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False News, Informational Efficiency, and Price Reversals.

Dugast, J.; Foucault, T. - Banque de France - 2014

Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false news, or trading after processing the signal, at the risk that prices...

Persistent link: https://www.econbiz.de/10010938543

Interest Rate Transmission and Volatility Transmission along the Yield Curve.

Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which takes into account most of the usual feaures of financial data (non-stationarity,...

Persistent link: https://www.econbiz.de/10005487060

Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5

Avouyi-Dovi, S.; Jondeau, E.; Lai Tong, C. - Banque de France - 1997

main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and … impact of trading volumes. The non-significance of expected volatility in return equation can be explained by the influence … of trading volumes on returns. On the other hand, asymmetric effects (from non-expected return to volatility) are very …

Persistent link: https://www.econbiz.de/10008566299

La politique monétaire à l'heure du marché mondial des capitaux

Cailleteau, Pierre (ed.); Grunspan, Thierry (contributor) - 1998

Persistent link: https://www.econbiz.de/10000992488

The effect of Sovereign Wealth Funds’ involvement on stock markets.

Raymond, H. - Banque de France - 2008

This study assesses the reaction of stock markets, when Sovereign Wealth Funds (SWFs) announce that they have taken a stake in a listed company. It adds useful empirical results to the debate on the effect of SWFs on financial markets, which remains so far largely reliant on guess work. We...

Persistent link: https://www.econbiz.de/10009395382

Limited attention and news arrival in limit order markets.

Dugast, J. - Banque de France - 2013

I model the dynamics of price adjustments to news arrival in limit order markets when investors have limited attention. Because of limited attention, investors monitor news arrival imperfectly. Consequently prices reflect news with delay. This delay shrinks when investors' attention capacity...

Persistent link: https://www.econbiz.de/10010815973

The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings.

Bernales, A. - Banque de France - 2014

stock volatility and volume. Nevertheless, option listings induce a reduction in the strength of the information asymmetries …

Persistent link: https://www.econbiz.de/10010816019

Estimation et interpretation des densites neutres au risque: Une comparaison de methodes

Jondeau, E.; Rockinger, M. - Banque de France - 1997

Nous comparons dans ce papier la qualite et le contenu en information des densites neutres au risque, obtenus a partir de differentes representations de ces densites: l'approche non-parametrique fondee sur un melange de densites log-normales; les formulations semi-parametriques fondees sur...

Persistent link: https://www.econbiz.de/10005781190

Financial Market Liquidity and the Lender of Last Resort.

Ewerhart, C.; Valla, N. - Banque de France - 2007

It has been argued in the literature that emergency liquidity injections should be conducted preferably in the form of open market operations. As we show in the present paper, this is not necessarily the case when liquidity may be alternatively used for speculative purposes during the crisis. In...

Persistent link: https://www.econbiz.de/10004998822

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral

Jondeau, E.; Rockinger, M. - Banque de France - 1998

assumes a jump-diffusion for the underlying process, and eventually Heston's approach assuming a stochastic volatility model …

Persistent link: https://www.econbiz.de/10005036193