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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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Unleashing animal spirits : self-control and overpricing in experimental asset markets
Kocher, Martin; Lucks, Konstantin; Schindler, David - 2018
capacity to override or inhibit undesired impulses that may drive prices. We implement the first experiment to address the …
Persistent link: https://www.econbiz.de/10011899248
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Price dynamics and trader overconfidence
Ahrens, Steffen; Bosch-Rosa, Ciril; Roulund, Rasmus Pank - 2019
Overconfidence is one of the most important biases in financial markets and commonly associated with excessive trading and asset market bubbles. So far, most of the finance literature takes overconfidence as a given, "static" personality trait. In this paper we introduce a novel experimental...
Persistent link: https://www.econbiz.de/10012034133
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Do financial market experts know their theory? : new evidence from survey data
Brückbauer, Frank - 2022 - This draft: April 2022
Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...
Persistent link: https://www.econbiz.de/10013175639
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Do financial market experts know their theory? : new evidence from survey data
Brückbauer, Frank - 2020
Using a unique survey dataset, the author studies how financial market experts form their stock market expectations. He documents a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the...
Persistent link: https://www.econbiz.de/10012420532
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Banks, markets, and financial stability
Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...
Persistent link: https://www.econbiz.de/10010433396
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Do legal standards affect ethical concerns of consumers?
Danz, David; Engelmann, Dirk; Kübler, Dorothea - 2020
To address the impact of regulation on ethical concerns of consumers, we study the example of minimum wages. In our experimental market, consumers have monopsony power, firms set prices and wages, and workers are passive recipients of a wage payment. We find that the majority of consumers...
Persistent link: https://www.econbiz.de/10012236843
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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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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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Foreign exchange dealer asset pricing
Reitz, Stefan; Umlandt, Dennis - 2019
We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...
Persistent link: https://www.econbiz.de/10012109710