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Hendershott, Terrence; Menkveld, Albert J. - 2010

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

Persistent link: https://www.econbiz.de/10010303739

Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence

Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard variance ratio'' approach,...

Persistent link: https://www.econbiz.de/10010324874

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - 2013

both current and past market returns. Using various time-varying volatility models to accommodate conditional … causality-in-variance is used to analyse if volatility among small traders spills over into spot markets, it is found that …

Persistent link: https://www.econbiz.de/10010326188

Does volatility matter? Expectations of price return and variability in an asset pricing experiment

Bottazzi, Giulio; Devetag, Giovanna; Pancotto, Francesca - 2009

period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …

Persistent link: https://www.econbiz.de/10010328471

Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012

price volatility in agricultural markets to rise. Rather, fundamental factors are made responsible for this. Therefore, most …

Persistent link: https://www.econbiz.de/10011733840

Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012

volatility in agricultural markets to rise. Rather, fundamental factors are responsible for this. Therefore, most papers are not …

Persistent link: https://www.econbiz.de/10011733841

Does financial speculation with agricultural commodities cause hunger? A reply to our critics

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2013

As a reply to our critics, we show that Bozorgmehr et al. (2013) have (a) misunderstood, (b) misread, and (c) misinterpreted the literature review by Will et al. (2012).

Persistent link: https://www.econbiz.de/10011733867

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10010295747

Splitting Orders in Fragmented Markets

Menkveld, Bert - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

Persistent link: https://www.econbiz.de/10010324853

Why is Price Discovery in Credit Default Swap Markets News-Specific?

Marsh, Ian W.; Wagner, Wolf - 2012

We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of...

Persistent link: https://www.econbiz.de/10010326281

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