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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …
Persistent link: https://www.econbiz.de/10008742946
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Quoted spreads and trade imbalance dynamics in the European Treasury bond market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - In: The Quarterly Review of Economics and Finance 52 (2012) 2, pp. 173-182
characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …
Persistent link: https://www.econbiz.de/10010571836
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Quoted spreads and trade imbalance dynamics in the European treasury bond market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010
characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …
Persistent link: https://www.econbiz.de/10010285725
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Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange
Caporale, Guglielmo Maria; Philippas, Nikolaos; … - In: Economics Bulletin 7 (2008) 17, pp. 1-13
This paper examines herd behaviour in extreme market conditions using data from the Athens Stock Exchange. We test for the presence of herding as suggested by Christie and Huang (1995) and Chang, Cheng, and Khorana (2000). Results based on daily, weekly and monthly data indicate the existence of...
Persistent link: https://www.econbiz.de/10010630026
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Bank Lending Procyclicality and Credit Quality during Financial Crises
Caporale, Guglielmo Maria; Colli, Stefano Di; Lopez, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate...
Persistent link: https://www.econbiz.de/10010783998
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Modelling long-run trends and cycles in financial time series data
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2008
This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...
Persistent link: https://www.econbiz.de/10010264382
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Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange
Caporale, Guglielmo Maria; Philippas, Nikolaos; … - In: Economics Bulletin 7 (2008) 17, pp. 1-13
This paper examines herd behaviour in extreme market conditions using data from the Athens Stock Exchange. We test for the presence of herding as suggested by Christie and Huang (1995) and Chang, Cheng, and Khorana (2000). Results based on daily, weekly and monthly data indicate the existence of...
Persistent link: https://www.econbiz.de/10005181850
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Quoted spreads and trade imbalance dynamics in the European treasury bond market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010
characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …
Persistent link: https://www.econbiz.de/10009272604
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria - 2011
characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …
Persistent link: https://www.econbiz.de/10013131806
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Modelling Long-Run Trends and Cycles in Financial Time Series Data
Caporale, Guglielmo Maria - 2013
This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...
Persistent link: https://www.econbiz.de/10012753579