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Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets
Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999
Persistent link: https://www.econbiz.de/10001399859
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High-frequency trading in the Bund futures market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …
Persistent link: https://www.econbiz.de/10011483067
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …
Persistent link: https://www.econbiz.de/10011663407
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Monetary policy and stock market volatility
Bleich, Dirk; Fendel, Ralf; Ruelke, Jan-Christoph - 2013
implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …
Persistent link: https://www.econbiz.de/10010202818
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Does uncertainty reduce growth? : using disasters as natural experiments
Baker, Scott; Bloom, Nicholas - 2013
Persistent link: https://www.econbiz.de/10010191904
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...
Persistent link: https://www.econbiz.de/10012655372
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10013428452
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Stock prices, exchange rates and monetary policy
Dor, Eric; Durré, Alain - 2000
Persistent link: https://www.econbiz.de/10001446336
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Earn more tomorrow : overconfident income expectations and consumer indebtedness
Grohmann, Antonia; Menkhoff, Lukas; Merkle, Christoph; … - 2019
This paper examines whether biased income expectations due to overconfidence lead to higher levels of debt-taking. In a lab experiment, participants can purchase goods by borrowing against their future income. We exogenously manipulate income expectations by letting income depend on relative...
Persistent link: https://www.econbiz.de/10012033567