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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/10011897589
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Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting
Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022
We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...
Persistent link: https://www.econbiz.de/10013380503
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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/10010519950
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Asymmetry in volatility : a comparison of developed and transition stock markets
Wdowinski, Piotr; Malecka, Marta - 2010
ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...
Persistent link: https://www.econbiz.de/10003942099
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How national and international financial development affect industrial R&D
Maskus, Keith E.; Neumann, Rebecca; Seidel, Tobias - 2011
We examine the impacts of both domestic and international financial market development on R&D intensities in 22 manufacturing industries in 18 OECD countries for the period 1990- 2003. We take account of such industry characteristics as the need for external financing and the amount of tangible...
Persistent link: https://www.econbiz.de/10009130154
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A neglected semi-stylized fact of daily stock returns
Davies, Patrick Laurie; Krämer, Walter - 2016
We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...
Persistent link: https://www.econbiz.de/10011444114
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Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis
Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...
Persistent link: https://www.econbiz.de/10013368898
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10011434566
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549