We assemble data of non-financial stocks on the Shenzhen small and medium-sized enterprise (SME) board over the 2005-2019 sample period to explore the liquidity drivers of listed SMEs. With the complete dominance of retail investors, two competing hypotheses are derived from familiarity. The...

This paper investigates the impact of regional factors on Islamic and conventional stock returns in the member countries of the Gulf Cooperation Council (GCC) from April 2011 to April 2021. This paper employs the quantile regression method to determine the effect of regional factors on GCC...

This paper identifies robust determinants of US stock price movements in the economic shadow of the COVID-19 crisis and in the presence of model uncertainty, using several influential factors highlighted in relevant research. Our investigation performs an extreme bounds analysis (EBA), a global...

We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel limit order and trade book data with...

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...

Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and daily data from July 1, 2014, to December 17, 2019. Vine...

This study examines the impact of stock market liquidity on a stock price crash, using firm data from Borsa Istanbul for the period 2009-2019. The results show that higher stock liquidity increases the likelihood of stock price crashes, but this positive link is not driven by blockholder...

We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...