IDEAS home Printed from https://ideas.repec.org/a/eee/ecmode/v22y2005i5p811-827.html
   My bibliography  Save this article

Feedback trading and autocorrelation interactions in the foreign exchange market: Further evidence

Author

Listed:
  • Laopodis, Nikiforos T.

Abstract

No abstract is available for this item.

Suggested Citation

  • Laopodis, Nikiforos T., 2005. "Feedback trading and autocorrelation interactions in the foreign exchange market: Further evidence," Economic Modelling, Elsevier, vol. 22(5), pages 811-827, September.
    • Handle: RePEc:eee:ecmode:v:22:y:2005:i:5:p:811-827
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0264-9993(05)00031-3
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(4), pages 905-939.
    2. Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, vol. 102(411), pages 415-425, March.
    3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    4. Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-153, March.
    5. Vitale, Paolo, 2000. "Speculative noise trading and manipulation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 689-712, October.
    6. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
    7. Madrigal, Vicente, 1996. "Non-fundamental Speculation," Journal of Finance, American Finance Association, vol. 51(2), pages 553-578, June.
    8. Nikiforos Laopodis, 2008. "Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(3), pages 271-293, July.
    9. Gregory Koutmos & Reza Saidi, 2001. "Positive feedback trading in emerging capital markets," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 291-297.
    10. Maria Aguirre & Reza Saidi, 1999. "Feedback trading in exchange-rate markets: Evidence from within and across economic blocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 23(1), pages 1-14, March.
    11. Allen, Helen & Taylor, Mark P, 1990. "Charts, Noise and Fundamentals in the London Foreign Exchange Market," Economic Journal, Royal Economic Society, vol. 100(400), pages 49-59, Supplemen.
    12. Geoffrey Booth, G. & Hatem, John & Virtanen, Ilkka & Yli-Olli, Paavo, 1992. "Stochastic modeling of security returns: Evidence from the Helsinki Stock Exchange," European Journal of Operational Research, Elsevier, vol. 56(1), pages 98-106, January.
    13. Jeffrey A. Frankel & Kenneth A. Froot, 1985. "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations," NBER Working Papers 1672, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wang, Jying-Nan & Lee, Yen-Hsien & Liu, Hung-Chun & Lee, Ming-Chih, 2022. "The determinants of positive feedback trading behaviors in Bitcoin markets," Finance Research Letters, Elsevier, vol. 45(C).
    2. Imran Riaz MALIK* & Attaullah SHAH*, 2014. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 24(2), pages 121-142.
    3. Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
    4. Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018. "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 179-199.
    5. Kallinterakis, Vasileios & Liu, Fei & Pantelous, Athanasios A. & Shao, Jia, 2020. "Pricing inefficiencies and feedback trading: Evidence from country ETFs," International Review of Financial Analysis, Elsevier, vol. 70(C).
    6. Imran Riaz Malik, Attaullah Shah, 2019. "Impact of Single Stock Futures on Feedback Trading, Trading Volume and Volatility: A Modified Approach," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 15-29, October.
    7. Warren Dean & Robert Faff, 2011. "Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets," Applied Financial Economics, Taylor & Francis Journals, vol. 21(22), pages 1665-1678.
    8. Sheung Yin Kevin Mo & Anqi Liu & Steve Y. Yang, 2016. "News sentiment to market impact and its feedback effect," Environment Systems and Decisions, Springer, vol. 36(2), pages 158-166, June.
    9. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    10. Andrikopoulos, Panagiotis & Cui, Yueting & Gad, Samar & Kallinterakis, Vasileios, 2020. "Feedback trading and the ramadan effect in frontier markets," Research in International Business and Finance, Elsevier, vol. 51(C).
    11. Charteris, Ailie & Kallinterakis, Vasileios, 2021. "Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market," International Review of Financial Analysis, Elsevier, vol. 75(C).
    12. Chau, Frankie & Deesomsak, Rataporn, 2015. "Business cycle variation in positive feedback trading: Evidence from the G-7 economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 147-159.
    13. Chau, Frankie & Kuo, Jing-Ming & Shi, Yukun, 2015. "Arbitrage opportunities and feedback trading in emissions and energy markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 130-147.
    14. Paulo Vitor Jordão da Gama Silva & Augusto F.C. Neto & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo pinto & Leonardo Lima Gomes, 2019. "Does the cryptocurrency market exhibits feedback trading?," Economics Bulletin, AccessEcon, vol. 39(4), pages 2830-2838.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    2. Nikiforos Laopodis, 2008. "Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(3), pages 271-293, July.
    3. Koutmos, Gregory, 1998. "Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 277-290, May.
    4. Martin T. Bohl & Pierre Siklos, 2004. "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Charteris, Ailie & Kallinterakis, Vasileios, 2021. "Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market," International Review of Financial Analysis, Elsevier, vol. 75(C).
    6. Koutmos, Gregory, 1997. "Do emerging and developed stock markets behave alike? Evidence from six pacific basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 221-234, October.
    7. Koutmos, Gregory, 1997. "Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 625-636, August.
    8. Schuppli, Michael & Bohl, Martin T., 2010. "Do foreign institutional investors destabilize China's A-share markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 36-50, February.
    9. Michael Schuppli & Martin T. Bohl, 2009. "Do Foreign Institutional Investors Destabilize China’s A-Share Markets?," CQE Working Papers 0909, Center for Quantitative Economics (CQE), University of Muenster.
    10. Venetis, Ioannis A. & Peel, David, 2005. "Non-linearity in stock index returns: the volatility and serial correlation relationship," Economic Modelling, Elsevier, vol. 22(1), pages 1-19, January.
    11. Chen, Carl R. & Su, Yuli & Huang, Ying, 2008. "Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 789-798, September.
    12. Gregory Koutmos & Andreas Pericli & Lenos Trigeorgis, 2006. "Short-term Dynamics in the Cyprus Stock Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 12(3), pages 205-216.
    13. Imran Riaz MALIK* & Attaullah SHAH*, 2014. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 24(2), pages 121-142.
    14. Vitale, Paolo, 2000. "Speculative noise trading and manipulation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 689-712, October.
    15. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    16. Hou, Yang & Li, Steven, 2014. "The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 319-337.
    17. Siklos, Pierre L. & Bohl, Martin T., 2005. "Trading Behavior During Stock Market Downturns: The Dow, 1915 - 2004," Working Paper Series 2005,7, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    18. Gregory Koutmos, 1999. "Asymmetric index stock returns: evidence from the G-7," Applied Economics Letters, Taylor & Francis Journals, vol. 6(12), pages 817-820.
    19. Jyri Kinnunen & Minna Martikainen, 2017. "Dynamic Autocorrelation and International Portfolio Allocation," Multinational Finance Journal, Multinational Finance Journal, vol. 21(1), pages 21-48, March.
    20. Andrikopoulos, Panagiotis & Cui, Yueting & Gad, Samar & Kallinterakis, Vasileios, 2020. "Feedback trading and the ramadan effect in frontier markets," Research in International Business and Finance, Elsevier, vol. 51(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:22:y:2005:i:5:p:811-827. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30411 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.