Similar Search Results

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

Laakkonen, Helinä - Suomen Pankki - 2015

daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market …

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

Return-volatility linkages in the international equity and currency markets

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

provides a parsimonious way of testing mean-volatility relationships in currency and equity markets and re-examining the …

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

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

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

The impact of macroeconomic news on exchange rate volatility

Laakkonen, Helinä - Suomen Pankki - 2004

This study investigates the impact of new information on the volatility of exchange rates. The impact of scheduled US … and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier … Form method. The results were consistent with earlier studies. Macroeconomic news increased volatility significantly, and …

Persistent link: https://www.econbiz.de/10005648850

Credit allocation, capital requirements and procyclicality

Jokivuolle, Esa; Kiema, Ilkka; Vesala, Timo - Suomen Pankki - 2009

Although beneficial allocational effects have been a central motivator for the Basel II capital adequacy reform, the interaction of these effects with Basel II’s procyclical impact has been less discussed. In this paper, we investigate the effect of capital requirements on the allocation of...

Persistent link: https://www.econbiz.de/10008496441

Cross-Border Performance in European Banking

Hasan, Iftekhar; Lozano-Vivas, Ana; Pastor, Jesús T. - Suomen Pankki - 2000

Recent cross-country comparisons of bank efficiency have been based on pooled estimates of banks across countries and have typically assumed a common frontier and that differences in performance among banks are primarily due to disparities in certain country-specific aspects of banking...

Persistent link: https://www.econbiz.de/10005423697

Trading Nokia: The roles of the Helsinki vs the New York stock exchanges

Jokivuolle, Esa; Lanne, Markku - Suomen Pankki - 2004

We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the...

Persistent link: https://www.econbiz.de/10005423698

The use of loan loss provisions for capital management, earnings management and signalling by Australian banks

Anandarajan, Asokan; Hasan, Iftekhar; McCarthy, Cornelia - Suomen Pankki - 2006

The objective of this study is to examine whether and to what extent Australian banks use loan loss provisions (LLPs) for capital management, earnings management and signalling. We examine if there were changes in the use of LLPs due to the implementation of banking regulations consistent with...

Persistent link: https://www.econbiz.de/10005190730

Pre-emptive horizontal mergers: theory and evidence

Molnar, Jozsef - Suomen Pankki - 2007

This paper proposes and tests an explanation as to why rational managers seeking to maximize shareholder value can pursue value-decreasing mergers. It can be optimal to overpay for a target firm and decrease shareholder value if the loss is less than in an alternative where the merger is...

Persistent link: https://www.econbiz.de/10005190742