Narrow search
Showing 1 - 10 of 206
Cover Image
The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?
Reiffen, David; Buyuksahin, Bahattin - Volkswirtschaftliche Fakultät, … - 2010
Some of the world’s largest futures exchanges impose daily limits on the price movements of individual contracts. Using data from three of the most active US commodity futures contracts, we show that these price restrictions are largely ineffective because traders are able to take similar...
Persistent link: https://www.econbiz.de/10009397172
Cover Image
A Two-Stage Non Discretionary Trading Suspension Mechanism: Effects on Market Quality
Anolli, Mario; Petrella, Giovanni - Volkswirtschaftliche Fakultät, … - 2007
quality: trading activity, return volatility, and price discovery. The full sample results reveal mixed evidence about the … usefulness of price limit hit trading halts: trading volume and return volatility after the halt are abnormally high (trading … interference hypothesis for volume and spillover hypothesis for volatility), whereas prices converge towards equilibrium values …
Persistent link: https://www.econbiz.de/10005621878
Cover Image
Price-caps and Efficient Pricing for the Electricity Italian Market
D'Ecclesia, Rita Laura; Gallo, Crescenzio - Volkswirtschaftliche Fakultät, … - 2002
stimulate the development of related financial markets. Analyzing the features and price volatility of European markets which …
Persistent link: https://www.econbiz.de/10005622059
Cover Image
What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
Vargas, Gregorio A. - Volkswirtschaftliche Fakultät, … - 2008
This paper establishes the link of microstructure and macroeconomic factors to the time-varying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be...
Persistent link: https://www.econbiz.de/10005621881
Cover Image
Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE
Bardong, Florian; Bartram, Söhnke M.; Yadav, Pradeep K. - Volkswirtschaftliche Fakultät, … - 2005
We analyze commonality in informed trading across stocks, and how informed trading varies with the structural and trading characteristics of a firm. We thereby isolate the residual level of informed trading that is unrelated to commonality, trading characteristics, and structural...
Persistent link: https://www.econbiz.de/10005836533
Cover Image
Theoretical analysis of the bid-ask bounce and Related Phenomena
Lerner, Peter - Volkswirtschaftliche Fakultät, … - 2010
I provide a theoretical model for two empirical phenomena observed in the NYSE and Nasdaq markets. First is the bid-ask bounce recently studied by Heston, Korajczuk and Sadka (HKS, 2008) for high-frequency data. Second is a temporary liquidity squeeze observed by Madureira and Underwood (2008)...
Persistent link: https://www.econbiz.de/10009418498
Cover Image
Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues
Langedijk, Sven; Monokroussos, George; Papanagiotou, … - Volkswirtschaftliche Fakultät, … - 2015
We revisit a central task of the extant liquidity literature, which is to identify effective measures of liquidity. We critically assess the influential practice of identifying the best liquidity measures based on monthly correlations by comparing and contrasting correlations between monthly and...
Persistent link: https://www.econbiz.de/10011156975
Cover Image
Structural distortions in the Euro interbank market: the role of 'key players' during the recent market turmoil
Liberati, Caterina; Marzo, Massimiliano; Zagaglia, Paolo; … - Volkswirtschaftliche Fakultät, … - 2012
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions in the Electronic Market for Interbank Deposits (e-Mid)...
Persistent link: https://www.econbiz.de/10011260538
Cover Image
How much you know matters: A note on the exchange rate disconnect puzzle
Onur, Esen - Volkswirtschaftliche Fakultät, … - 2011
This paper offers a dynamic model of the foreign exchange market where some investors in the market are more informed than others. By adjusting the proportion of informed investors in the market, it is shown that the disconnect between macroeconomic variables and the exchange rate is sensitive...
Persistent link: https://www.econbiz.de/10009220668
Cover Image
Measuring market liquidity: an introductory survey
Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo - Volkswirtschaftliche Fakultät, … - 2011
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous...
Persistent link: https://www.econbiz.de/10009397162