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Determinants of the relative price impact of unanticipated information in US macroeconomic releases

Hess, Dieter E. - 2003

This paper investigates the intraday response of T-bond futures prices to surprises in headline figures of U.S. macroeconomic reports. Analyzing the time series properties and the information content of the macroeconomic news flow, the paper seeks an answer to the question, what determines the...

Persistent link: https://www.econbiz.de/10010298885

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-17

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs' trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world's largest platinum futures markets on exchanges in New York and Tokyo …

Persistent link: https://www.econbiz.de/10014332749

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio - 2007

This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations … parity (CIP) condition ('round-trip arbitrage') and inter-market price differentials ('one-way arbitrage') using a unique …

Persistent link: https://www.econbiz.de/10012143648

A tale of two cities: Inter-market latency and fast-trader competition

Sagade, Satchit; Scharnowski, Stefan; Theissen, Erik; … - 2024

We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave network connecting exchanges trading the same stocks. Using a difference-in-differences approach comparing German stocks with similar French stocks, we find improved market...

Persistent link: https://www.econbiz.de/10015066223

Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries

Wölfle, Marco - 2007

This study provides empirical evidence verifying the theory of price discovery for Eastern European enterprises based on their cross-listing on Western European exchanges. Despite the fact that the crosslisting behavior of companies has been analyzed very actively since the mid-70s, many...

Persistent link: https://www.econbiz.de/10010297968

Multi-level analysis of dynamic portfolio formations: Central European countries

Princ, Michael - 2013

The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain...

Persistent link: https://www.econbiz.de/10010322273

Relationship between Czech and European developed stock markets: DCC MV GARCH analysis

Princ, Michael - 2010

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

Persistent link: https://www.econbiz.de/10010322302

Market efficiency and international linkage of stock prices: An analysis with high-frequency data

Tsutsui, Yoshiro; Hirayama, Kenjiro - 2004

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...

Persistent link: https://www.econbiz.de/10010332406

Influence of the economic and financial condition of strategic shareholders upon the market value of commercial banks in the Polish banking sector

Korzeb, Zbigniew - In: e-Finanse: Financial Internet Quarterly 10 (2014) 2, pp. 38-43

The objective of the paper is to analyse the influence of information about economic and financial problems of strategic shareholders upon the market value of commercial banks operating in the Polish banking sector. The analysis included fourteen such cases from the years 2007 - 2014. The...

Persistent link: https://www.econbiz.de/10011551429

Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity

Habib, Maurizio Michael; Joy, Mark - 2008

Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...

Persistent link: https://www.econbiz.de/10011604993

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