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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
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The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets
Hayo, Bernd; Kutan, Ali - EconWPA - 2002
This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, there is some persistence in both bond and stock market returns. Second, we find that U.S. stock market returns Granger-cause Russian...
Persistent link: https://www.econbiz.de/10005134897
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The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets
Hayo, Bernd; Kutan, Ali - EconWPA - 2004
This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear...
Persistent link: https://www.econbiz.de/10005134951
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Financial Liberalization and Business Cycles: The Experience of Future EU Member States in the Baltics and Central Eastern Europe
Souza, Lucio Vinhas de - EconWPA - 2004
This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of “emerging...
Persistent link: https://www.econbiz.de/10005062709
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Do networks in the stock exchange industry pay off? European evidence
Hasan, Iftekhar; Schmiedel, Heiko - EconWPA - 2004
The economic theory of network externalities provides the rationale for this paper, which investigates whether adoption of network strategies in European stock exchanges creates additional value in the provision of trading services. Using unbalanced panel data from all major European exchanges...
Persistent link: https://www.econbiz.de/10005062710
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How Important Are Foreign Banks in European Transition Countries? A Comparative Analysis
Bol, Hanneke; Haan, Jakob de; Scholtens, Bert; Haas, … - EconWPA - 2002
This paper analyses the development of the banking sector in twelve transition countries. Foreign banks have become major players in the financial system of these countries. Still, foreign bank presence and financial development in general vary considerably between these economies. Distance from...
Persistent link: https://www.econbiz.de/10005556660
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Co-movements in EU banks’ fragility: a dynamic factor model approach
Brasili, Andrea; Vulpes, Giuseppe - EconWPA - 2004
We analyse co-movements in the fragility of EU banks and verify to which extent such co-movements have increased in time, following, for example, the completion of Monetary Union and the introduction of the euro. To this end, we provide a measure of co-movements in bank risk by means of a...
Persistent link: https://www.econbiz.de/10005561701
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Do Stock Markets Promote Economic Growth?
Hanousek, Jan; Campos, Nauro F.; Filer, Randall K. - EconWPA - 2001
One of the most enduring debates in economics is whether financial development causes economic growth or whether it is a consequence of increased economic activity. Little research into this question, however has used a true causality framework. This paper fills this lacuna by using...
Persistent link: https://www.econbiz.de/10005413076
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Mispricing and Lasting Arbitrage between Parallel Markets in the Czech Republic
Hanousek, Jan; Nemecek, Libor - EconWPA - 2001
If co-existing parallel markets are efficient, then arbitrage will maintain a correct pricing relationship. A related … (with transaction costs), in which price differences are studied using levels of arbitrage activity. For the empirical …-the-counter system). In particular, we study the degree of arbitrage activity for different segments of the PSE and the evolution of …
Persistent link: https://www.econbiz.de/10005077009
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Electrodynamical model of quasi-efficient financial market
Ilinski, Kirill; Stepanenko, Alexander - EconWPA - 1998
The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications, whilst the practical side of the problem has clear relevance to...
Persistent link: https://www.econbiz.de/10005561574