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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage …
Persistent link: https://www.econbiz.de/10011931954
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R. - 2018
between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage …
Persistent link: https://www.econbiz.de/10012908691
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Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market
Barrios, Aldo; Franolic, Rob; Giovanardi, Davide; … - 2022
speculative strategies, while the latter trade for liquidity needs. The implication is we trade in the direction of the funds … yields positive risk-adjusted performance. Incorporating the liquidity trades signal improves risk-adjusted performance and …
Persistent link: https://www.econbiz.de/10013427707
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10010270503
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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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High-frequency analysis of foreign exchange interventions: what do we learn?
Menkhoff, Lukas - 2008
The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run...
Persistent link: https://www.econbiz.de/10010264498
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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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The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market
Cheung, Yin-Wong; Rime, Dagfinn - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order...
Persistent link: https://www.econbiz.de/10010398519
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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
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Global liquidity, risk premiums and growth opportunities
De Nicolò, Gianni; Ivaschenko, Iryna - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …
Persistent link: https://www.econbiz.de/10010272745