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Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an...

Persistent link: https://www.econbiz.de/10011431447

Titoli liquidi e titoli sottili : un confronto fra la Borsa italiana e i principali mercati azionari europei

Siciliano, Giovanni - In: Studi e note di economia (1998) 2, pp. 97-116

Persistent link: https://www.econbiz.de/10001562431

The Influence of Bankruptcy Law on Equity Value of Financially Distressed Firms : A European Comparative Analysis

Lopez-Gutiérrez, Carlos - 2009

The reaction of stock prices to bankruptcy filing has been frequently analysed in the financial literature. In this paper we adopt a different approach to that of traditional study, and endeavour to determine whether the reaction of markets is conditioned by the orientation of bankruptcy law....

Persistent link: https://www.econbiz.de/10013157226

It Hurts (Stock Prices) When Your Team is About to Lose a Soccer Match

Ehrmann, Michael - 2014

The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...

Persistent link: https://www.econbiz.de/10013059967

Securities Market Reforms and Market Segments for IPOs : An Analysis of Listing and Delisting Decisions in Germany

Bessler, Wolfgang - 2019

This study investigates the listing of IPOs and the delisting from the Prime Standard, the highest regulated stock exchange segment in Germany. The German Stock Exchange instituted this market segment subsequent to the high-technology new economy period in 2003. For a sample of 531 firms, we...

Persistent link: https://www.econbiz.de/10012897310

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 Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …

Persistent link: https://www.econbiz.de/10012020325

The determinants of securities trading activity : evidence from four European equity markets

Camilleri, Silvio John; Galea, Francelle - In: Journal of capital markets studies 3 (2019) 1, pp. 47-67

activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and … the cross-sectional variation in stock liquidity at a more detailed level. Originality/value - The originality of the … paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since …

Persistent link: https://www.econbiz.de/10012114563

Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries

Wölfle, Marco - 2007

This study provides empirical evidence verifying the theory of price discovery for Eastern European enterprises based on their cross-listing on Western European exchanges. Despite the fact that the crosslisting behavior of companies has been analyzed very actively since the mid-70s, many...

Persistent link: https://www.econbiz.de/10010297968

Intraday Effects Around Directors’ Dealings : Disclosures in Germany and the United Kingdom

Dardas, Kaspar - 2012

This article analyzes intraday stock price and trading volume reactions to directors' dealings announcements in Germany and the United Kingdom from January 2007 to June 2010. The main findings show that prompt public disclosure of directors' dealings, as mandated by the EU Transparency...

Persistent link: https://www.econbiz.de/10013106927

Intraday Volatility in International Stock Index Futures Markets : Meteor Showers or Heat Waves?

Booth, G. Geoffrey; Chowdhury, Mustafa; Martikainen, Teppo - 2022

The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock index futures markets in the period 1988-1994 is investigated in this paper. The empirical results based on extreme-value estimators and vector autoregression indicate the...

Persistent link: https://www.econbiz.de/10013309647

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