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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

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

Which financial stocks did short sellers target in the subprime crisis?

Hasan, Iftekhar; Massoud, Nadia; Saunders, Anthony; … - Suomen Pankki - 2015

Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposures in the subprime crisis. The evidence suggests that short sellers sold short stocks that...

Persistent link: https://www.econbiz.de/10011188494

Do private signals of a bank’s creditworthiness predict the bank’s CDS price? Evidence from the Eurosystem's overnight loan rates

Tölö, Eero; Jokivuolle, Esa; Viren, Matti - Suomen Pankki - 2014

We investigate the relationship between the daily average interbank overnight borrowing rate (AOR) and the credit default swap price (CDS) of 60 banks using the Eurosystem’s proprietary data from mid-2008 to mid-2013. We find that the AOR which is observable only by the competent Eurosystem...

Persistent link: https://www.econbiz.de/10010818980

Can firms learn by observing? Evidence from cross-border M&As

Francis, Bill B.; Hasan, Iftekhar; Sun, Xian; Waisman, Maya - Suomen Pankki - 2014

In the presence of high uncertainty and limited experience, can observing the actions of other acquiring predecessors help firms make better acquisition decisions? Using a sample of cross-border M&As conducted by US acquirers in developing countries, we document a positive and significant...

Persistent link: https://www.econbiz.de/10010945113