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Brokers continue to play a critical role in intermediating institutional stock market transactions. More than half of all institutional investor order flow is still executed by high-touch (non-electronic) brokers. Despite the continued importance of brokers, we have limited information on what...
Persistent link: https://www.econbiz.de/10012480093
In the months prior to the stock market crash of 1929, the price of a seat on the New York Stock Exchange was abnormally low. Rising stock prices and volume should have driven up seat prices during the boom of 1929; instead there were negative cumulative abnormal returns to seats of approximately 20...
Persistent link: https://www.econbiz.de/10012466000
Morck, Yeung and Yu (MYY, 2000) show that R2 and other measures of stock market synchronicity are higher in countries with less developed financial systems and poorer corporate governance. MYY and Campbell, Lettau, Malkiel and Xu (2001) also find a secular decline in R2 in the United States over...
Persistent link: https://www.econbiz.de/10012468240
Heightened counterparty risk during the recent financial crisis has raised questions about the role clearinghouses play in global financial stability. Empirical identification of the effect of centralized clearing on counterparty risk is challenging because of the co-incidence of macro-economic...
Persistent link: https://www.econbiz.de/10012458209
location of service-sector establishments to measure commuting and non-commuting trips within the Greater Tokyo metropolitan …
Persistent link: https://www.econbiz.de/10012482712
trading restrictions in the interbank foreign exchange (FX) market for Japanese banks during the Tokyo lunch period. Ito … of the Tokyo lunch period. Moreover, we document that the standard variance-ratio methodology inference in this high …
Persistent link: https://www.econbiz.de/10012472145
this view. The evidence comes from the introduction of trading in Tokyo over the lunch-hour. Lunch return variance doubles … private value is transitory. Finally, the morning exhibits a clear U-shape when Tokyo closes over lunch, and it disappears …
Persistent link: https://www.econbiz.de/10012472888
In analyzing the dynamics of Tokyo housing price, we have compiled annual micro data sets from individual listings in a … regressions give estimates of price and rent increases in the last 11 years in Tokyo. According to these estimates, prices …
Persistent link: https://www.econbiz.de/10012474571
/settlement price for the day. Major fixings occur at 9:55 am Tokyo time for transactions between Japanese banks and their customers … provision at the fixing time is larger than other times, which makes the price impact of any trade smaller. At the Tokyo fixing … liquidity at the Tokyo fixing as well, such financial institutions had announced prices to be more favorable for banks up until …
Persistent link: https://www.econbiz.de/10012457150
We investigate whether or not a beta increases with bad news and decreases with good news, just as does volatility. Using daily returns for nine stocks in a double beta model with EGARCH specifications, we show that news asymmetrically affects the betas of individual stocks. We find that betas...
Persistent link: https://www.econbiz.de/10012471454