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Where is the Market? Evidence from Cross-Listings
Halling, Michael; Pagano, Marco; Randl, Otto; Zechner, Josef - C.E.P.R. Discussion Papers - 2005
We investigate the distribution of trading volume across different venues after a company lists abroad. In most cases, after an initial blip, foreign trading declines rapidly to extremely low levels. However, there is considerable cross-sectional variation in the persistence and magnitude of...
Persistent link: https://www.econbiz.de/10005789007
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Trading Volume and Asset Liquidity
Pagano, Marco - C.E.P.R. Discussion Papers - 1986
The existence of a centralized market does not in itself guarantee that an asset can be readily liquidated at no loss: if the market is not deep enough, traders will experience adverse changes in the market price in response to their transactions. Market depth, however, is a function of the...
Persistent link: https://www.econbiz.de/10005792361
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The Microstructure of the Euro Money Market
Hartmann, Philipp; Manna, Michele; Manzanares, Andres - C.E.P.R. Discussion Papers - 2001
and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …
Persistent link: https://www.econbiz.de/10005123983
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Does FOMC News Increase Global FX Trading?
Fischer, Andreas M; Ranaldo, Angelo - C.E.P.R. Discussion Papers - 2008
Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the hypothesis of excess currency volume on FOMC days, we use a novel data set from the Continuous Linked Settlement (CLS) Bank. The CLS measure captures roughly half of the global trading...
Persistent link: https://www.econbiz.de/10005136771
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Overconfidence and Trading Volume
Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2003
Theoretical models predict that overconfident investors will trade more than rational investors. We directly test this hypothesis by correlating individual overconfidence scores with several measures of trading volume of individual investors (number of trades, turnover). Approximately 3000...
Persistent link: https://www.econbiz.de/10005656212
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The more we know on the fundamental, the less we agree on the price
Kondor, Péter - C.E.P.R. Discussion Papers - 2011
information is incorporated into prices and volatility increases. Public information, in such environments, has the important …
Persistent link: https://www.econbiz.de/10009144734
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Financial-Friction Macroeconomics with Highly Leveraged Financial Institutions
Luk, Sheung Kan; Vines, David - C.E.P.R. Discussion Papers - 2011
This paper adds a highly-leveraged financial sector to the Ramsey model of economic growth and shows that this causes the economy to behave in a highly volatile manner: doing this strongly augments the macroeconomic effects of aggregate productivity shocks. Our model is built on the financial...
Persistent link: https://www.econbiz.de/10009322500
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Medium Term Business Cycles in Developing Countries
Comin, Diego; Loayza, Norman; Pasha, Farooq; Servén, Luis - C.E.P.R. Discussion Papers - 2011
Business cycle fluctuations in developed economies (N) tend to have large and persistent effects on developing countries (S). We study the transmission of business cycle fluctuations for developed to developing economies with a two-country asymmetric DSGE model with two features: (i) endogenous...
Persistent link: https://www.econbiz.de/10009322501
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Natural resource wealth: the challenge of managing a windfall
van der Ploeg, Frederick; Venables, Anthony J - C.E.P.R. Discussion Papers - 2011
volatility of revenues, have failed to save a sufficiently high proportion of their resource revenues and failed to make high …
Persistent link: https://www.econbiz.de/10009385762
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Subjective Discount Factors
Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000
-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …
Persistent link: https://www.econbiz.de/10005662071