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We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics.

BAJGROWICZ, Pierre; SCAILLET, Olivier

We prove that it eliminates asymptotically all spurious detections. Monte Carlo results show that it performs also well in nite samples. In Dow Jones stocks, spurious detections represent up to 50% of the jumps detected initially between 2006 and 2008. For the majority of stocks, jumps do not...

Persistent link: https://www.econbiz.de/10010680442

Market Efficiency in Emerging Stock Market

Mobarek, Asma; Mollah, A. Sabur; Bhuyan, Rafiqul - In: Journal of Emerging Market Finance 7 (2008) 1, pp. 17-41

the thought that the market does not respond to new information instantaneously. This may be due to a delay in … dissemination to new price sensitive information or biases (under or over reaction) in the response of market participants to such … information. It may also be for the momentum effect related to herding in particular â€˜positive feed back tradingâ€™ or â …

Persistent link: https://www.econbiz.de/10011137908

Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices

Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2011

The monetary unit assumption of financial accounting assumes a stable currency (i.e., constant purchasing power over time). Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not...

Persistent link: https://www.econbiz.de/10011114513

Limelight on dark markets: an experimental study of liquidity and information

Berentsen, Aleksander; McBride, Michael; Rocheteau, … - Institut für Volkswirtschaftslehre, … - 2013

subject to a private information problem. The asset plays the role of a medium of exchange, but this role can be affected by … information, a set of experiments with adverse selection where the terminal value of notes are determined exogenously, and a set …

Persistent link: https://www.econbiz.de/10010817295

Leveling the trading field

Easley, David; Hendershott, Terrence; Ramadorai, Tarun - In: Journal of Financial Markets 17 (2014) C, pp. 65-93

upgrade improved information dissemination on the trading floor and reduced the latency in reporting trades and quotes. The …

Persistent link: https://www.econbiz.de/10010737890

Liquidity and capital under uncertainty and changing market sentiment: A simple analysis

Bossone, Biagio - In: Review of Financial Economics 23 (2014) 2, pp. 98-105

investigate resource allocation decision and asset price dynamics under various sources of uncertainty, and to explore the micro …

Persistent link: https://www.econbiz.de/10010777089

The Damped Fluctuations as a Base of Market Quotations

Yandiev, Magomet - Faculty of Economics, M. V. Lomonosov Moscow State … - 2011

result shows that assimilation by the market of any new information takes place alongside two simultaneous processes: a … the market of the new price level, that is, the quantitative measure of new information being assimilated. …

Persistent link: https://www.econbiz.de/10010859284

The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets

Kang, Jangkoo; Park, Hyoung-Jin - In: Review of Pacific Basin Financial Markets and Policies … 11 (2008) 02, pp. 227-254

This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets …. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more … predictability power for the future movements of prices than order imbalances. Information seems to be transmitted more strongly from …

Persistent link: https://www.econbiz.de/10005080730

How Informative are Financial Asset Prices in Spain?

Alonso, Francisco; Ayuso, Juan; Pagés, Jorge Martínez - Banco de España - 1997

This paper analyses the informational content of financial prices in Spain, mainly from the viewpoint of a central bank. In particular, we examine the informational content of domestic yields and yield spreads, foreign-domestic spreads, credit quality spreads, stock prices and exchange rates on...

Persistent link: https://www.econbiz.de/10005088325

How Informative are Financial Asset Prices in Spain?

Alonso, F.; Ayuso, J.; Martinez Pages, J. - 1997

This paper analyses the informational content of financial prices in Spain, mainly from the viewpoint of a central bank. In partiocular, we examine the informational content of domestic yields and yield spreads, foreign-domestic spreads, credit quality spreads, stock prices and excahnge rates on...

Persistent link: https://www.econbiz.de/10005657337