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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

Financial crises and the dynamics of the spillovers between the US and BRICS stock markets

McIver, Ron; Kang, Sang Hoon - In: Research in international business and finance 54 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012581346

The dynamics of US REITs returns to uncertainty shocks : a proxy SVAR approach

Cepni, Oguzhan; Dul, Wiehan; Gupta, Rangan; Wohar, Mark E. - In: Research in international business and finance 58 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10013286183

Volatility transmission between US and Latin American stock markets : testing the decoupling hypothesis

Cardona, Laura; Gutiérrez, Marcela; Agudelo, Diego A. - In: Research in international business and finance 39 (2017), pp. 115-127

Persistent link: https://www.econbiz.de/10011876451

What drives U.S. financial sector volatility? : A Bayesian model averaging perspective

Gernát, Peter; Košťálová, Zuzana; Lyócsa, Štefan - In: Research in international business and finance 51 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012208218

Lead-Lag relationship between Bitcoin and Ethereum : evidence from hourly and daily data

Imtiaz Mohammad Sifat; Azhar Mohamad; Mohamed Shariff, … - In: Research in international business and finance 50 (2019), pp. 306-321

Persistent link: https://www.econbiz.de/10012177672

The economic value of Bitcoin : a portfolio analysis of currencies, gold, oil and stocks

Symitsi, Efthymia; Chalvatzis, Konstantinos J. - In: Research in international business and finance 48 (2019), pp. 97-110

Persistent link: https://www.econbiz.de/10012135851

Quantitative easing announcements and high-frequency stock market volatility : evidence from the United States

Corbet, Shaen; Dunne, John James; Larkin, Charles - In: Research in international business and finance 48 (2019), pp. 321-334

Persistent link: https://www.econbiz.de/10012135920

Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach

Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396

Persistent link: https://www.econbiz.de/10012135956

Measuring the level and uncertainty of trend inflation

Mertens, Elmar - In: The review of economics and statistics 98 (2016) 5, pp. 950-967

Persistent link: https://www.econbiz.de/10011791712