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Aggregate insider trading and stock market volatility in the UK
Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - In: Journal of international financial markets, … 89 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014490042
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Persistence in high frequency financial data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10013419363
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Aggregate Insider Trading and Stock Market Volatility in the UK
Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023
-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …
Persistent link: https://www.econbiz.de/10014347820
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Aggregate insider trading and stock market volatility in the UK
Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023
-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …
Persistent link: https://www.econbiz.de/10014304456
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
Persistent link: https://www.econbiz.de/10011995622
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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012158736
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …
Persistent link: https://www.econbiz.de/10011793915
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-9
any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility …
Persistent link: https://www.econbiz.de/10011857194
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …
Persistent link: https://www.econbiz.de/10011789327
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Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794