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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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Testing stylized facts of Bitcoin limit order books
Schnaubelt, Matthias; Rende, Jonas; Krauss, Christopher - In: Journal of risk and financial management : JRFM 12 (2019) 1/25, pp. 1-30
observed patterns. Also, we find limit order books to be relatively shallow and liquidity costs to be relatively high when …
Persistent link: https://www.econbiz.de/10012022344
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Market quality and short-selling ban during the COVID-19 pandemic : a high-frequency data approach
Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29
volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and …
Persistent link: https://www.econbiz.de/10013370457
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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
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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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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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Optimism in financial markets : stock market returns and investor sentiments
Limongi, Chiara Concetto; Ravazzolo, Francesco - In: Journal of risk and financial management : JRFM 12 (2019) 2/85, pp. 1-14
This paper investigates how investor sentiment affects stock market returns and evaluates the predictability power of sentiment indices on U.S. and EU stock market returns. As regards the American example, evidence shows that investor sentiment indices have an economic and statistical...
Persistent link: https://www.econbiz.de/10012022093
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Testing stock market efficiency from spillover effect of Panama leaks
Nasir, Adeel; Gherghina, Stefan Cristian; Mata, Mário Nuno - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-23
On 3 April 2016, Mossack Fonseca provided the historically most significant leak of its shareholder’s data for owning offshore companies. Shareholders include many political and influential figures around the globe, which causes a moral hazard. The study analyses the effects of Panama leak...
Persistent link: https://www.econbiz.de/10012821618
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Dynamic linkages between Japan's foreign exchange and stock markets : response to the Brexit referendum and the 2016 U.S. presidential election
Sultonov, Mirzosaid; Jehan, Shahzdah Nayyar - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-8
In this paper, we analyse the response of Japan’s foreign exchange and stock markets to the outcomes of the Brexit referendum and the U.S. presidential election. We estimate the changes in returns of the daily exchange rates of the yen (JPY), the daily closing price index of the Nikkei and the...
Persistent link: https://www.econbiz.de/10011895792
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Does heterogeneity in COVID-19 news affect asset market? : Monte-Carlo simulation based wavelet transform
Siddique, Asima; Kayani, Ghulam Mujtaba; Ashfaq, Saira - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-16
The current study investigates the connectedness between US COVID-19 news, Dowes Jones Index (DJI), green bonds, gold, and bitcoin prices for the period 22 January 2020-3 August 2021. The study has employed wavelet coherency, the continuous wavelet transform, and the wavelet-based Granger...
Persistent link: https://www.econbiz.de/10012628812