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The European Commission and EUA prices : a high-frequency analysis of the EC's decisions on second NAPs

Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - 2009

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...

Persistent link: https://www.econbiz.de/10003875267

Home Exposure of European Firms : The Role of Multinational Corporations

Maier, Moritz - 2019

This paper analyzes the exposure towards the home-specific factor (home exposure) of 4,153 firms from fifteen European countries. Especially, we investigate whether multinational (MNC) differ from national companies (NC). Therefore, we sort the firms that exist during the time period from...

Persistent link: https://www.econbiz.de/10012895953

The U.S. Securities Fraud Class Action : An Unlikely Export to the European Union

Warren, Manning G. - 2017

Although the EU has achieved an impressive degree of harmonization in the securities laws of its member states, it has not yet advanced any effective collective private remedies for violations of those securities laws. This is especially noteworthy since the U.S. Supreme Court's decision in...

Persistent link: https://www.econbiz.de/10012974601

Trade direction in order-driven markets - definition, inference, and evidence

Hu, Shing-yang - 2001

This paper proposes a new definition for trade direction to capture the information effect in order-driven markets. To define the trade direction, the existing literature uses quote-matching rules to identify whether it is the buyer or the seller initiates or triggers a trade. The quote-matching...

Persistent link: https://www.econbiz.de/10012742794

Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm

Puigvert Gutiérrez, Josep Maria; Gregori, Josep Fortiana - 2008

In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...

Persistent link: https://www.econbiz.de/10003794031

EMU and capital markets : the institutional framework

Gros, Daniel - 1998

This paper reviews the factors that will determine the shape of financial markets under EMU. It argues that financial markets will not be unified by the introduction of the euro. National central banks have a vested interest in preserving local idiosyncracies (e.g. the Wechsels in Germany) and...

Persistent link: https://www.econbiz.de/10009768844

Month-of-the-Year Effects on Romanian Capital Market before and after the Adhesion to European Union

Stefanescu, Razvan - 2013

Monthly seasonality in the stock prices returns is among the best known calendar anomalies that affect the capital … relative quiet for the capital market. The second period, from 2007 to 2012, was marked by sharp changes. The consequences of … seasonality not only on indexes returns but also on the capital market volatility. The results indicate significant changes in the …

Persistent link: https://www.econbiz.de/10013083773

Analysis of how the european stock markets perceive the dynamics of macroeconomic indicators through the sentiment index and the purchasing managers' index

Lupu, Iulia - In: Financial studies 22 (2018) 1, pp. 32-52

In this article, we intend to analyse how the European stock markets perceive the dynamics of macroeconomic indicators in terms of the sentiment index and the purchasing managers' index. For this research, we focused on the countries of the European Union and applied an econometric event study,...

Persistent link: https://www.econbiz.de/10011964937

Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - 2003

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

Persistent link: https://www.econbiz.de/10009635881

Fiscal policy events and interest rate swap spreads

Afonso, António; Strauch, Rolf - 2004

In this paper we assess the importance given in capital markets to the credibility of the European fiscal framework. We …-term bond segment of the capital markets. Firstly, we identify the fiscal policy events and qualitatively assess the views of … capital market participants. Secondly, we estimate the impact of these fiscal events on the interest rate swap spreads, which …

Persistent link: https://www.econbiz.de/10009636526

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