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Forecasting market crashes: further international evidence

Jokipii, Terhi - Suomen Pankki - 2006

This paper studies the extent to which market crashes are predictable for a set of six countries, focusing in particular on possible differences between transition economies (The Czech Republic, Hungary and Poland) and mature markets (UK, US and EU). We estimate a set of individual country and...

Persistent link: https://www.econbiz.de/10005423692

Return-volatility linkages in the international equity and currency markets

Francis, Bill B; Hasan, Iftekhar; Hunter, Delroy M. - Suomen Pankki - 2002

determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework … provides a parsimonious way of testing mean-volatility relationships in currency and equity markets and re-examining the … between currency and equity markets is bi-directional, significant, persistent, and independent of the relationship strictly …

Persistent link: https://www.econbiz.de/10005423700

Home preference at selecting financial advisors in cross-border M&As

Francis, Bill B.; Hasan, Iftekhar; Sun, Xian - Suomen Pankki - 2012

This paper examines the determinants of the choice of financial advisors and their impact on the announcement effects of US acquirers in cross-border M&As. Two hypotheses are tested: one pertains to the acquiring firms’ home preference in selecting financial advisors, and the other relates to...

Persistent link: https://www.econbiz.de/10010587737

The effect of a transaction tax on exchange rate volatility

Lanne, Markku; Vesala, Timo - Suomen Pankki - 2006

We argue that a transaction tax is likely to amplify, not dampen, volatility in the foreign exchange mar-kets. Our argument stems from the decentralised trading practice and the presumable discrepancy be-tween ‘informed’ and ‘uninformed’ traders’ valuations. Since informed traders’...

Persistent link: https://www.econbiz.de/10005423683

In search of concepts: The effects of speculative demand on returns and volume

ap Gwilym, Owain; Wang, Qingwei; Hasan, Iftekhar; Xie, Ru - Suomen Pankki - 2013

Using a novel proxy of investors’ speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...

Persistent link: https://www.econbiz.de/10010691919

Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market

Laakkonen, Helinä - Suomen Pankki - 2015

This paper studies the impact of uncertainty on the investors' reactions to news on macroeconomic statistics. With daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market react significantly stronger to US macroeconomic news in...

Persistent link: https://www.econbiz.de/10011207864

Announcement effects on exchange rate movements: continuity as a selection criterion among the REE

Bask, Mikael - Suomen Pankki - 2006

model, where currency trade is partly determined by technical trading in the form of moving averages since it is the most … absent in currency trade. This result is impor-tant since it sheds light on the so-called exchange rate disconnect puzzle in …

Persistent link: https://www.econbiz.de/10005648882

Adaptive learning in an expectational difference equation with several lags: selecting among learnable REE

Bask, Mikael - Suomen Pankki - 2006

, is the monetary approach to exchange rate determination that is augmented with technical trading in the currency market …

Persistent link: https://www.econbiz.de/10005648982

What determines bank stock price synchronicity? Global evidence

Francis, Bill; Hasan, Iftekhar; Song, Liang; Yeung, Bernard - Suomen Pankki - 2012

This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996–2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided...

Persistent link: https://www.econbiz.de/10010945107

Why is price discovery in credit default swap markets news-specific?

Marsh, Ian W.; Wagner, Wolf - Suomen Pankki - 2012

We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of...

Persistent link: https://www.econbiz.de/10010818994