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An empirical analysis of specialist trading behavior at the New York Stock Exchange

Benediktsdottir, Sigridur - Federal Reserve Board (Board of Governors of the … - 2006

I establish stylized empirical facts about the trading behavior of New York Stock Exchange specialists. Specifically, I look at the effect of future price movements, the specialist's explicit role, and the specialist's inventory levels on specialist trading behavior. The motivation for this...

Persistent link: https://www.econbiz.de/10005712680

Evaluating "correlation breakdowns" during periods of market volatility

Loretan, Mico; English, William B. - Federal Reserve Board (Board of Governors of the … - 2000

either to structural breaks in the underlying distribution of returns or to "contagion" across markets that occurs only … just of theoretical interest: When we consider quarterly measures of volatility and correlation for three pairs of asset … the implications of this link between measures of volatility and correlation for risk management, bank supervision, and …

Persistent link: https://www.econbiz.de/10005712696

Measuring international economic linkages with stock market data

Ammer, John; Mei, Jianping - Federal Reserve Board (Board of Governors of the … - 1993

The covariance between domestic and foreign equity return innovations is decomposed into components associated with news about future real and financial variables. In an application to fifteen national stock markets, we find that news about future dividend growth tends to be more highly...

Persistent link: https://www.econbiz.de/10005712772

Stock market wealth and consumer spending

Starr-McCluer, Martha - Federal Reserve Board (Board of Governors of the … - 1998

This paper investigates the effects of stock market wealth on consumer spending. Traditional macroeconometric models estimate that a dollar's increase in stock market wealth boosts consumer spending by 3-7 cents per year. With the substantial 1990s rise in stock prices, the nature and magnitude...

Persistent link: https://www.econbiz.de/10005513025

Reexamining the relationship between stock returns and stock return volatility

Duffee, Gregory R. - Federal Reserve Board (Board of Governors of the … - 1992

Persistent link: https://www.econbiz.de/10005513082

Alternative estimates of the presidential premium

Campbell, Sean D.; Li, Canlin - Federal Reserve Board (Board of Governors of the … - 2004

Since the early 1980s much research, including the most recent contribution of Santa-Clara and Valkanov (2003), has concluded that there is a stable, robust and significant relationship between Democratic presidential administrations and robust stock returns. Moreover, the difference in returns...

Persistent link: https://www.econbiz.de/10005513111

Bank equity values, bank risk, and the implied market values of banks' assets and liabilities

Kuester, Kathleen A.; O'Brien, James M. - Federal Reserve Board (Board of Governors of the … - 1989

Persistent link: https://www.econbiz.de/10005514181

A causal relationship between stock returns and volume

Antoniewicz, Rochelle L. - Federal Reserve Board (Board of Governors of the … - 1992

Persistent link: https://www.econbiz.de/10005514182

Conditional heteroskedasticity in the market

Diebold, Francis X.; Im, Jong; Lee, C. Jevons - Federal Reserve Board (Board of Governors of the … - 1988

Persistent link: https://www.econbiz.de/10005393659

Measuring the reaction of monetary policy to the stock market

Rigobon, Roberto; Sack, Brian - Federal Reserve Board (Board of Governors of the … - 2001

Movements in the stock market can have a significant impact on the macroeconomy and are therefore likely to be an important factor in the determination of monetary policy. However, little is known about the magnitude of the Federal Reserve's reaction to the stock market. One reason is that it is...

Persistent link: https://www.econbiz.de/10005393752