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Profits and speculation in intra-day foreign exchange trading
Mende, Alexander (contributor); Menkhoff, Lukas (contributor) - 2006
This study examines profits and speculation in the USD/EUR trading of a bank in Germany over a four-month period …. Dealing activity at the bank generates profits but speculation does not seem to contribute to this. We find that speculative … reveals that there is hardly any room for revenues from speculation. …
Persistent link: https://www.econbiz.de/10003327198
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Discovering and disentangling effects of US macro-announcements in European stock markets
Rühl, Tobias R.; Stein, Michael - 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/10010399276
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://www.econbiz.de/10012020325
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - In: Schmalenbach business review : sbr 71 (2019) 4, pp. 443-473
Persistent link: https://www.econbiz.de/10012108571
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The impact of asynchronous trading on Epps effect : comparative study on Warsaw Stock Exchange and Vienna Stock Exchange
Gurgul, Henryk; Machno, Artur - In: Managerial economics 17 (2016) 1, pp. 59-75
The novelty/value added of this paper is the comparison of the Epps effect between developed and emerging stock markets from Central Europe by means of the correction formula derived by the authors. The main goal of the study is to test whether or not asynchrony in transaction times is a...
Persistent link: https://www.econbiz.de/10011736401
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Asset prices and exchange rates : a time dependent approach
Piccillo, Giulia - 2008
Persistent link: https://www.econbiz.de/10003824646
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Topics in empirical market microstructure : measuring the informational content of order flow
Wünsche, Oliver - 2010
Persistent link: https://www.econbiz.de/10008669012
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003952800
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Börsen, Banken und Kapitalmärkte : Festschrift für Hartmut Schmidt zum 65. Geburtstag
Bessler, Wolfgang (ed.); Schmidt, Hartmut (honouree) - 2006
Persistent link: https://www.econbiz.de/10003387711