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Liquidity Effects of Changes in a Pan-European Stock Index

Pape, Ulrich; Schmidt-Tank, Stephan - EconWPA - 2005

that has been brought forward in the literature is the liquidity hypothesis according to which an increase in liquidity … after an addition is responsible for the observed rise in value. In the following paper, we examine liquidity effects on … as indicators for liquidity. While there is a medium term price effect, bid-ask spreads do not change significantly due …

Persistent link: https://www.econbiz.de/10005413217

Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data

LOS, CORNELIS A. - EconWPA - 2004

The efficiency of speculative markets, as represented by Fama's 1970 fair game model, is tested on weekly price index data of six Asian stock markets - Hong Kong, Indonesia, Malaysia, Singapore, Taiwan and Thailand - using Sherry's (1992) non-parametric methods. These scientific testing methods...

Persistent link: https://www.econbiz.de/10005076962

CORTE TRANSVERSAL DE LOS RETORNOS ESPERADOS EN EL MERCADO ACCIONARIO CHILENO

Rubio, Fernando - EconWPA - 2004

La presente investigación intenta replicar el trabajo de Fama y French (1992) para el mercado chileno, dentro de cierto marco de limitaciones generales. Específicamente, el objetivo de la investigación es evaluar el rol conjunto del beta de mercado, el tamaño, la razón utilidad a precio, el...

Persistent link: https://www.econbiz.de/10005076996

International Cross-Listing: The Effects of Market Fragmentation and Information Flows

Podpiera, Richard - EconWPA - 2001

We investigate the effects of market fragmentation and information flows in the case of stocks cross-listed on markets in Central Europe and London. First, we test for co-movement, interaction and error correction behavior between the local and London markets. Our results suggest that strong...

Persistent link: https://www.econbiz.de/10005125054

Characterizing Asymmetric Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004

This paper studies the international portfolio flows of US investors to examine the information structure of international equity markets. We use an empirical model of portfolio flows with both public and private information to extract measures of trades due to private information. We find that...

Persistent link: https://www.econbiz.de/10005125533

EFICIENCIA SIMPLE DEL MERCADO DE RENTA FIJA EN CHILE

Rubio, Fernando - EconWPA - 2004

Al estudiar el mercado de renta fija en Chile a septiembre de 2002, se puede realizar dos conclusiones básicas. Primero, uno de los problemas iniciales a los que se enfrenta el gestor es que, en el universo considerado, muy pocos instrumentos entregan los vencimientos necesarios para cumplir...

Persistent link: https://www.econbiz.de/10005134666

Efficiency tests in the Iberian stock markets

Dias, José Carlos; Lopes, Luís; Martins, Vitor; … - EconWPA - 2004

This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...

Persistent link: https://www.econbiz.de/10005134722

How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market

Hanousek, Jan; Podpiera, Richard - EconWPA - 2001

The link between informed trading and the bid-ask spread has been the focus of abundant literature and some authors feared that a large amount of informed trading might lead to shutdown of markets. We explore this issue using data from the Czech Republic. Our estimates confirm that the share of...

Persistent link: https://www.econbiz.de/10005134765

TECHNICAL ANALYSIS ON FOREIGN EXCHANGE: 1975 - 2004

Rubio, Fernando - EconWPA - 2004

The aim of this paper is to determine the potential profitability of technical analysis applied on the foreign exchange market. Eight simple rules of trading are tested in five markets. Only long positions are tracked and reported. When neither commissions nor indexation are included in the...

Persistent link: https://www.econbiz.de/10005134787

Long Memory Options: LM Evidence and Simulations

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

This paper demonstrates the impact of the observed financial market persistence or long term memory on European option valuation by simple simulation. Many empirical researchers have observed the non-Fickian degrees of persistence or long memory in the financial markets different from the...

Persistent link: https://www.econbiz.de/10005134830

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