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The microstructure of the euro money market
Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - European Central Bank - 2001
and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …
Persistent link: https://www.econbiz.de/10005530814
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Drivers of technical trend-following rules' profitability in world stock markets
Ülkü, Numan; Prodan, Eugeniu - In: International Review of Financial Analysis 30 (2013) C, pp. 214-229
to market development. Return volatility adds to technical rule profitability. A new result is that the presence of an …
Persistent link: https://www.econbiz.de/10011056751
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Transaction costs, trading volume, and the liquidity premium
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; … - In: Finance and Stochastics 18 (2014) 1, pp. 1-37
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity...
Persistent link: https://www.econbiz.de/10010728116
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Transaction Costs, Trading Volume and Momentum Strategies
Li, Xiafei; Brooks, Chris; Miffre, Joelle - Henley Business School, University of Reading - 2009
This study considers the relationship between trading volumes, transactions costs, and the profitability of momentum strategies using data from the UK. We demonstrate that round-trip transactions costs for selling loser firms are around double those of buying winners, and in particular, the...
Persistent link: https://www.econbiz.de/10008542376
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The Microstructure of the Euro Money Market
Hartmann, Philipp; Manna, Michele; Manzanares, Andres - C.E.P.R. Discussion Papers - 2001
and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …
Persistent link: https://www.econbiz.de/10005123983
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Asset Prices and Trading Volume Under Fixed Transactions Costs
Lo, Andrew; Mamaysky, Harry; Wang, Jiang - School of Management, Yale University - 2001
We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents fixed transactions costs. We show that even small fixed costs can give rise to large "no-trade" regions for each agent's optimal trading policy and a significant illiquidity discount in asset...
Persistent link: https://www.econbiz.de/10005587051
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Tobin tax and trading volume tightening: a reassessment
Damette, Olivier; Goutte, Stéphane - HAL - 2014
different (low and high volatility) regimes. Our empirical investigation looks at the EUR/USD currency market. Our results show … impact on trading activity across market conditions. However, the change in elasticity between low and high volatility … penalize chartists more than fundamentalists, it could reduce exchange rate volatility. …
Persistent link: https://www.econbiz.de/10010821381
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Are exchange-traded funds effective instruments to invest in Islamic markets? Early evidence from Dow Jones DJIM Turkey ETF
Gozbasi, Onur; Erdem, Ekrem - In: American Journal of Finance and Accounting 2 (2010) 2, pp. 119-142
transient premiums' size are identified as transaction cost, trading volume, intraday volatility and institutional ownership …
Persistent link: https://www.econbiz.de/10008755391
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On Linearity Of Transaction Costs In Order Driven Market
Andreev, Nikolay A. - National Research University Higher School of Economics - 2014
We research the properties of implicit transaction costs function for general-shaped limit order book. Equivalent conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form of implicit costs for order-driven market on the...
Persistent link: https://www.econbiz.de/10011098911
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Initial public offerings and investor heterogeneity: evidence from Malaysia
Low, Soo-Wah; Yong, Othman - In: American Journal of Finance and Accounting 3 (2013) 1, pp. 41-56
We examine IPO underpricing, offer size, over-subscription ratio, and listing board, in relation to investors' heterogeneous beliefs. Since investors' beliefs are not directly observable, our proxies for investor heterogeneity are specifically tied to variables that reflect investors' behaviour...
Persistent link: https://www.econbiz.de/10010700694