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Liquidity and market efficiency : alive and well?

Liikanen, Erkki; Jylhä, Petri; Pennacchi, George G.; … - Joint Conference with the Bank of Finland in Helsinki …; … - 2015

On 3 July 2015, SUERF organized its sixth joint conference with the Bank of Finland in Helsinki on the subject of liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes, and a lunchtime address. The present SUERF Study...

Persistent link: https://www.econbiz.de/10011414459

Economic evaluation of bank exit regimes in US, EU and Japanese financial centres

Granlund, Peik - Suomen Pankki - 2003

This paper evaluates bank exit regimes in selected financial centres using econometric methods. The focus is on bank exit regimes applicable to commercial banks in New York, London, Frankfurt, Helsinki and Tokyo in 1998–2002. Bank exit regimes are studied from the perspective of bank creditors...

Persistent link: https://www.econbiz.de/10005423720

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

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

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

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

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

The signalling hypothesis revisited: Evidence from foreign IPOs

Francis, Bill B; Hasan, Iftekhar; Lothian, James R; … - Suomen Pankki - 2008

While the signalling hypothesis has played a prominent role as the economic rationale associated with the initial public offering (IPO) underpricing puzzle (Welch, 1989), the empirical evidence on it has been mixed at best (Jegadeesh, Weinstein and Welch, 1993; Michaely and Shaw, 1994). This paper...

Persistent link: https://www.econbiz.de/10005648961

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 … trades disproportionately, leading to increased volatil-ity. Empirical support for this prediction is found by investigating … the effect of transaction costs on the volatility of DEM/USD and JPY/USD returns. High-frequency data are used and an …

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

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