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Bekaert, Geert; Hodrick, Robert J; Zhang, Xiaoyan - C.E.P.R. Discussion Papers - 2006

We examine international stock return comovements using country-industry and country-style portfolios. We first …-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find …

Persistent link: https://www.econbiz.de/10005136705

A Measure of Comovement for Economic Variables: Theory and Empirics

Croux, Christophe; Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1999

transformations. In the bivariate case, the measure reduces to dynamic correlation and is related, but not equal, to the well …-known quantities coherence and coherency. Dynamic correlation on a frquency band equals (static) correlation of band-pass filtered … series. Moreover, long run correlation and cohesion relate in a simple way to cointegration. Cohesion is useful to study …

Persistent link: https://www.econbiz.de/10005656204

The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets

Giovannini, Alberto - C.E.P.R. Discussion Papers - 1988

variances of asset returns are time-varying. The purpose of this paper is to determine whether these joint fluctuations of … mean-variance model under several different assumptions about the time-variation of conditional second moments of returns …, using weekly data from July 1974 to December 1986 on returns to a portfolio composed of dollar, Deutschmark, sterling, and …

Persistent link: https://www.econbiz.de/10005791802

Explaining Forward Exchange Bias .... Intra-day

Lyons, Richard K; Rose, Andrew K - C.E.P.R. Discussion Papers - 1994

Intra-day interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the...

Persistent link: https://www.econbiz.de/10005124023

The Microstructure of the Euro Money Market

Hartmann, Philipp; Manna, Michele; Manzanares, Andres - C.E.P.R. Discussion Papers - 2001

This Paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in six countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private...

Persistent link: https://www.econbiz.de/10005123983

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

Overconfidence and Trading Volume

Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2003

finance models - the correlation of economic and psychological variables and the combination of psychometric measures of …

Persistent link: https://www.econbiz.de/10005656212

The more we know on the fundamental, the less we agree on the price

Kondor, Péter - C.E.P.R. Discussion Papers - 2011

secondary role of helping agents to learn about the information of other agents. As a consequence, whenever the correlation …

Persistent link: https://www.econbiz.de/10009144734

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

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