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Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange
Henke, Harald - 2004
into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
Persistent link: https://www.econbiz.de/10009460735
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The Regulation of Stock Trading and its Enforcement in China
Shen, Tingting - 2004
The first public share issue in the PRC took place in 1994. By the early 21st century, in the space of less than two decades, the Chinese stock market has become the largest one in Asia, with the exception of Japan. Along with this rapid enlargement of the market, the Chinese stock trading...
Persistent link: https://www.econbiz.de/10009471788
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News Aware Volatility Forecasting: Is the Content of News Important?
Robertson, Calum S.; Geva, Shlomo; Wolff, Rodney C. - 2007
valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …
Persistent link: https://www.econbiz.de/10009437639
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What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?
Robertson, Calum S.; Geva, Shlomo; Wolff, Rodney C. - 2006
The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and...
Persistent link: https://www.econbiz.de/10009437733
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The Impact of Stock Market Liberalization on Emerging Equity Market Volatility
Dhir, Pawan - 2007
This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …
Persistent link: https://www.econbiz.de/10009429052
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The short- and long-run employment impact of COVID-19 through the effects of real and financial shocks on new firms.
Albert, Christoph; Caggese, Andrea; González, Beatriz - 2020
En este artículo usamos la evidencia empírica más reciente disponible para predecir el impacto del shock del Covid-19 en la tasa de entrada de empresas, en especial en la entrada de empresas de alto crecimiento, y en sus implicaciones en la creación de empleo a corto y a largo plazo. El...
Persistent link: https://www.econbiz.de/10012525351
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Weather, mobility and the evolution of the Covid-19 pandemic
Ghirelli, Corinna; González Piñero, Andrea; Herrera …
Estimamos el coeficiente de reproducción efectivo (Rt) de la pandemia de Covid-19, con datos de casos detectados en Estados Unidos, a nivel de condado, entre febrero y septiembre de 2020. Con esta información estimamos el efecto de la climatología y de la movilidad sobre el ritmo de...
Persistent link: https://www.econbiz.de/10012525902
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Relación entre las medidas de contención de la pandemia, la movilidad y la actividad económica
Ghirelli, Corinna; Gil Martín, María; Hurtado López, … - 2021
En este trabajo se construye, en primer lugar, un indicador a escala autonómica que trata de medir el volumen de medidas desplegadas en cada momento del tiempo para contener la pandemia. Para ello se analiza, mediante técnicas de análisis textual, la información contenida en las noticias de...
Persistent link: https://www.econbiz.de/10012525918
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The relationship between pandemic containment measures, mobility and economic activity
Ghirelli, Corinna; Gil Martín, María; Hurtado López, … - 2021
En este trabajo se construye, en primer lugar, un indicador a escala autonómica que trata de medir el volumen de medidas desplegadas en cada momento del tiempo para contener la pandemia. Para ello se analiza, mediante técnicas de análisis textual, la información contenida en las noticias de...
Persistent link: https://www.econbiz.de/10012525953
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Market microstructure factors in the determination of oil prices
González Pedraz, Carlos; González Pérez, María Teresa
negative for the first time in history. Other crude prices also posted very low values and their volatility soared, far more …
Persistent link: https://www.econbiz.de/10012524978