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Classical and modified rescaled range analysis: Sampling properties under heavy tails
Krištoufek, Ladislav - 2009
Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values...
Persistent link: https://www.econbiz.de/10010322233
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Tell-tale tails: A data driven approach to estimate unique market information shares
Grammig, Joachim G.; Peter, Franziska J. - 2010
differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …
Persistent link: https://www.econbiz.de/10010302551
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Implications for liquidity from innovation and transparency in the European corporate bond market
Laganá, Marco; Perina, Martin; von Köppen-Mertes, Isabel - 2006
This paper offers a new framework for the assessment of financial market liquidity and identifies two types: search … liquidity and systemic liquidity. Search liquidity, i.e. liquidity in “normal” times, is driven by search costs required for a … trader to find a willing buyer for an asset he/she is trying to sell or vice versa. Search liquidity is asset specific …
Persistent link: https://www.econbiz.de/10011606202
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Bank of Canada communication, media coverage, and financial market reactions
Hayo, Bernd; Neuenkirch, Matthias - 2010
We examine the impact of Bank of Canada communications and media reporting on them on Canadian (short- and medium-term) bond and stock market returns using a GARCH model. Communications are rather uniformly distributed over the sample period (1998-2006); however, media coverage is particularly...
Persistent link: https://www.econbiz.de/10010286348
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How national and international financial development affect industrial R&D
Maskus, Keith E.; Neumann, Rebecca; Seidel, Tobias - 2011
We examine the impacts of both domestic and international financial market development on R&D intensities in 22 manufacturing industries in 18 OECD countries for the period 1990- 2003. We take account of such industry characteristics as the need for external financing and the amount of tangible...
Persistent link: https://www.econbiz.de/10010274899
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Impact of electronic trading platforms on the brokered interdealer market for Government of Canada benchmark bonds
Khan, Natasha - 2007
statistically different for any of the other benchmarks. Overall, there is little evidence that liquidity improved or was lowered by …
Persistent link: https://www.econbiz.de/10010279901
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Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity
Csávás, Csaba; Erhart, Szilárd - 2005
The subject of our study is market liquidity, which is an important element of the functioning of financial markets …. Adequate liquidity of markets is of great significance from the point of view of both market participants and the central bank …
Persistent link: https://www.econbiz.de/10010322402
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Measuring financial integration in the euro area
Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - 2004
In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...
Persistent link: https://www.econbiz.de/10011606166
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Efficiency of South Asian capital markets: An empirical analysis
Mishra, P. K. - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 27-34
In recent years, especially in the aftermath of the global financial meltdown, the performance of South Asia capital markets has attracted the attention of the researchers and investors across the globe. The resilient shown provides the impetus to examine the efficient market hypothesis in these...
Persistent link: https://www.econbiz.de/10011938297
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On emerging economy sovereign spreads and ratings
Powell, Andrew; Martínez, Juan Francisco - 2008
This paper analyzes alternative models for emerging sovereign ratings. Although a small number of economic fundamentals explain ratings reasonably well, variations in those economic fundamentals are themselves explained by a small number of world factors. On the other hand, global financial...
Persistent link: https://www.econbiz.de/10010278198