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When Market Illiquidity Generates Volumes

Darolles, Serge; Fol, Gaëlle Le; Mero, Gulten - HAL - 2010

We develop a model of the daily return-volume relationship which incorporates information and liquidity shocks. First, we distinguish between two trading strategies, information-based and liquidity-based trading and suggest that their respective impacts on returns and volume should be modeled...

Persistent link: https://www.econbiz.de/10008794315

The persistence of firms' knowledge base: a quantile approach to Italian data

Colombelli, Alessandra; Quatraro, Francesco - HAL - 2014

investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …

Persistent link: https://www.econbiz.de/10010933797

Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model

Debarsy, Nicolas; Ertur, Cem - HAL - 2009

spatial autocorrelation in a fixed effectspanel data model. These tests allow discriminating between the two main typesof … spatial autocorrelation which are relevant in empirical applications, namelyendogenous spatial lag versus spatially … spatial autocorrelation whatever its type. Hence, it indicates whetherspecific econometric estimation methods should be …

Persistent link: https://www.econbiz.de/10008789245

The persistence of firms' knowledge base: A quantile approach to Italian data

Colombelli, Alessandra; Quatraro, Francesco - HAL - 2013

investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …

Persistent link: https://www.econbiz.de/10011026232

Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals

Lespagnol, Vivien; Rouchier, Juliette - HAL - 2014

This paper studies the effect of investor's bounded rationality on market dynamics. In an order driven market, we consider a few-types model where two risky assets are exchanged. Agents differ by their behavior, knowledge, risk aversion and investment horizon. The investor's demand is defined by...

Persistent link: https://www.econbiz.de/10010933931

Can the Mortensen-Pissarides Model Match the Housing Market Facts ?

Lisi, Gaetano - HAL - 2012

This paper examines whether the baseline Mortensen-Pissarides matching model can account for the housing market facts, namely, the existence of price dispersion, the positive correlation between housing price and trading volume, and between housing price and time-on-the-market. Our main finding...

Persistent link: https://www.econbiz.de/10009652973

Liquidity generated by heterogeneous beliefs and costly estimations

Shen, Min; Turinici, Gabriel - HAL - 2012

We study the liquidity, defined as the size of the trading volume, in a situation where an infinite number of agents with heterogeneous beliefs reach a trade-off between the cost of a precise estimation (variable depending on the agent) and the expected wealth from trading. The "true" asset...

Persistent link: https://www.econbiz.de/10010548256

Liquidity generated by heterogeneous beliefs and costly estimations

Shen, Min; Turinici, Gabriel - HAL - 2012

We study the liquidity, de ned as the size of the trading volume, in a situation where an in nite number of agents with heterogeneous beliefs reach a trade-o between the cost of a precise estimation (variable depending on the agent) and the expected wealth from trading. The \true" asset price is...

Persistent link: https://www.econbiz.de/10010550926

Tobin tax and trading volume tightening: a reassessment

Damette, Olivier; Goutte, Stéphane - HAL - 2014

This article extends the previous literature on the Tobin tax and financial transaction tax. We investigate the linkages between trading volumes and transaction costs using both a linear and a nonlinear methodology. In stark contrast with previous studies, we consider the possibility that our...

Persistent link: https://www.econbiz.de/10010821381