Purpose - This study examines the inter-linkages between Bitcoin prices and CEE stock markets (Hungary, the Czech Republic, Poland, Romania and Croatia). Design/methodology/approach - The dynamic contemporaneous nexus has been analyzed using both the multivariate DECO-GARCH model proposed by...

This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period.Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches, including...

Although the relevance of property rights and transaction costs for trade and innovation are well-known, we still lack a formal framework to think about their origins and interplay. Within trade interactions, fully protecting the original owners' property implies that some high-valuation...

While there is consensus on the need to raise the time spent in the market by European women, it is not clear how these goals should be achieved. Tax wedges, assistance in the job search process, and part-time jobs are policy instruments that are widely debated in policy circles. The paper...

Market frictions, such as imperfect information or hassle costs, may reduce benefits from market incentives in healthcare settings. We use data from two randomised policy interventions in a Swedish region, which improved the access to provider information and reduced the switching costs of one...

Using techniques from deep learning, we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this approach better accommodate the realistic setting of...

What are the economic mechanisms that account for sudden growth spurts? Are these mechanisms similar across episodes? Focusing on the economic resurgence of the BRICs over the last decade, we employ the Business Cycle Accounting methodology developed by Chari, Kehoe and McGrattan (2007) to...

Based on a relationship between price difference and demand difference among locations, the role of various market frictions in causing segmentation of the Russian goods market is analyzed. The spatial sample covers most of Russian regions (70 of all the 89); the data are yearly, spanning 1992...

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

The effects of a Tobin tax on foreign exchange markets have long been disputed. We present an experiment with currency trading on two markets, where either none, one, or both markets are taxed. Our results confirm the hitherto undisputed issues: a tax reduces trading volume, shifts market share...