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Short-selling bans around the world : evidence from the 2007 - 09 crisis
Beber, Alessandro; Pagano, Marco - 2010
Most stock exchange regulators around the world reacted to the 2007-2009 crisis byimposing bans or regulatory constraints on short-selling. Short-selling restrictions wereimposed and lifted at different dates in different countries, often applied to different sets ofstocks and featured different...
Persistent link: https://www.econbiz.de/10011382070
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Need for speed? : exchange latency and liquidity
Menkveld, Albert J.; Zoican, Marius A. - 2014
Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...
Persistent link: https://www.econbiz.de/10010384388
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Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael; Radalj, Kim - 2013
Persistent link: https://www.econbiz.de/10009784945
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Round-the-clock price discovery for cross-listed stocks : US-Dutch evidence
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard variance ratio'' approach,...
Persistent link: https://www.econbiz.de/10011333901
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Intraday price discovery in fragmented markets
Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014
For many assets, trading is fragmented across multiple exchanges. Price discovery measures summarize the informativeness of trading on each venue for discovering the assetś true underlying value. We explore intraday variation in price discovery using a structural model with time-varying...
Persistent link: https://www.econbiz.de/10010250525
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Periodic heteroskedastic RegARFIMA models for daily electricity spot prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003
stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is …-of-the-week periodicity and long memory are important determinants for the dynamic modelling of the conditional mean of electricity spotprices …. Once an effective description of the conditional mean of spot prices is empirically identified, focus can be directed …
Persistent link: https://www.econbiz.de/10011334362
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Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10010366935
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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016
affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the … diagonal BEKK model is used to accommodate multivariate conditional heteroskedasticity in the VAR estimates of ETF returns …
Persistent link: https://www.econbiz.de/10011441620
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Designing financial support for SMEs during crises : the role of bank lending
Wang, Tianxi; Wang, Xuan - 2021
When designing schemes to help SMEs survive crises, the government typically faces asymmetric information, so that it cannot target the SMEs most worth saving. We show that the government can exploit the information in the borrower loan demand to improve policy targets compared with existing...
Persistent link: https://www.econbiz.de/10012665866
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Information asymmetry, lease incentives, and the role of advisors in the market for commercial real estate
Dröes, Martijn; Ziermans, Boris; Koppels, Philip - 2017 - This version: 03 November 2017
Using a unique transactions dataset from the Amsterdam office market, this paper examines the determinants of property lease incentives. The study focuses on the type of landlord involved (institutional/private) and whether the tenant or landlord used an advisor (professional broker) to help...
Persistent link: https://www.econbiz.de/10011772996