Essays on High Frequency and Behavioral Finance [Elektronische Ressource] / Omid Rezania. Betreuer: S. T. Rachev

Essays on High Frequency and Behavioral Finance Zur Erlangung des akademischen Grades eines Doktors der Wirtschaftswissenschaften (Dr. rer. pol) von der Fakultät für Wirtschaftswissenschaften des Karlsruher Instituts für Technologie Genehmigte DISSERTATION von Omid Rezania Tag der Mündlichen Prüfung : 14 Juli 2011 Referent : Prof. Dr. S. T. Rachev Korreferent: Prof. M. E. Ruckes Karlsruhe, Juli 2011 Table of contents Page Abstract 3 Chapter 1: Introduction to the dissertation 5 Chapter 2: General background and literature review 9 Chapter 3: Effects of economic releases on intraday 38 dynamics of currency market Chapter 4: Behavioral finance analysis of individual and 83 institutional investors during the financial crisis of 2008-2009 Chapter 5: Analysis of behavioral phenomena and intraday 130 investment dynamics of individual investors in currency market Chapter 6: Conclusions of the dissertation 154 Bibliography 160 Appendix 1 Suggestions for further research 173 Appendix 2 Timeline of major events affecting the financial 175 markets from 1 January 2008 to 31 December 2009 2 Abstract This dissertation presents studies on various aspects of intraday high frequency dynamics of financial markets, as well as analysis of certain phenomena in behavioral finance.