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The Impact of New Execution Venues on European Equity Markets’ Liquidity - The Case of Chi-X
Chlistalla, Michael - 2009
well as on consolidated liquidity of French blue chip equities, newly tradable on Chi-X. Our findings suggest that owing to … this new competition the home market's liquidity has enhanced. This is apparently due to the battle for order flow which … results in narrower spreads and increased market depth. These results imply that overall liquidity in a virtually consolidated …
Persistent link: https://www.econbiz.de/10013156365
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Price Jumps on European Stock Markets
Hanousek, Jan - 2013
We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...
Persistent link: https://www.econbiz.de/10013071459
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Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets
Rühl, Tobias R. - 2014
In this study, we analyze the effect of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We find that certain announcements are generally more important to the European stock market than others, and that the direction of news is...
Persistent link: https://www.econbiz.de/10013051476
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Discovering and disentangling effects of US macro-announcements in European stock markets
Rühl, Tobias R.; Stein, Michael - 2014
generell wichtiger für den Europäischen Aktienmarkt sind als andere, und dass die Richtung der neuen Informationen in den …
Persistent link: https://www.econbiz.de/10010399276
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Linkages between the US and European Stock Markets : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2015
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...
Persistent link: https://www.econbiz.de/10013013497
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Linkages between the US and European Stock Markets : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2015
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...
Persistent link: https://www.econbiz.de/10013014905
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The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021
This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...
Persistent link: https://www.econbiz.de/10012625628
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Linkages between the US and European Stock Markets : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2015
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. The empirical evidence suggests the presence of unit roots in both the S&P 500 Index and the Euro Stoxx 50 Index, and...
Persistent link: https://www.econbiz.de/10013026126
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Linkages between Exchange Traded Funds and EU Stock Market Liquidity
Pedisic, Roko - 2019
The paper analyses the impact of Exchange Traded Funds (ETFs) on the liquidity of stock exchanges in the European Union …. The liquidity of stock exchanges is a complex phenomenon that is influenced by a number of economic and political factors …, and a number of models such as the average daily volumes have been developed to explain the aspect of liquidity. The paper …
Persistent link: https://www.econbiz.de/10012890210
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Altman’s Z-Score Models of Predicting Corporate Distress : Evidence from the Emerging Sri Lankan Stock Market
Samarakoon, Lalith P. - 2010
This study investigates the ability of three versions of Altman's Z-Score model (Z, Z', and Z”) of distress prediction developed in the U.S. to predict the corporate distress in the emerging market of Sri Lanka. The results show that these models have a remarkable degree of accuracy in...
Persistent link: https://www.econbiz.de/10013152873