This paper analyzes the volatility linkage across the U.S., European, German, Japanese, and Swiss equity markets from 1999 to 2009. Both the unconditional and conditional correlations exhibit large fluctuations during the sample period. The results from the VAR analysis show an asymmetric...

This paper examines the impact of electronic trading systems on the bid-ask spreads in the foreign exchange market. The paper finds: First, both the Reuters system and EBS reduce spreads significantly; Second, the EBS is more influential than the Reuters system for the currency pair DEM/USD;...

We document that short-horizon pricing discrepancies across firms' equity and credit markets are common and that an economically significant proportion of these are anomalous, indicating a lack of integration between the two markets. Proposing a statistical measure of market integration, we...

This paper examines the forward premium puzzle based on 1-week forward rates across weekdays. The paper finds that Thursday consistently appears to be a special day on which the puzzle disappears, while it is present on other weekdays. In addition to Thursday, Monday is also found to be a...

The credit default swap (CDS) market has blossomed to become a major asset class in the capital markets. Once largely confined to banks, the market participants have expanded to include insurance companies, hedge funds, mutual funds, pension funds, and other investors looking for yield...

This article examines how differently the same dealer quotes in the inter-dealer and customer foreign exchange markets that have different market structures. The model first predicts that customer spreads are generally wider than inter-dealer ones due to less transparency in the customer market....

The current economic climate makes understanding credit risk correlation particularly important. After allowing for a comprehensive set of observable firm-specific, industry, market, and macroeconomic factors, there is an economically significant co-movement in credit default swap spreads that...

This article empirically examines the relationship between order sizes and spreads in the foreign exchange (FX) market based on a FX dealer's quotes. It is found that spreads are independent of order sizes in the inter-dealer market, but they are negatively correlated in the customer market....