I extend Yan and Zivot (2007)'s dynamic measure of price discovery based on impulse response functions of structural shocks to a trivariate model with two common trends. To investigate price discovery for 7 Canadian firms cross-border listed in the Toronto Stock Exchange Market (TSX) and the New...

We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-S&P500 index futures. We find that these institutional positions reflect fundamental...

The paper argues that bond investors (and, implicitly large creditors in general), may not necessarily demonstrate the “Investors' Smartness” that some previous studies attributed to large institutional holders, when it comes to pricing-in for economic shocks likely to occur in future. This...

This paper defines and interprets the changes in the stock market space. There are analyzed 63 companies listed on the Warsaw Stock Exchange in the period from beginning 2006 to the end of September 2012. This is a period, covering entirely the last two financial crises from their first symptoms...

This paper proposes a new information share for price discovery based on Russell's (1999) autoregressive conditional intensity model. While previous studies rely on equally spaced high frequency data, we use the information conveyed by trade intensities to determine a market's contribution to...

The volatility premium is a well-documented phenomenon, which can be approximated by the difference between the previous month level of the VIX Index and the rolling 30-day close-to-close volatility. In concordance with existing literature, we show evidence that VIX is generally above the 30-day...

The return dynamics of Argentina's main stock index, the SP Mer.Val., show a high level of volatility, signaling a higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the Argentinean capital market slacks variety of hedging contracts....

This paper provides an empirical analysis of FTSE100 stock returns during the period of 2009 to 2013 with an aim to assess the relevancy of Fama-French three factor model post financial crisis of 2008. FTSE100 index was chosen in particular as it is benchmark of the prosperity among UK stocks....

We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in the US sectoral connectedness and stylized facts regarding...