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Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes

Wel, Michel van der; Menkveld, Albert; Sarkar, Asani - Tinbergen Instituut - 2009

We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...

Persistent link: https://www.econbiz.de/10011255454

Macro News, Riskfree Rates, and the Intermediary

Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - Tinbergen Instituut - 2007

Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro news events in the 30Y treasury futures market to identify causality from customer flow to riskfree rates. We remove the positive feedback trading part and establish that, in the...

Persistent link: https://www.econbiz.de/10011256900

Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements

Scholtus, Martin L.; Dijk, Dick van; Frijns, Bart - Tinbergen Instituut - 2012

This discussion paper resulted in a publication in the 'Journal of Banking and Finance', 2014, 38, 89-105.<P> This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500...</p>

Persistent link: https://www.econbiz.de/10011257218

Market Structure in Services and Market Access in Goods

Francois, Joseph; Wooton, Ian - Tinbergen Instituut - 2004

We examine interaction between trade in goods and market power in domestic trade and distribution, developing a model that highlights this interaction. Theory points to an expected linkage between service sector competition and goods trade, one supported by econometrics involving import patterns...

Persistent link: https://www.econbiz.de/10011255600

The Pollution Effects of Mergers and Acquisitions: Asymmetry, Disaggregation, and Multilateralism

Swart, Julia; Marrewijk, Charles van - Tinbergen Instituut - 2011

This paper studies the impact of cross-border Mergers and Acquisitions (M&As) on Carbon Dioxide emissions. Carbon Dioxide is the main anthropogenic greenhouse gas. A global problem that requires a multilateral solution. To take this into account we introduce an institutional variable, which...

Persistent link: https://www.econbiz.de/10011255767

The Trade-Off between Foreign Direct Investments and Exports: The Role of Multiple Dimensions of Distance

Lankhuizen, Maureen; Groot, Henri L.F. de; Linders, … - Tinbergen Instituut - 2009

Investment (FDI). The conventional proximity-concentration theory suggests that FDI substitutes for trade if distance between …

Persistent link: https://www.econbiz.de/10011256176

Horizontal Multinational Firms, Vertical Multinational Firms and Domestic Investment

Namini, Julian Emami; Pennings, Enrico - Tinbergen Instituut - 2009

endogenous domestic and foreign investment. It is found that horizontal multinational activity always leads to a complementary … relationship between domestic and foreign investment. Vertical multinational activity, in contrast, leads to either a … substitutional or complementary relationship between domestic and foreign investment, depending on the firms' technologies. We test …

Persistent link: https://www.econbiz.de/10011256272

Cross-Border Mergers & Acquisitions: A Piece of The Natural Resource Curse Puzzle

Swart, Julia; Marrewijk, Charles van - Tinbergen Instituut - 2009

We combine the resource curse literature with the literature on cross-border mergers and acquisitions (M&As) to investigate two hypotheses, namely (i) natural resources wealth: countries with a comparative advantage in natural resources attract more M&As in natural resource intensive sectors and...

Persistent link: https://www.econbiz.de/10011256289

Functional and Sectoral Division of Labour within Central and Eastern European Countries: Evidence from Greenfield FDI

Dogaru, Teodora; Burger, Martijn; Karreman, Bas; Oort, … - Tinbergen Instituut - 2014

within the convergence debate. By analysing the investment decisions of multinational corporations in 49 NUTS-2 regions …

Persistent link: https://www.econbiz.de/10011256403

The Multinationalization of the Transport Sector

Larch, Mario - Tinbergen Instituut - 2005

According to the World Investment Report 2004, the structure of Fmhas shifted towards services. Further, the …

Persistent link: https://www.econbiz.de/10011256500