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Does order flow in the European Carbon Futures Market reveal information?

Kalaitzoglou, Iordanis; Ibrahim, Boulis Maher - In: Journal of financial markets 16 (2013) 3, pp. 604-635

Persistent link: https://www.econbiz.de/10010348516

The determinants of a cross market arbitrage opportunity : theory and evidence for the European bond market

Perlin, Marcelo; Dufour, Alfonso; Brooks, Chris - In: Annals of finance 10 (2014) 3, pp. 457-480

Persistent link: https://www.econbiz.de/10010399792

The cost of new information : ECB macro announcement impacts on bid-ask spreads of European blue chips

Rühl, Tobias R.; Stein, Michael - 2013

Bid-ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate...

Persistent link: https://www.econbiz.de/10010211906

The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times

Cassola, Nuno; Huetl, Michael - 2010

We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the...