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We examine market volatility across an automated periodic auction mechanism and a continuous automated auction, using data on five futures contracts traded on the GLOBEX trading system. The analysis is supplemented by a comparison of the periodic market with floor trading. Our data permit...
Persistent link: https://www.econbiz.de/10005439821
We ask whether foreign equity ownership affects the stability of information signals that are absorbed into prices in an emerging economy. We address both the effect of ownership restrictions exogenously imposed on stock ownership and the impact of introducing or widening foreign ownership...
Persistent link: https://www.econbiz.de/10005114029
Persistent link: https://www.econbiz.de/10005198992
We ask whether foreign equity ownership affects the stability of share prices in an emerging economy. We address the effect of ownership restrictions exogenously imposed on stock ownership and the impact of introducing or widening foreign ownership through cross-listing. A methodology for...
Persistent link: https://www.econbiz.de/10005164779
Consumption of addictive goods is subject to habit formation. Forward-looking individuals must, therefore, be concerned about future prices when making current consumption decisions. We study prices for tobacco products based on a unique data set provided by the Bureau of Labor Statistics. Our...
Persistent link: https://www.econbiz.de/10005710426
Persistent link: https://www.econbiz.de/10005429973
This paper proposes a new nonparametric estimator for general regression functions with multiple regressors. The method used here is motivated by a remarkable result derived by Kolmogorov (1957) and later tightened by Lorentz (1966). In short, they show that any continuous function of multiple...
Persistent link: https://www.econbiz.de/10005439788
In this paper, we consider expectations of the form E[log(y)|x] = a'log(x) as a good starting point for a more general analysis. We show why this naturally leads to the following flexible functional form E[y|x] = f(h(x)), where all functions are estimated by cubic splines. One of the main goals...
Persistent link: https://www.econbiz.de/10005439823
The purpose of this paper is to explore and evaluate smooth approximation methods for value functions. These approximation methods are increasingly important in numerical dynamic programming since they allow researchers to solve models with a multitude of continuous state variables. In this...
Persistent link: https://www.econbiz.de/10005537556
This paper proposes a new nonparametric estimator for general regression functions with multiple regressors. The method used here is motivated by a remarkable result derived by Kolmogorov (1957) and later tightened by Lorentz (1966). In short, any continuous function f(x_1,...,x_d) has the...
Persistent link: https://www.econbiz.de/10005231124