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Growth Strategies and Value Creation : What Works Best for Stock Exchanges?
Hasan, Iftekhar - 2010
In recent years, demutualized stock exchanges have been increasingly engaging in M&A and alliance activities. To examine the effect of these growth strategies on exchange shareholders' value creation, we focus on 14 public stock exchanges and investigate their short-run share price responses to...
Persistent link: https://www.econbiz.de/10013143336
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Competition Among High-Frequency Traders, and Market Quality
Breckenfelder, Johannes - 2019
speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …
Persistent link: https://www.econbiz.de/10012868588
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The Reception of Public Signals in Financial Markets : What if Central Bank Communication Becomes Stale?
Ehrmann, Michael - 2009
How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents' information...
Persistent link: https://www.econbiz.de/10013157672
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An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …
Persistent link: https://www.econbiz.de/10011605131
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Multimarket trading and the cost of debt: evidence from global bonds
Petrasek, Lubomir - 2010
studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt … significant liquidity and price advantage over comparable domestic bonds. On average, global bonds trade at yields 15 to 25 basis … of crisis. Global issues are more liquid, as evidenced by several trade-based liquidity measures, but the liquidity …
Persistent link: https://www.econbiz.de/10011605258
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Stale Information, Shocks and Volatility
Gropp, Reint; Kadareja, Arjan - 2021
We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...
Persistent link: https://www.econbiz.de/10013317418
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Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?
Kurov, Alexander - 2016
We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...
Persistent link: https://www.econbiz.de/10012992424
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The Stock Market Reaction to the 2005 Non-Tradable Share Reform in China
Beltratti, Andrea - 2011
During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS) typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis, based on...
Persistent link: https://www.econbiz.de/10013125357
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Catching Falling Knives : Speculating on Market Overreaction
Colliard, Jean-Edouard - 2013
Market participants often invest in order to acquire information that pertains to the market itself (e.g. order flow) rather than to fundamentals. This enables them to infer more information from past trades. I show that agents trading on such information, typically high-frequency traders,...
Persistent link: https://www.econbiz.de/10013082533
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How News Affects Sectoral Stock Prices Through Earnings Expectations and Risk Premia
Kristiansen, Kristian; Hvid, Anna - 2021
A growing body of literature analyses the impact of news on companies’ equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...
Persistent link: https://www.econbiz.de/10013314912