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The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market

Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - Center for Financial Studies - 2008

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing … Nasdaq's calls have reduced this volatility, reorganized order flow, and lowered volatility persistence. Opening and closing … prices had previously contained appreciable transitory components which have been dampened by Nasdaq's market structure …

Persistent link: https://www.econbiz.de/10010958797

Pro-rata matching and one-tick futures markets

Field, Jonathan; Large, Jeremy - Center for Financial Studies - 2008

We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four markets' offered depths at the quotes on average exceed mean market order size by two orders of...

Persistent link: https://www.econbiz.de/10010958589

Do firms buy their stock at bargain prices? Evidence from actual stock repurchase disclosure

Ben-Rephael, Azi; Oded, Jacob; Wohl, Avi - Center for Financial Studies - 2011

We use new data from SEC filings to investigate how S&P 500 firms execute their open market repurchase programs. We find that smaller S&P 500 firms repurchase less frequently than larger firms, and at a price which is significantly lower than the average market price. Their repurchase activity...

Persistent link: https://www.econbiz.de/10010958675

Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets

Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2006

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...

Persistent link: https://www.econbiz.de/10010986456

Dynamic limit order market with diversity in trading horizons

van Achter, Mark - Center for Financial Studies - 2008

This paper considers a trading game in which sequentially arriving liquidity traders either opt for a market order or for a limit order. One class of traders is considered to have an extended trading horizon, implying their impatience is linked to their trading orientation. More specifically,...

Persistent link: https://www.econbiz.de/10010958569

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Center for Financial Studies - 2010

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

Persistent link: https://www.econbiz.de/10010958666

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Center for Financial Studies - 2011

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

Persistent link: https://www.econbiz.de/10010958711

Real-time price discovery in stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10010958800

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004

Persistent link: https://www.econbiz.de/10005022409

Stock Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets

Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2006

Persistent link: https://www.econbiz.de/10005176445