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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 … reversal. -- efficient market hypothesis ; long and short-term trading ; average expectations ; higher order beliefs ; over …
Persistent link: https://www.econbiz.de/10003897551
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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/10003936616
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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/10009011130
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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, A. Nazif; Helmi, … - 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/10012625628
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Non-standard errors
Menkveld, Albert J. - 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/10012696895
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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/10011587522
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Terrorist attacks and financial markets
Bonekamp, Bas; Veen, Tom van - 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/10011602465
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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/10011954459
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Intraday anomalies and market efficiency : a trading robot analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
profit opportunities by replicating the actions of traders. Specifically, the analysis is based on a trading robot which … simulates their behaviour, and incorporates variable transaction costs (spreads). The results suggest that trading strategies …
Persistent link: https://www.econbiz.de/10010344868
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Towards a macroprudential surveillance and remedial policy formulation system for monitoring financial crisis
Bhattacharyay, Biswanath - 2009
Several developing economies witnessed a large number of systemic financial and currency crises since the 1980s which resulted in severe economic, social, and political problems. The devastating impact of the 1982 and 1994-95 Mexican crises, the 1997-98 Asian financial crisis, the 1998 Russian...
Persistent link: https://www.econbiz.de/10003887495