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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R. - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …
Persistent link: https://www.econbiz.de/10012908691
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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
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …
Persistent link: https://www.econbiz.de/10011931954
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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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The regulatory response to the financial crisis
Goodhart, Charles A. E. - 2008
regimes, also known as prompt corrective action'; 3. Money market operations by Central Banks; 4. Commercial bank liquidity …
Persistent link: https://www.econbiz.de/10010264328
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The Evolution of Offshore Renminbi Trading: 2016 to 2019
Cheung, Yin-Wong; Grimm, Louisa; Westermann, Frank - 2020
We study the evolution of offshore renminbi trading between 2016 and 2019. The diffusion behaviour of offshore renminbi trading during this period is different from the one between 2013 and 2016. The geographical diffusion process displayed in the 2016-2019 period, in addition to the previously...
Persistent link: https://www.econbiz.de/10012269455
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The Renminbi Central Parity: An Empirical Investigation
Cheung, Yin-Wong; Hui, Cho-Hoi; Tsang, Andrew - 2016
On August 11 2015, China revamped its procedure of setting the official central parity of the renminbi (RMB) against the US dollar. Our empirical investigation shows that the intertemporal dynamics of China’s central parity are not the same before and after this policy change. They are more...
Persistent link: https://www.econbiz.de/10011522463
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The Evolution of Offshore Renminbi Trading : 2016 to 2019
Cheung, Yin-Wong - 2020
We study the evolution of offshore renminbi trading between 2016 and 2019. The diffusion behaviour of offshore renminbi trading during this period is different from the one between 2013 and 2016. The geographical diffusion process displayed in the 2016-2019 period, in addition to the previously...
Persistent link: https://www.econbiz.de/10012830102
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Noise vs. news in equity returns
Chirinko, Robert S.; Foad, Hisham - 2006
What role does noise play in equity markets? Answering this question usually leads immediately to specifying a model of fundamentals and hence the pervasive joint hypothesis quagmire. We avoid this dilemma by measuring noise volatility directly by focusing on the behavior of country closed-end...
Persistent link: https://www.econbiz.de/10010263989
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Financial Crime and Punishment: A Meta-Analysis
de Batz, Laure; Kočenda, Evžen; Kocenda, Evžen - 2023
We provide the first quantitative synthesis of the literature on how financial markets react to the disclosure of financial crimes committed by listed firms. While consensus expects negative stock price returns, the exact size of the effect is far from clear. We survey 111 studies published over...
Persistent link: https://www.econbiz.de/10014377502
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Treasury Auctions and Secondary Market Dynamics. An Analysis Based on the MTS Market for Italy.
Cafiso, Gianluca - 2015
Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...
Persistent link: https://www.econbiz.de/10010531827