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Microstructure invariance in U.S. stock market trades

Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016

This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993–2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly...

Persistent link: https://www.econbiz.de/10011500337

Crude oil market and stock markets during the COVID-19 pandemic : evidence from the US, Japan, and Germany

Zhang, Wenting; Hamori, Shigeyuki - In: International review of financial analysis 74 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012803936

Trump vs. Paris : the impact of climate policy on US listed oil and gas firm returns and volatility

Diaz-Rainey, Ivan; Gehricke, Sebastian A.; Roberts, Helen; … - In: International review of financial analysis 76 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012805052

Striking the implied volatility of US drone companies

Bevilacqua, Mattia; Morelli, David; Uzan, Paola Sultana … - In: International review of financial analysis 77 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012806309

Comparing U.S. and European market volatility responses to interest rate policy announcements

Krieger, Kevin; Mauck, Nathan; Vazquez, Joseph - In: International review of financial analysis 39 (2015), pp. 127-136

Persistent link: https://www.econbiz.de/10011573113

Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market

López, Raquel - In: International review of financial analysis 42 (2015), pp. 292-303

Persistent link: https://www.econbiz.de/10011573500

The roles of past returns and firm fundamentals in driving US stock price movements

Hong, KiHoon; Wu, Eliza - In: International review of financial analysis 43 (2016), pp. 62-75

Persistent link: https://www.econbiz.de/10011623714

Dynamic spillover effects in futures markets : UK and US evidence

Antonakakis, Nikolaos; Floros, Christos; Kizys, Renatas - In: International review of financial analysis 48 (2016), pp. 406-418

Persistent link: https://www.econbiz.de/10011624538

Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities

Ji, Qiang; Bouri, Elie; Roubaud, David - In: International review of financial analysis 57 (2018), pp. 1-12

Persistent link: https://www.econbiz.de/10012006300

"Firm size matters : industry sector, firm age and volatility do too in determining which publicly-listed US firms pay a dividend"

Brawn, Derek A.; Šević, Aleksandar - In: International review of financial analysis 58 (2018), pp. 132-152

Persistent link: https://www.econbiz.de/10012006426