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On the Dynamic Interdependence of International Stock Markets: a Swiss Perspective.
Isakov, D.; Perignon, C. - Geneva School of Economics and Management, Université … - 1999
(USA, Japan, United Kingdom, Germany and France) in terms of return and volatility. We find that conditional … heteroskedasticity is present in every market and also that conditional volatility responds asymmetrically to past shocks. In order to … the strongest influence on the Swiss market in terms of returns and volatility. Links with other markets in terms of …
Persistent link: https://www.econbiz.de/10005669374
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A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 354-364
This paper empirically examines the relationship between trading volume and conditional volatility of returns in the … arrival hypothesis (SIAH). Through this study, we especially aim to test the volatility persistence degree without volume …. Firstly, we confirm the strong positive relationship between trading volume and returns conditional volatility issued from …
Persistent link: https://www.econbiz.de/10011268784
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America and the Swiss Stock Exchange: An Intraday Analysis
Loderer, Claudio; Mittermayer, Marc-André - In: Swiss Journal of Economics and Statistics (SJES) 142 (2006) I, pp. 79-114
The paper examines whether and in what sense traders on the Swiss Stock Exchange (SWX) are influenced by what happens on Wall Street. According to the results, the SWX reacts strongly when U.S. macroeconomic news relevant to Wall Street is disclosed. Moreover, SWX traders seem to wait with...
Persistent link: https://www.econbiz.de/10005077439
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Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas; Marsh, Terry A. - Fakultät für Wirtschaftswissenschaften, Technische … - 2004
surprise volume superior model fit and helps to explain volatility persistence as well as excess kurtosis. Surprise volume …
Persistent link: https://www.econbiz.de/10009219892
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Return-Volume Dependence and Extremes in International Equity Markets
Marsh, Terry A.; Wagner, Niklas - EconWPA - 2004
This paper reconsiders return-volume dependence for the U.S. and six international equity markets. We contribute to previous work by proposing surprise volume as a new proxy for private information flow and apply extreme value theory in studying dependence for large volume and return, i.e. under...
Persistent link: https://www.econbiz.de/10005134862
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Surprise Volume and Heteroskedasticity in Equity Market Returns
Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004
volume provides superior model fit and helps to explain volatility persistence as well as excess kurtosis. Surprise volume …
Persistent link: https://www.econbiz.de/10005556382
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Quotes, Order Flow, and Price Discovery.
Blume, M.E.; Goldstein, M.A. - Rodney L. White Center for Financial Research, Wharton … - 1996
The goal of this paper is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE-listed stocks.
Persistent link: https://www.econbiz.de/10005245239
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Law and Finance.
LaPorta, R.; Lopez-de-Silanes, F.; Shleifer, A.; … - Harvard Institute of Economic Research (HIER), … - 1996
This paper examines legal rules covering protection of corporate shareholders and creditors, the origin of these rules, and the quality of their enforcement in 49 countries. The results show that common law countries generally have the best, and French civil law countries the worst, legal...
Persistent link: https://www.econbiz.de/10005245679
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An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange
Niemeyer, Jonas; Sandås, Patrik - Economics Institute for Research (SIR), … - 1995
intraday U-shape, c) there is no distinct intraday pattern in returns, d) the volatility and bid/ask spread seems to be higher …
Persistent link: https://www.econbiz.de/10005207181
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Separation and Hedging Results with State-Contingent Production.
Chambers, R.G.; Quiggin, J. - Research School of Pacific and Asian Studies, College … - 1995
Persistent link: https://www.econbiz.de/10005663669