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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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Estimating the location of world wheat price discovery
Janzen, Joseph P.; Adjemian, Michael K. - In: American journal of agricultural economics 99 (2017) 5, pp. 1188-1207
Persistent link: https://www.econbiz.de/10011946580
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Financial markets performance : theory and empirical evidence
Marquardt, Dirk Steffen - 1998
Persistent link: https://www.econbiz.de/10000671527
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Volatility, depth, and order composition : evidence from a pure limit order futures market
Chen, Ho-chyuan; Wu, Juping - In: Emerging markets finance & trade : a journal of the … 45 (2009) 5, pp. 72-85
Persistent link: https://www.econbiz.de/10003982559
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Liquidity in the futures pits : inferring market dynamics from incomplete data
Hasbrouck, Joel - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 305-326
Persistent link: https://www.econbiz.de/10002103608
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Distribution of trading activity across strike prices in the DAX index options market
Lazarov, Zdravetz (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002040448
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Insiderhandel und Optionspreisspannen
Behr, Matina L. - 2000 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001516335
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Individual share futures contracts : the economic impact of their introduction on the underlying equity market
Peat, Maurice; MacCorry, Michael S. - 1997
Persistent link: https://www.econbiz.de/10000985462
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Order flows, investor sentiments and feedback trade in index futures market
Banerjee, Ameet Kumar; Pradhan, H. K. - In: Journal of quantitative economics 18 (2020) 4, pp. 767-782
Persistent link: https://www.econbiz.de/10012418879
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A reverse index futures split effect on liquidity and market dynamics
Athanasios, Fassas; Nikolas, Hourvouliades - In: International journal of bonds and derivatives 3 (2017) 3, pp. 235-252
Persistent link: https://www.econbiz.de/10011875992