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Asymmetry in volatility: A comparison of developed and transition stock markets
Wdowiński, Piotr; Malecka, Marta - 2010
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10010270556
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How does liquidity react to stress periods in a limit order market?
Beltran, Helena; Durré, Alain; Giot, Pierre - 2004
This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …
Persistent link: https://www.econbiz.de/10011506571
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Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
van der Wel, Michel; Menkveld, Albert; Sarkar, Asani - 2009
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...
Persistent link: https://www.econbiz.de/10010326072
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Price and trading response to public information
Grothe, Magdalena - 2010
In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade on it. In contrast, several models assuming heterogeneous investors show that public news releases are directly followed by high trading volume. Empirical evidence on this...
Persistent link: https://www.econbiz.de/10011605223
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Which information should entrepreneurs on German crowdinvesting-platforms disclose?
Mäschle, Oliver - 2012
The disclosure requirements for firms issuing equity on German crowdinvestingplatforms are quite lax at the moment. This paper states that this loose requirement policy is not optimal in the presence of competition among platforms. First, a simple three-staged theoretical model is derived to...
Persistent link: https://www.econbiz.de/10010319286
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Rationing of excessive demand on crowdinvesting-platforms
Mäschle, Oliver - 2012
On crowdinvesting-platforms, non-publicly traded companies can offer equity to private investors. Currently, platforms like Crowdcube.com in Great Britain or Seedmatch.de in Germany are using a mechanism for the allocation of available shares best described by the phrase first come, first...
Persistent link: https://www.econbiz.de/10010319292
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Commonalities in the order book
Beltran-Lopez, Héléna; Giot, Pierre; Grammig, Joachim G. - 2009
This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show that these order book commonalities...
Persistent link: https://www.econbiz.de/10010302530
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The Warsaw Stock Exchange index WIG : modelling and forecasting
Wdowiński, Piotr; Zglinska-Pietrzak, Aneta - 2005
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10010277059
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Is exchange rate - customer order flow relationship linear? Evidence from the Hungarian FX market
Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010
evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …
Persistent link: https://www.econbiz.de/10010322440
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Market Transparency and Call Markets
Oehler, Andreas; Unser, Matthias - 1998
intensity leads to both higher trading volume and higher volatility in both orderbook treatments. The comparison shows that they … only differ in price volatility which is higher with an open orderbook. The market results mentioned above are confirmed by …
Persistent link: https://www.econbiz.de/10010296583