Showing 1 - 10 of 305
Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY)...
Persistent link: https://www.econbiz.de/10011074000
We use several measures to compare the performance of a large set of Dow Jones Islamic indexes to selected benchmarks. We test the performance over the whole period and then focus on extreme events. We identify extreme events as the 100 lowest and the 100 highest conventional World Indexes daily...
Persistent link: https://www.econbiz.de/10011073344
The aim of our paper is to price credit derivatives written on a single name when this name is a bank. Indeed, due to the special structure of the balance sheet of a bank and to the interconnections with other institutions of the financial system, the standard pricing formulas do not apply and...
Persistent link: https://www.econbiz.de/10011265539
The results of the study provide empirical evidence of the way ETF promoters were the driving force behind development of the market, exercising social control with relative discretion. Section 2 describes the nature of ETFs in general and the way they have evolved in France, with a focus on...
Persistent link: https://www.econbiz.de/10010708273
This article provides new insights into market competition between traditional exchanges and alternative trading systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity of a traditional dealer market (DM) by comparing data...
Persistent link: https://www.econbiz.de/10011093892
To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of...
Persistent link: https://www.econbiz.de/10011205311
This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading...
Persistent link: https://www.econbiz.de/10010905293
This paper provides an overview of the knowledge available to date on market fragmentation and its consequences, with a specific focus on the European experience. Since the implementation of MiFID1 on 1 November 2007, market fragmentation has considerably increased in European stock markets...
Persistent link: https://www.econbiz.de/10010960559
This article deals with the time-series variation in average sin stock returns – returns on publicly-traded companies involved in producing tobacco, alcohol, and gaming. Next to nothing has been written about this class of stocks, especially on the European stock market. The hypothesis I...
Persistent link: https://www.econbiz.de/10011072677
L’objet de cette étude est d’évaluer l’impact des décisions des agences de notation (modifications de notation de crédit et les mises sous surveillance de ces notations) sur le prix des actions. Nous concentrons notre étude sur le marché français et comparons nos résultats aux...
Persistent link: https://www.econbiz.de/10011074533