Narrow search
Showing 1 - 10 of 27,660
Cover Image
Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review
Hiremath, Gourishankar S - Volkswirtschaftliche Fakultät, … - 2009
The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the literature shows that there is no consensus among...
Persistent link: https://www.econbiz.de/10011258169
Cover Image
The 2007-2008 global financial crisis, and cross-border mergers and acquisitions: A 26-nation exploratory study
Reddy, Kotapati Srinivasa; Nangia, Vinay Kumar; … - Volkswirtschaftliche Fakultät, … - 2014
Many interdisciplinary studies of the 2007–2008 global financial crisis examine the causes of crisis, corporate governance and firm value, stock market efficiency, new firm registration, macroeconomic performance, and compare this crisis to previous crises. However, we do not find conceptual...
Persistent link: https://www.econbiz.de/10011111203
Cover Image
Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia
Murinde V.; Poshakwala S. - In: European Research Studies Journal IV (2001) 3-4, pp. 73-102
This paper investigates the main features of stock market volatility in the emerging markets of European transition … daily return volatility. The main findings are fourfold. First, in all the six markets, volatility exhibits significant … conditional heteroskedasticity and non–linearity. Second, volatility seems to be of a persistent nature; however, no asymmetric …
Persistent link: https://www.econbiz.de/10008478760
Cover Image
Index Futures Activity and Stock Market Volatility: An Empirical Analysis of the Italian Stock Exchange
Bologna, Pierluigi - In: Giornale degli Economisti 59 (2000) 1, pp. 51-88
This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results … suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of … the volatility itself has not changed between the pre-futures and post-futures periods although a lower volatility is …
Persistent link: https://www.econbiz.de/10005612304
Cover Image
Noise Traders
Dow, James; Gorton, Gary - National Bureau of Economic Research (NBER) - 2006
Noise traders are agents whose theoretical existence has been hypothesized as a way of solving certain fundamental problems in Financial Economics. We briefly review the literature on noise traders. The is an entry for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan:...
Persistent link: https://www.econbiz.de/10005830053
Cover Image
Slow Moving Capital
Pedersen, Lasse Heje; Mitchell, Mark; Pulvino, Todd - National Bureau of Economic Research (NBER) - 2007
We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While...
Persistent link: https://www.econbiz.de/10005830572
Cover Image
Why is Price Discovery in Credit Default Swap Markets News-Specific?
Marsh, Ian W.; Wagner, Wolf - Tinbergen Instituut - 2012
We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to <I>common</I> (and not firm-specific) news and arises predominantly in response to <I>positive</I> (instead of...</i></i>
Persistent link: https://www.econbiz.de/10011255704
Cover Image
Splitting Orders in Fragmented Markets
Menkveld, Bert - Tinbergen Instituut - 2001
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...
Persistent link: https://www.econbiz.de/10011256874
Cover Image
Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011
leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …
Persistent link: https://www.econbiz.de/10008855592
Cover Image
Does Risk Explain Anomalies? Evidence from Expected Return Estimates
Zhang, Lu; Wu, Jin Ginger - National Bureau of Economic Research (NBER) - 2010
We construct accounting-based costs of equity for dollar neutral long-short trading strategies formed on a comprehensive list of anomaly variables. These variables include book-to-market, size, composite issuance, net stock issues, abnormal investment, asset growth, investment-to-assets,...
Persistent link: https://www.econbiz.de/10008628460