A 20. század végi elméleti közgazdaságtan egyik kiemelkedő kutatási területe a hatékony piacok elmélete, amely a hetvenes évektől kezdve vált a pénzügyi közgazdaságtan megkerülhetetlen részévé. Már a nyolcvanas évek közepétől azonban támadások, empirikus cáfolatok...

The new regulatory environment triggered by MiFID has resulted in a transformed competitive landscape and increased fragmentation among execution venues in Europe. One key component of MiFID is best execution, i.e. investment firms are obliged to achieve the best result for customer orders on a...

Our study examines the existence and the nature of private benefits of control in Germany. We do this by analyzing initial public offerings of founding-family owned firms and tracking their fate up to ten years following the IPO. Our sample includes a uniquely rich data set of 105 IPOs of...

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...

This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997...

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...

Financial constraints affect firms’ financial and productive decisions generating substantial macroeconomic implications in terms of investment, economic growth, inflation and income distribution. Despite its relevance, financial constraints are not directly observable. However, empirically...

How do stock markets respond to extreme events? This paper analyzes the reaction ofstock markets in four industrialized economies (Italy, the Netherlands, Sweden, the US) to ten major international crises. We employ an event study to investigate whether the stock exchanges react differently with...

O objetivo desse artigo é estimar os movimentos abruptos, denominados de saltos (jumps) das séries de retorno diário do IBOVESPA, Dow Jones, taxa de juros brasileira, taxa de câmbio e no spread do C-Bond e verificar se há co-movimentos abruptos, ou co-saltos (co-jumps) entre as mesmas. Para...

This study investigates the presence of month-of-the-year effect on Bucharest Stock Exchange using a both a linear regression and a GARCH-M model with dummy variables for both the mean and the variance equation. We have collected monthly returns for five Romanian official exchange indices and...