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Intraday volatility, trading volume and trading intensity in the interbank market e-MID

Engler, Markus; Jeleskovic, Vahidin - 2016

We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...

Persistent link: https://www.econbiz.de/10011578147

An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index

Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158

It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...

Persistent link: https://www.econbiz.de/10009673701

Complexity of ECB communication and financial market trading

Hayo, Bernd; Henseler, Kai; Rapp, Marc Steffen - 2019

participants' information processing. …

Persistent link: https://www.econbiz.de/10012039675

Momentum in the Tunisian stocks returns : identification of some risk factors

Zoghlami, Faten - In: Journal of applied finance & banking 1 (2011) 2, pp. 207-229

This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that...

Persistent link: https://www.econbiz.de/10009536150

Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID

Demertzidis, Anastasios; Jeleskovic, Vahidin - 2016

estimates show that the systematic dynamics in the intraday yield curves during the turmoil was highly noticeable, resulting in … their investment decisions on the effects of the intraday dynamics of intraday interest rates more intensively during a …. In the future, this fact and the observation of similar intraday dynamics of intraday yield curves can be used as a …

Persistent link: https://www.econbiz.de/10011578153

Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID

Demertzidis, Anastasios; Jeleskovic, Vahidin - 2016

estimates show that the systematic dynamics in the intraday yield curves during the turmoil were highly noticeable, resulting in … their investment decisions on the effects of the intraday dynamics of intraday interest rates more intensively during a …

Persistent link: https://www.econbiz.de/10011814276

Does subprime crisis affect Chinese stock market returns?

Shi, Kai; Nie, Li - In: Journal of applied finance & banking 2 (2012) 6, pp. 163-173

This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...

Persistent link: https://www.econbiz.de/10009741543

Public attention to environmental issues and stock market returns

El Ouadghiri, Imane; Guesmi, Khaled; Peillex, Jonathan; … - 2019

This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional counterparts (i.e. the S&P 500 Index and the FTSE USA). In...

Persistent link: https://www.econbiz.de/10012061121

Communicating with many tongues : FOMC speeches and US financial market reaction

Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2008

model over the period from 1998 to 2006. We build a new data set that includes information on all FOMC speeches, post …

Persistent link: https://www.econbiz.de/10003864447

Stock market analysis in practice : is it technical or fundamental?

Cohen, Gil; Kudryavtsev, Andrey; Hon-Sir, Shlomit - In: Journal of applied finance & banking 1 (2011) 3, pp. 124-138

Investors use varies tools in the investment process. Some use technical or fundamental analysis, or both in that process. The aim of the following survey research is first, to examine differences between professional portfolio managers to amateur investors in their approach towards technical...

Persistent link: https://www.econbiz.de/10009537793