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The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008
sharpens the picture of intra-day volatility accentuations: they are concentrated within the first two minutes after the open … Nasdaq's calls have reduced this volatility, reorganized order flow, and lowered volatility persistence. Opening and closing …
Persistent link: https://www.econbiz.de/10010303693
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Nonlinear ACD model and informed trading: Evidence from Shanghai Stock Exchange
Wong, Woon K.; Tan, Dijun; Tian, Yixiang - 2008
Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a...
Persistent link: https://www.econbiz.de/10010288824
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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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The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa
Jumah, Adusei; Kunst, Robert M. - 1999
the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …
Persistent link: https://www.econbiz.de/10010291928
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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …
Persistent link: https://www.econbiz.de/10010302536
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The Markov switching ACD model
Hujer, Reinhard; Vuletic, Sandra; Kokot, Stefan - 2002
Persistent link: https://www.econbiz.de/10010316297
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Who leads financial markets?
Weber, Enzo - 2007
, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are …
Persistent link: https://www.econbiz.de/10010263681
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Informed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE
Yadav, Pradeep K.; Bardong, Florian; Bartram, Söhnke M. - 2009
We investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of informed trading on firm characteristics that is largely...
Persistent link: https://www.econbiz.de/10010302554
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The impact of the euro on financial markets
Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006
We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
Persistent link: https://www.econbiz.de/10011604644
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Forecasting volatility in European stock markets with non-linear GARCH models
Forte, Gianfranco; Manera, Matteo - 2002
This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...
Persistent link: https://www.econbiz.de/10011335762