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The impact of algorithmic trading in a simulated asset market
Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11
level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …
Persistent link: https://www.econbiz.de/10012022150
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...
Persistent link: https://www.econbiz.de/10012486245
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Capital markets integration and cointegration : testing for the correct specification of stock market indices
Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20
In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...
Persistent link: https://www.econbiz.de/10012171036
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On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market
Zhang, Yuanyuan; Chan, Stephen; Chu, Jeffrey; Sulieman, Hana - In: Journal of risk and financial management : JRFM 13 (2020) 1/8, pp. 1-14
, Ethereum, and Litecoin. We also examine the market efficiency and liquidity of the selected cryptocurrencies during these … market. Furthermore, our results indicated differences between the cryptocurrencies in terms of their liquidity during the …
Persistent link: https://www.econbiz.de/10012173261
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Testing the efficiency of globally listed private equity markets
Tegtmeier, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-16
This study is the first to investigate the efficient market hypothesis in its weak form and the random walk behaviour of globally listed private equity (LPE) markets represented by nine global, regional, and style indices based on weekly data covering the period from January 2004 to December...
Persistent link: https://www.econbiz.de/10012622817
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Clarifying the response of gold return to financial indicators : an empirical comparative analysis using ordinary least squares, robust and quantile regressions
Miyazaki, Takashi - In: Journal of risk and financial management : JRFM 12 (2019) 1/33, pp. 1-18
In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...
Persistent link: https://www.econbiz.de/10012022330
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Volatility transmission across financial markets : a semiparametric analysis
Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13
This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...
Persistent link: https://www.econbiz.de/10012322368
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A hypothesis test method for detecting multifractal scaling, applied to Bitcoin prices
Jiang, Chuxuan; Dev, Priya; Maller, Ross A. - In: Journal of risk and financial management : JRFM 13 (2020) 5/104, pp. 1-21
Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward...
Persistent link: https://www.econbiz.de/10012304977
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Assessment of the development of the stock market in the Russian Federation in a crisis
Burkalʹceva, D. D.; Niyazbekova, Shakizada; … - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12
The article analyzes the literature and provides an assessment of the development of the stock market in the Russian Federation between 2016-2020. Today, the process of improving electronic technologies for carrying out operations in the stock market is also a continuing segment of the financial...
Persistent link: https://www.econbiz.de/10012813251
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Market liquidity and its dimensions : linking the liquidity dimensions to sentiment analysis through microblogging data
Guijarro Martinez, Francisco; Moya, Ismael; Saleemi, Jawad - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12
Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty … risk is often priced into market liquidity. This study investigates whether microblogging data, as a non …-financial information tool, is priced along with market liquidity dimensions. The analysis is based on the Australian Securities Exchange …
Persistent link: https://www.econbiz.de/10012627652