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Strategic insider trading equilibrium with a non-fiduciary market maker
Aase, Knut K.; Øksendal, Bernt K. - 2019
Persistent link: https://www.econbiz.de/10012178138
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Why Do Stock Prices Drop by Less than the Amount of the Dividend? Evidence from a Unique Environment
Al-Yahyaee, Khamis - 2013
We investigate the effect of a lack of an automated limit order adjustment mechanism on ex-dividend day stock price … price. In addition, we find that average price drops are smaller than the dividend amount for all dividend sizes. We also … find no evidence of a sawtooth-shaped relationship between the dividend amount and the ex-dividend day price drop. These …
Persistent link: https://www.econbiz.de/10013084419
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Why Do Stock Prices Drop by Less than the Amount of the Dividend? Evidence from a Unique Environment
Al-Yahyaee, Khamis - 2014
We investigate the effect of a lack of an automated limit order adjustment mechanism on ex-dividend day stock price … than the dividend amount for all dividend sizes. We also find no evidence of a sawtooth-shaped relationship between the … dividend amount and the ex-day price drop. These results are generally consistent with a lack of an automated limit order …
Persistent link: https://www.econbiz.de/10013048229
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Order types and natural price change : model and empirical study of the Chinese market
Liu, Siyu; Zhao, Chaoyi; Wu, Lan - In: International journal of financial engineering 9 (2022) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10014234454
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Uncertain execution in order-driven markets
Sánchez-Betancourt, Leandro - 2021
Persistent link: https://www.econbiz.de/10012939003
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003952800
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003947458
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Modelling trades-through in a limited order book using Hawkes processes
Muni Toke, Ioane; Pomponio, Fabrizio - 2011
We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...
Persistent link: https://www.econbiz.de/10009244219
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Entscheidungsregeln und ihr Einfluss auf den Aktienkurs
Trifan, Emanuela - 2004
Der vorliegende Beitrag quantifiziert anhand eines Marktmikrostruktur-Modells mit asymmetrischer Information den …
Persistent link: https://www.econbiz.de/10011525122
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010 - This version: November 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10008937568