This paper analyses the intraday reaction of the Spanish market to annual earnings announcements. Specifically, we examine the levels of stock liquidity, trading activity, volatility, and asymmetric information, as well as the order placement strategy around earnings disclosures. We also analyse...

In this paper we provide additional evidence on expiration effects in the Ibex 35 stock index futures market using realized volatility as proposed in Andersen et al. (2003, Econometrica 71, 529-626). Our findings reveal not only a significant increase in spot trading activity, but also the...

In this research we investigate whether quarterly earnings announcements are informative using awide sample of firms listed in the Spanish Stock Market (SIBE). We study the period comprised between thethird quarterly of 2002 and the fourth quarterly of 2003. We analyse whether abnormal returns...

In this study we analyse the effect of stock splits on stocks¿ trading activity using intraday data from a sample of 46 stock splits from the Spanish stock market. In particular, we study changes to trading activity, trading composition, the information asymmetry of stocks, the distribution of...

In 1998 the Fixing trading system was implemented in the Spanish Stock Market. It is considered an alternative to the traditional system of continuous negotiation, applicable to those stocks that have a series of basic characteristics in common. It represents an important innovation, the...

The implantation of the Euro in the eleven of the EU has driven the big banks to expand their presence in other European countries, which may have negative consequences on their credit risk in view of the disadvantages involved in entering new markets. The aim of this paper is to analyse the...

In this paper we analyze the state-dependent risk-spillover in different economic areas. To this end, weapply the quantile regression-based methodology developed in Adams, Füss and Gropp (2014)approach to examine the spillover in conditional tails of daily returns of indices of the banking...

The aim of this paper is to investigate the effects of the European Monetary Union on the hypothesis of an integrated European Capital Market from January 1993 to December 2004. The extent of the period and the use of Fama and MacBeth [1973]'s methodology for estimating a large number of...

The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility...

This paper deals with the time evolution of stock market integration around the introductionof the euro. In particular we test whether the degree of integration between the main eurozonecountries increased after European monetary union. The contribution of the paper to the extantliterature is...