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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …
Persistent link: https://www.econbiz.de/10014400143
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Winner-Loser Reversals in National Stock Market Indices : Can they Be Explained?
Richards, Anthony J. - 1997
This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk...
Persistent link: https://www.econbiz.de/10014403316
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Deviations of Exchange Rates From Purchasing Power Parity : A Story Featuring Two Monetary Unions
MacDonald, Ronald - 1998
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10014400558
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How does the Repo market behave under stress? : evidence from the COVID-19 crisis
Hüser, Anne-Caroline; Lepore, Caterina; Veraart, Luitgard - 2021
We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction-level data of the overnight gilt repo market including the COVID-19 crisis. During this crisis, the repo network becomes more connected, with most institutions relying on existing...
Persistent link: https://www.econbiz.de/10012796211
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Private information, capital flows, and exchange rates
Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip - 2012
We demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors' stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors'...
Persistent link: https://www.econbiz.de/10009621637
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A Puzzle of Microstructure Market Maker Models
Romeu, Rafael - 2004
This study addresses the empirical viability of microstructure models of dealer price setting. New evidence is presented rejecting these models'' specifications of how information asymmetry and inventory accumulation affect dealer pricing. This rejection is consistent with those of other...
Persistent link: https://www.econbiz.de/10014404138
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Foreign Exchange Market Organization in Selected Developing and Transition Economies : Evidence From a Survey
Canales Kriljenko, Jorge Iván - 2004
The foreign exchange market microstructures in developing and transition economies are characterized by the results from the IMF''s 2001 Survey on Foreign Exchange Market Organization. The survey found that these markets are usually unified onshore spot markets for U.S. dollars, where...
Persistent link: https://www.econbiz.de/10014401378
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Private Information, Capital Flows, and Exchange Rates
Gyntelberg, Jacob - 2012
We demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors’ stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors’...
Persistent link: https://www.econbiz.de/10014395735
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The Microstructure of Government Securities Markets
Dattels, Peter - 1995
This paper applies the “market microstructure” literature to the specific features of government securities markets and draws implications for the strategy to develop government securities markets. It argues for an active role of the authorities in fostering the development of efficient...
Persistent link: https://www.econbiz.de/10014395858
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Go Long or Short in Pyramids? : News From the Egyptian Stock Market
Massa, Isabella - 2007
Similar to other emerging economies, the Egyptian stock market has recently experienced a remarkable run-up but also a major downturn. This paper analyzes the stock market from two angles. First, it compares the performance of the major stock price index with its underlying fundamentals. Second,...
Persistent link: https://www.econbiz.de/10014401258