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Stock market efficiency in China: evidence from the split-share reform
Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - Banca d'Italia - 2014
We perform an event study to investigate the efficiency of the Chinese stock market. We study the reaction of stock returns and trading volumes to the 2005-2006 structural reform which allowed the transformation of non-tradable shares (NTS) into tradable shares (TS) through payment of a...
Persistent link: https://www.econbiz.de/10011103311
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Asset Pricing Lessons for Modeling Business Cycles.
Boldrin, M.; Christiano, L.J.; Fischer, J.D.M. - Banca d'Italia - 1996
We develop a model which accounts for the observed equity premium and average risk free rate, without implying counterfactually high risk aversion. The model also does well in accounting for business cycle phenomena.
Persistent link: https://www.econbiz.de/10005640901
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Informed trading and stock market efficiency
Taneli M�kinen - Banca d'Italia - 2014
The information content of stock prices is analysed without imposing strong restrictions on traders' preferences and the distribution of dividends. Noise in the information contained in equilibrium prices arises from endogenous asset supply, which offsets price movements due to informed trading....
Persistent link: https://www.econbiz.de/10011099648
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Macroeconomic determinants of carry trade activity
Anzuini, Alessio; Fornari, Fabio - Banca d'Italia - 2011
From a financial standpoint, the mechanics of the carry trade has been recently examined in Brunnermeier et al. (2009). They showed that shocks to interest rate differentials lead to carry trade activity and to significant reactions in the bilateral exchange rates vis-a-vis the US dollar that...
Persistent link: https://www.econbiz.de/10009320179
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The role of financial investments in agricultural commodity derivatives markets
Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012
This paper investigates the relationship between futures prices and financial investments in derivatives of the main agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that traders who deal mostly in commodity index...
Persistent link: https://www.econbiz.de/10009645788
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The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates
Fornari, Fabio; Monticelli, Carlo; Pericoli, Marcello; … - Banca d'Italia - 1999
effect on the conditional volatility of these variables. The analysis spans a period of great financial and political … price changes and their conditional variance; second, those items that are identified as significant in the first stage are … different governments; iii) the conditional variances display a significant � albeit rather small � seasonal dayweek pattern …
Persistent link: https://www.econbiz.de/10005770784
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Credit ratings in structured finance and the role of systemic risk
Violi, Roberto - Banca d'Italia - 2010
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...
Persistent link: https://www.econbiz.de/10008677911
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Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data
Grande, Giuseppe; Ventura, Luigi - Banca d'Italia - 2001
Theory suggests that uninsurable income risk induces individuals to accumulate assets as a precautionary reserve of value. Most assets, however, bear rate of return risk, that can be diversified only if every asset is traded by a large number of individuals and arbitrage is frictionless. Using...
Persistent link: https://www.econbiz.de/10005113608
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Price discovery in the Italian sovereign bonds market: the role of order flow
Girardi, Alessandro; Impenna, Claudio - Banca d'Italia - 2013
This paper analyses the price discovery process and the informational role of trading in the Italian wholesale secondary markets for Treasury bonds: the B2B MTS cash and the B2C BondVision trading venues. Using daily data for a representative set of fixed rate government bonds over the period...
Persistent link: https://www.econbiz.de/10011099620
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Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management
Scalia, Antonio; Sahel, Benjamin - Banca d'Italia - 2012
The investment of the ECB reserves in US dollars and yen involves an annual performance assessment of portfolio managers, located in the Eurosystem�s national central banks. Employing new data on individual portfolios during 2002-2009, we study this peculiar tournament and show the...
Persistent link: https://www.econbiz.de/10009645793