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Aggressive Orders and the Resiliency of a Limit Order Market

Degryse, Hans; de Jong, Frank C. J. M.; van Ravenswaaij, M. - Tilburg University, Center for Economic Research - 2002

We analyze the resiliency of a pure limit order market for large and small capitalization stocks as well as stocks with different tick sizes.We explore the issue of resiliency by investigating the order flow around aggressive orders that move prices.The impact of aggressive orders is gauged in...

Persistent link: https://www.econbiz.de/10011091148

Has the Euro Affected the Choice of Invoicing Currency?

Ligthart, J.E.; Werner, S.E.V. - Tilburg University, Center for Economic Research - 2010

We present a new approach to study empirically the effect of the introduction of the euro on currency invoicing. Our … home currency invoicing after the introduction of the euro. In addition, the euro as a vehicle currency has overtaken the … role of the US dollar in Norwegian imports. The econometric analysis shows a significant effect of euro introduction above …

Persistent link: https://www.econbiz.de/10011090527

The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets

Umutlu, M.; Akdeniz, L.; Salih, A.A. - Tilburg University, Center for Economic Research - 2009

In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated...

Persistent link: https://www.econbiz.de/10011092874

Mandatory IFRS Reporting and Stock Price Informativeness

Joos, Philip; Beuselinck, C.A.C.; Khurana, I.K.; van … - Tilburg University, Center for Economic Research - 2010

In this paper, we examine whether mandatory adoption of IFRS influences the flow of firm-specific information and contributes to stock price informativeness as measured by stock return synchronicity. Using a constant sample of 1,904 mandatory IFRS adopters in 14 EU countries for the period...

Persistent link: https://www.econbiz.de/10011090958

Currency Denomination of Bank Loans : Evidence from Small Firms in Transition Countries

Brown, M.; Ongena, S.; Yesin, P. - Tilburg University, Center for Economic Research - 2008

We examine the firm-level and country-level determinants of the currency denomination of small business loans. We introduce an information asymmetry between banks and firms in a model that also features the trade-off between the cost of debt and firm-level distress costs. Banks in our model...

Persistent link: https://www.econbiz.de/10011092691

Information Asymmetry and Foreign Currency Borrowing by Small Firms

Brown, M.; Ongena, S.; Yesin, P. - Tilburg University, Center for Economic Research - 2011

We model the choice of loan currency in a framework which features a trade-off between lower cost of debt and the risk of firm-level distress costs. Under perfect information foreign currency funds come at a lower interest rate, all foreign currency earners as well as those local currency...

Persistent link: https://www.econbiz.de/10011091089

Foreign Currency Loans - Demand or Supply Driven?

Brown, M.; Kirschenmann, K.; Ongena, S. - Tilburg University, Center for Economic Research - 2009

-term loan and after the bank itself received more funding in euro. These results suggest that foreign currency borrowing in …

Persistent link: https://www.econbiz.de/10011091639

Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market

de Jong, Frank C. J. M.; Donders, M.W.M. - Tilburg University, Center for Economic Research - 1996

In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated.Due to market imperfections, one of these markets may reflect information faster.The use of high-frequency data and the choice for a small...

Persistent link: https://www.econbiz.de/10011092782

Panic behavior and the performance of circuit breakers : Empirical evidence

Lauterbach, B.; Ben-Zion, U. - Tilburg University, Center for Economic Research - 1993

Persistent link: https://www.econbiz.de/10011090379

The Political Economy of Financial Systems : Evidence from Suffrage Reforms in the Last Two Centuries

Degryse, Hans; Lambert, T.; Schwienbacher, A. - Tilburg University, Center for Economic Research - 2013

Abstract: Initially, voting rights were limited to wealthy elites providing political support for stock markets. The franchise expansion induces the median voter to provide political support for banking development as this new electorate has lower financial holdings and benefits less from the...

Persistent link: https://www.econbiz.de/10011091017