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On the Effects of Private Information on Volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - Tinbergen Instituut - 2011

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …

Persistent link: https://www.econbiz.de/10011255523

Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series

Allen, David E.; McAleer, Michael; Singh, Abhay K. - Tinbergen Instituut - 2014

This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia...

Persistent link: https://www.econbiz.de/10011272574

Asymmetric Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10011272575

Volatility Spillovers from Australia's Major Trading Partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Tinbergen Instituut - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10011272594

Short-Selling Bans around the World: Evidence from the 2007-09 Crisis

Beber, Alessandro; Pagano, Marco - Tinbergen Instituut - 2010

Most stock exchange regulators around the world reacted to the 2007-2009 crisis byimposing bans or regulatory constraints on short-selling. Short-selling restrictions wereimposed and lifted at different dates in different countries, often applied to different sets ofstocks and featured different...

Persistent link: https://www.econbiz.de/10011255488

Why is Price Discovery in Credit Default Swap Markets News-Specific?

Marsh, Ian W.; Wagner, Wolf - Tinbergen Instituut - 2012

We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of...

Persistent link: https://www.econbiz.de/10011255704

Capital Structure Arbitrage revisited

Wojtowicz, Marcin - Tinbergen Instituut - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive annualized return of 24.35% on invested capital....

Persistent link: https://www.econbiz.de/10011255777

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013

sheepishly following the actions of others, but such actions can be rational under asymmetric information and uncertainty. This …

Persistent link: https://www.econbiz.de/10011256404

Central Clearing and Asset Prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - Tinbergen Instituut - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10011256681

Splitting Orders in Fragmented Markets

Menkveld, Bert - Tinbergen Instituut - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

Persistent link: https://www.econbiz.de/10011256874

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