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Euro area sovereign yield dynamics: the role of order imbalance

Menkveld, Albert J.; Cheung, Yiu Chung; de Jong, Frank - 2004

We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...

Persistent link: https://www.econbiz.de/10011604431

Order flow imbalance effects on the German stock market

Hanke, Michael; Weigerding, Michael - In: Business Research 8 (2015) 2, pp. 213-238

Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on...

Persistent link: https://www.econbiz.de/10011624504

Drivers of seasonal return patterns in German stocks

Weigerding, Michael; Hanke, Michael Hanke; Schwetzler, … - In: Business Research 11 (2018) 1, pp. 173-196

Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved...

Persistent link: https://www.econbiz.de/10011817094

Mapping finance sources for nature-based solutions in Africa

Pettinotti, Laetitia; Quevedo, Adriana - 2023

, countries seeking to identify finance for nature-based solutions must navigate complex fragmented terms and language, as well as … a wide array of public and private finance actors. Such fragmentation has practical implications. African countries face …. Adding to the complexity, finance for nature-based solutions often combines public and private financing. So far, blended …

Persistent link: https://www.econbiz.de/10014435485

How do insiders trade?

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2016

We characterize how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical framework generates a rich set of predictions about the...

Persistent link: https://www.econbiz.de/10011541795

Pre-open call auction and price discovery: Evidence from India

Rajesh, Acharya H.; Gaikwad, Vishal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-11

Premier stock exchanges in India, viz. National Stock Exchange of India and Bombay Stock Exchange, introduced call auction in the pre-open session from 18 October 2010. This paper analyzes the impact of introduction of pre-open call auction on price discovery at the open. Empirical analysis is...

Persistent link: https://www.econbiz.de/10011559132

Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?

Castrén, Olli - 2004

This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options...

Persistent link: https://www.econbiz.de/10011604425

The interday and intraday patterns of the overnight market: evidence from an electronic platform

Beaupain, Renaud; Durré, Alain - 2008

This paper examines the interday and intraday dynamics of the euro area overnight money market on the basis of an original set of market activity and liquidity proxies constructed from both pre- and post-trade data. The empirical literature provides extensive evidence supporting the rejection of...

Persistent link: https://www.econbiz.de/10011605034

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

Nonlinear liquidity adjustments in the euro area overnight money market

Beaupain, Renaud; Durré, Alain - 2012

The market-oriented approach promoted by the European Central Bank in the design of its refinancing operations creates incentives to credit insitutions to use actively the interbank market to manage their liquidity needs. In this context, we examine the ability of the overnight segment to...

Persistent link: https://www.econbiz.de/10011605545

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