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Persistent link: https://www.econbiz.de/10012216155
This study investigates the impact of introducing index futures trading on the volatility of the underlying stock market. We exploit a unique institutional setting in which presumably uninformed individuals are the dominant trader type in the futures markets. This enables us to investigate the...
Persistent link: https://www.econbiz.de/10011198318
Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time‐varying spot‐futures linkages studied within a VECM‐DCC‐GARCH framework to changes in the investor structure of the futures market over...
Persistent link: https://www.econbiz.de/10011196806
This paper challenges the existing literature examining the impact of the introduction of index futures trading on the volatility of its underlying. To overcome econometric shortcomings of previously published work using the dummy variable approach, we employ a Markov-switching-GARCH technique....
Persistent link: https://www.econbiz.de/10010939069
This paper investigates the predictive power of stock market returns in January for the subsequent eleven months' returns across 19 countries, thereby contributing to the literature on stock market seasonalities. Only two out of 19 countries' stock markets exhibit a robust Other January Eect. In...
Persistent link: https://www.econbiz.de/10008511768
This paper investigates the impact of introducing index futures trading on the volatility of the underlying stock market. We exploit a unique institutional setting in which presumably uninformed individuals are the dominant trader type in the futures markets. This enables us to investigate the...
Persistent link: https://www.econbiz.de/10008471775
Widely differing limitation periods for tort claims across the European Union (EU) Member States can lead to victims of cross-border road traffic accidents losing their right to compensation. This European Added Value Assessment (EAVA) sketches out the weaknesses of the relevant existing legal...
Persistent link: https://www.econbiz.de/10015293601
Works of art and cultural goods looted in armed conflicts or wars usually travel across several borders when they are sold. The cross-border character of looted art creates legal challenges for restitution claims as they often concern various national jurisdictions, with differing rules, as well...
Persistent link: https://www.econbiz.de/10015273327
This Cost of Non-Europe study examines the state of implementation of the current policy framework for the establishment of a European Research Area (ERA). The study combines a backward-looking (ex-post) and a forward-looking (ex-ante) evaluation. While the ex-post evaluation looks at the...
Persistent link: https://www.econbiz.de/10015273344
While benefiting from the freedom of movement and residence in the European Union (EU), vulnerable adults often face legal difficulties when in a cross-border situation as a result of the lack of solid legal protection. This is due to the different protection schemes operating in the EU Member...
Persistent link: https://www.econbiz.de/10015296354