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The impact of algorithmic trading in a simulated asset market

Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11

level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …

Persistent link: https://www.econbiz.de/10012022150

High-speed technology trading innovations and capital market performance in Bulgaria

Stefanova, Julia - In: Financial studies 22 (2018) 2, pp. 6-37

. Overwhelmingly, empirical studies emphasize that HFT improves the quality of financial markets in terms of increased liquidity …, liquidity and market capitalization on the Bulgarian capital market following the global financial crisis, concluding that the …

Persistent link: https://www.econbiz.de/10011964945

The determinants of securities trading activity : evidence from four European equity markets

Camilleri, Silvio John; Galea, Francelle - In: Journal of capital markets studies 3 (2019) 1, pp. 47-67

activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and … the cross-sectional variation in stock liquidity at a more detailed level. Originality/value - The originality of the … paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since …

Persistent link: https://www.econbiz.de/10012114563

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Persistent link: https://www.econbiz.de/10012486245

Financial market discipline on bank risk : implications of state ownership

Kazdal, Abdullah; Kılıç, Yavuz; Yılmaz, Muhammed Hasan - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 2, pp. 1-15

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis on the role of bank ownership structure. Focusing on a large emerging market, Türkiye, characterized by a prominent state bank presence, our baseline regression results indicate...

Persistent link: https://www.econbiz.de/10014574457

Risk aversion and information aggregation in binary-asset markets

Filippin, Antonio; Mantovani, Marco - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 753-798

We investigate how risk aversion (RA) shapes the informative content of prices in an experimental asset market, where traders are sorted according to their RA. RA should induce steeper individual demands and, under its most common parametrizations, drive equilibrium prices closer to revealing...

Persistent link: https://www.econbiz.de/10014308597

Misinformation about dividend payouts influences transaction prices in experimental asset markets

Polak, Mateusz; Polczyk, Romuald - In: E-Finanse : finansowy kwartalnik internetowy 15 (2019) 4, pp. 44-54

Correct information about the expected dividends and their probabilities is also available. METHOD: In two experiments, totaling34 Smith-Suchanek-Williams type double-auction continuous experimental markets (238 subjects), participants were exposed to misinformation regarding dividend payouts in...

Persistent link: https://www.econbiz.de/10012182740

Stock exchange price currents, financial information and market transparency : an introduction

Jonker, Joost; Riva, Angelo - In: Financial history review 29 (2022) 3, pp. 271-286

Persistent link: https://www.econbiz.de/10014247756

Interdependence of international capital markets

Baresa, Suzana; Bodgan, Sinisa; Invanovic, Zoran - In: UTMS journal of economics / University of Tourism and … 5 (2014) 1, pp. 25-39

World financial centers have an impact on the economies around the world. This particularly applies for the US equity market. Transactions which are performed on the US market define market trends in most of the world's financial markets, the only question that arises "is to what extent"....

Persistent link: https://www.econbiz.de/10010439218

Can big data help predict financial market dynamics? : evidence from the Korean stock market

Pyo, Dong-Jin - In: East Asian economic review 21 (2017) 2, pp. 147-165

This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...

Persistent link: https://www.econbiz.de/10011765063

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