Search Results - subject:"Intervalling effect"

Modelling intervalling effect of high frequency trading on portfolio volatility

Hong, KiHoon - In: Inventi impact: supply chain & logistics (2020) 1, pp. 56-64

Persistent link: https://www.econbiz.de/10012314621

The Beta intervalling effect during a deep economic crisis: Evidence from Greece

Mantsios, Georgios; Xanthopoulos, Stylianos - In: International Journal of Business and Economic Sciences … 9 (2016) 1, pp. 19-26

Purpose - The intervalling effect bias of beta refers to the sensitivity of beta estimation with respect to the …. The purpose of this paper is to study the intervalling effect bias within an environment and during a sample period that … portfolio. Findings - The intensity of the intervalling effect bias was very pronounced during this sample period with regard to …

Persistent link: https://www.econbiz.de/10011516744

The Beta intervalling effect during a deep economic crisis : evidence from Greece

Mantsios, Georgios; Xanthopoulos, Stylianos - In: International journal of business and economic sciences … 9 (2016) 1, pp. 19-26

Persistent link: https://www.econbiz.de/10011489951

Intervalling-effect bias and evidences for competition policy

Fotis, Panagiotis; Pekka, Victoria; Polemis, Michael - Volkswirtschaftliche Fakultät, … - 2015

The purpose of this paper is on the one hand to analyze whether the security’s systematic risk beta estimates change as the infrequent trading phenomenon appears and on the other hand to provide useful insight on the impact of mergers and acquisitions on competition policy. The paper employs...

Persistent link: https://www.econbiz.de/10011211862

Modelling intervalling effect of high frequency trading on portfolio volatility

Hong, KiHoon - In: Theoretical economics letters 9 (2019) 7, pp. 2362-2370

Persistent link: https://www.econbiz.de/10012213747

A conditional CAPM; implications for the estimation of systematic risk

Milionis, Alexandros E.; Patsouri, Dimitra K. - Bank of Greece - 2011

heteroscedastic; (ii) whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the … pronounced intervalling effect on ARCH in MM residuals; (c) GARCH in mean type of conditional heteroscedasticity for the majority …

Persistent link: https://www.econbiz.de/10010613020

Is a larger equity market more information efficient? : evidence from intervalling effect

Hong, KiHoon - In: Risk governance & control : financial markets & institutions 6 (2016) 3, pp. 36-44

Persistent link: https://www.econbiz.de/10011673133

Call auction and market quality : evidence from Bombay stock exchange

Harish, S. N.; Mallikarjunappa, T. - In: Praj̄nȧn : journal of social and management sciences 44 (2015) 3, pp. 193-205

Persistent link: https://www.econbiz.de/10011444598

Intervalling effect on estimating the beta parameter for the largest companies on the WSE

Dębski, Wiesław; Feder-Sempach, Ewa; Świderski, Bartosz - In: Folia oeconomica Stetinensia : FOS 14 (2014) 2, pp. 270-286

Persistent link: https://www.econbiz.de/10011419345

The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process

Hong, KiHoon Jimmy; Satchell, Stephen - In: The European journal of finance 20 (2014) 1/3, pp. 264-290

Persistent link: https://www.econbiz.de/10010462111