A note on GARCH predictable variances and stock market efficiency

Article Abstract:

A simple intertemporal model for stock market returns is developed to find an explanation for the empirically observed Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) structures in the variances of these returns. It is demonstrated that GARCH structures are created by a rational and, thus, an efficient equilibrium pricing. This finding suggests that the presence of the GARCH variance dynamic in stock market returns is independent of the market's inefficiency.

Efficient market theory

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Short interest and the asymmetry of the price-volume relationship in the Canadian stock market

Article Abstract:

Karpoff's costly short sales hypothesis is tested. The asymmetry between trading volume and price changes in the Canadian stock market is also analyzed. Empirical tests measure the ratio of short interest to outstanding shares in the stock market to the price-volume relationship. Results indicate a significant relationship between the ratio of short positions to total outstanding shares and the sensitivity of the volume of transactions to price changes.

Analysis, Canada, Short selling

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An explanatory analysis of the order book, and order flow and execution on the Saudi stock market

Article Abstract:

Research is presented into the pattern of transactions in the Saudi stock exchange (SSE) as a new computerized trading system is used, with focus on similarities between the SSE and other stock markets with differing structures.

Saudi Arabia

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