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Stale News Hypothesis in Selected in FTSE/ASEAN 40 Stocks


This paper examines the influence wielded by social media buzz on stock market performances of selected stocks from several ASEAN stock exchanges. The advent of social media has changed the dynamics of information propagation and utilization in stock markets. Though information asymmetry still persists, current literature has only recently caught up with the dominant trend of social media eclipsing traditional media as a source of information. This is an issue of significant complexity and import for stock market actors. Employing a brand-new theoretical model of predicting impact of social media on asset prices—proposed by Jiao, Veiga and Walther—this study gauges the performances of stocks with active social media coverage for a month and finds abnormally high trading volume and volatility in the ensuing month. Though these findings are statistically significant in confirming stale news hypothesis by Tetlock (2011), this study is the first empirical application of Jiao et al.’s model. Therefore, after discussing the implications of these findings, this paper highlights the need for more replication studies to help develop a social-media related theory on asset prices and how this affects regulators’ responsibility of ensuring fair dissemination of information.

On IMF Debt and Capital Control: Evidence from Malaysia, Thailand, Indonesia, the Philippines and South Korea


The Asian financial crisis was a time of financial catastrophe that grasped quite a bit of East Asia starting in July 1997 and raised reasons for alarm of an overall economic emergency. This study investigates the effects of capital control and external debts during the 1997 financial crisis, and whether a country should impose capital control or opt for external debt to recuperate from the crisis. Utilizing system estimation approach, an econometric model is devised by employing panel data for Malaysia, Thailand, Indonesia, the Philippines and South Korea over the period from 1990 to 2000. Our findings suggest that on average the ASEAN economies choosing external debt perform better in achieving greater economic growth and rebounding compared to economies that imposed capital control.

Order imbalance and selling aggression under a shorting ban: Evidence from the UK



Imtiaz Mohammad Sifat and Azhar Mohamad

Highlights of the Study

  • We employ high-frequency data from the London Stock Exchange during shorting ban in 2008.
  • We find that order imbalance rises after the FSA’s ban. 
  • Market quality deteriorates following the ban on naked short selling. 
  • Selling aggression and market quality markers fail to improve after the FSA’s ban.


Order imbalance is one of the indicators used by traders to assess the excess of buy or sell orders for a security traded on an exchange. Order imbalance data are made transparent to market participants so as to enhance the quality of the opening and closing auction in the exchange. While order imbalance can result from escalating volatility of security prices, traders can protect themselves by using a limit instead of a market order. The order imbalance and other market quality measures are expected to worsen when a market is experiencing heavy shorting. Based on a high-frequency intraday dataset from the London Stock Exchange from September 2008 through April 2009, our findings suggest that the order imbalance rose after the ban on short selling was enacted in the UK stock market and that selling aggression as well as other market quality measures showed no evidence of any marked improvement.

JEL classification
G14; G18
Short selling; Market quality; Order imbalance; Intraday volatility; Regulation


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