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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
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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
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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
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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
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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
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Debit card interchange fees generally lead to cash-promoting cross-subsidisation
Leinonen, Harry - Suomen Pankki - 2011
Cards and cash are competing payment instruments at point-of-sale. The twosided market platform theory, based on general benefit assumptions, supports the use of multilateral interchange fees for card payments as a means of promoting the use of cards. However, analysis of the issue from the...
Persistent link: https://www.econbiz.de/10008867447
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Simultaneous monetary policy announcements and international stock markets response: an intraday analysis
Hussain, Syed Mujahid - Suomen Pankki - 2010
This paper investigates the return and volatility responses of major European and the US equity indices to monetary …
Persistent link: https://www.econbiz.de/10008626081
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Cross-border bank M&As and risk: evidence from the bond market
Choi, Sungho; Francis, Bill B; Hasan, Iftekhar - Suomen Pankki - 2010
The impact of cross-border bank M&As on bank risk remains an open question. Though geographically diversifying bank M&As have the potential to reduce the risk of bank insolvency, they also have the potential to increase that risk due to the increase in risk-taking incentives for bank managers...
Persistent link: https://www.econbiz.de/10008626085
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Leverage ratio requirement, credit allocation and bank stability
Kiema, Ilkka; Jokivuolle, Esa - Suomen Pankki - 2011
We study the effects on credit allocation and bank stability of introducing a leverage ratio requirement (LRR) on top of risk-based capital requirements, as in Basel III. For the current 3% LRR, both low-risk and high-risk loan rates and volumes remain essentially unchanged, because banks...
Persistent link: https://www.econbiz.de/10009003108
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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