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High Frequency Trading and Fragility
Cespa, Giovanni; Vives, Xavier - 2016
frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders’ liquidity …
Persistent link: https://www.econbiz.de/10011615834
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Terrorist Attacks and Financial Markets
Bonekamp, Bas; van Veen, Tom - 2017
This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin(2016) on the stock indices of the...
Persistent link: https://www.econbiz.de/10011615879
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Exchange Competition, Entry, and Welfare
Cespa, Giovanni; Vives, Xavier - 2018
We assess the consequences for market quality and welfare of different entry regimes and exchange pricing policies in a context of limited market participation. To this end we integrate a two-period market microstructure model with an exchange competition model with entry in which exchanges...
Persistent link: https://www.econbiz.de/10012018123
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10010266065
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Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - 2009
. The standard case of no residual uncertainty and noise trading following a random walk is on the frontier of the two …
Persistent link: https://www.econbiz.de/10010272747
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Higher order expectations, illiquidity, and short-term trading
Cespa, Giovanni; Vives, Xavier - 2011
public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher …-rely on public information, the market displays high illiquidity, and low volume of informational trading; conversely, when …, and the volume of informational trading is high. Over-reliance on public information results from investors' under …
Persistent link: https://www.econbiz.de/10010274821
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The Effects of the Covid-19 Pandemic on Stock Markets, CDS and Economic Activity: Time-Varying Evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...
Persistent link: https://www.econbiz.de/10012658022
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Non-Standard Errors
Menkveld, Albert J.; Dreber, Anna; Holzmeister, Felix; … - 2021
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation...
Persistent link: https://www.econbiz.de/10012799753
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Exchange Competition, Entry, and Welfare
Cespa, Giovanni - 2019
We integrate a market microstructure model with an exchange competition model with entry in which exchanges supply technological services that enhance market participation, and have market power. We find that technological services can be strategic substitutes or complements in platform...
Persistent link: https://www.econbiz.de/10012892152
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The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...
Persistent link: https://www.econbiz.de/10013211119