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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

The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...

Persistent link: https://www.econbiz.de/10012173261

Central counterparties and liquidity provision in cash markets

Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance sheet encumbrance through the use of central counterparties (CCPs). The introduction of the Basel III leverage rule constitutes a shock to market makers’ balance sheets and...

Persistent link: https://www.econbiz.de/10012798918

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

Asymmetric mean reversion in low liquid markets : evidence from BRVM

Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of risk and financial management : JRFM 12 (2019) 1/38, pp. 1-19

This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...

Persistent link: https://www.econbiz.de/10012022315

International information spillovers and asymmetric volatility in South Asian stock markets

Gajurel, Dinesh; Chawla, Akhila - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-18

linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation … asymmetric volatility responses, while Nepal exhibits an inverted asymmetric volatility response, and in contrast Sri Lanka … exhibits a symmetric volatility response to return shocks. Finally, most of these markets experience volatility spillover …

Persistent link: https://www.econbiz.de/10013471157

Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index

Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13

Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

Persistent link: https://www.econbiz.de/10014284076

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 … disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm …

Persistent link: https://www.econbiz.de/10013370457

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649

Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …

Persistent link: https://www.econbiz.de/10012795039

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

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