We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks … and an equiweighted index from these same stocks. Jumps are naturally classified into two types: common and idiosyncratic …. Common jumps affect all stocks, albeit to varying degrees, while idiosyncratic jumps are stock-specific. Despite the fact …

returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …

. Abstract:How to measure the liquidity of Colombian stocks and its recent evolution. In the context of market microstructure … literature, we define and estimate a measure of liquidity for Colombian stocks and provide evidence of the large improvement of … econometric model, to a significant improvement in liquidity for most of the individual stocks.We also explore the determinants …

We investigate the oil price risk exposure of the U.S. Travel and Leisure industry. In this paper, we utilize the Fama …–French–Carhart's (1997) four-factor asset pricing model augmented with oil price risk factor. The results of our study suggest that oil price … subsectors including airlines, recreational services and restaurants and bars. We also document that oil price risk exposures …

China. This has important implications for domestic cross-market portfolio allocation and risk management in both developed …

hypothesis that as investors become overconfident, they underestimate risk and thereby trade in riskier stocks. … traders tend to title their investment toward smaller-cap and growth stocks, consistent with the prediction of overconfident …

added. The model is empirically used to study duration dependence in four traded stocks, Nordea, Föreningssparbanken …, Handelsbanken and SEB A on the Stockholm Stock Exchange. The stocks are all active in the banking sector. It is found that including … announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact …