media environment. The study thus integrates the gap between marketing theories and emerging theories of behavioral finance to understand the investor behavior in a better way.

Although the financial markets are regulated by robust systems and rules that control their efficiency and try to protect investors from various manipulation schemes, markets still suffer from frequent attempts to mislead or misinform investors in order to generate illegal profits. The impetus to effectively and systematically address such schemes presents many challenges to academia, industry and relevant authorities. This paper aims to discuss these issues.

The paper describes a case study on fraud detection using data mining techniques that help analysts to identify possible instances of touting based on spam e‐mails. Different data mining techniques such as decision trees, neural networks and linear regression are shown to offer great potential for this emerging domain. The application of these techniques is demonstrated using data from the Pink Sheets market.

Results strongly suggest the cumulative effect of “stock touting” spam e‐mails is key to understanding the patterns of manipulations associated with touting e‐mail campaigns, and that data mining techniques can be used to facilitate fraud investigations of spam e‐mails.

The approach proposed and the paper's findings could be used retroactively to help the relevant authorities and organisations identify abnormal behaviours in the stock market. It could also be used proactively to warn analysts and stockbrokers of possible cases of market abuse.

This research studies the relationships between the cumulative volume of spam touts and a number of financial indicators using different supervised classification techniques. The paper aims to contribute to a better understanding of the market manipulation problem and provide part of a unified framework for the design and analysis of market manipulation systems.

This paper conducts an empirical analysis for the estimations of volume-weighted price of the Korean stock market and provides the implications of the estimation errors regarding the characteristics of the market and the corresponding securities. We employ fast Fourier transformation strategy and traditional simple average strategy and compare the performances of the two methods using five minute interval intra-day data of KOSPI50 stocks. Estimations errors of the two methods from Ex Post real VWAP are computed and the relationships between the errors and other market variables are examined. We find that larger market value leads to smaller error whereas average trading in dollar has negative relationship with the estimation error. We also look at the behavior of institutional traders and the order execution mechanism to explain our statistical findings.

The paper seeks to show that marketing and psychology literature can shed light on why investors exhibit preferences for certain price ends. The perspective adopted is that the stock market is a marketplace in which investors, as consumers, buy and sell (i.e. exchange) financial products such as stocks.

The paper analyzes trading data from the stock exchanges to empirically test propositions about investor behavior vis‐à‐vis certain price ends of interest derived from the marketing and psychology literature.

Investors, as consumers, favor price‐ends of 0 and 5 more than price‐ends of 9, in that they trade more frequently and more aggressively at these price ends. Further, even price ends of 0 are favored more than odd price ends of 5.

The results of the study shed light on how the cognitive bias of the consumer thwarts the otherwise efficient functioning of the financial market.

The paper uses market‐level data to gain insights into the cognitive process of the individual investor, in addition to teasing out specific biases that have not been identified earlier in the literature. It extends the study of consumer behavior to non‐traditional, but consequential, marketplaces such as the stock market.

The purpose of this paper is to conduct an empirical analysis of the pattern of time value decay in listed equity options, considering both call and put options and different moneyness and maturity levels.

The research design is empirical, with great attention paid to creating a standardized measure of time value that can be both tracked over time for an individual option contract and meaningfully compared across two or more different option contracts.

The author finds that moneyness classification at the beginning of the holding period is the key determinant of the pattern of subsequent time decay. The type of option, call or put, and the maturity of the contract have surprisingly little relevance to the pattern of time decay “out-the-money contracts having similar patterns on average, regardless of whether they are calls or puts, 30-day or 60-day contracts.” More detailed analysis reveals that In-the-money and out-the-money contracts have slow time decay for most of the contract life, with a significant percentage of the time decay concentrated on the final day of the option. At-the-money contracts experience strong decay early in the life of the option.

The study is limited by not having intra-day data included to analyze more frequent price movements.

The results reported in the paper provide insight into issues of active management facing options traders, specifically choices such as the initial maturity of the option contract and rollover frequency.

Very few studies examine the important issue of how option time value behaves. Time value is the subjective part of the option contract value, and therefore very difficult to predict and understand. This paper provides insight into typical empirical patterns of time value behavior.