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Volatility Control Mechanisms : The International Experience and the Evidence from Hong Kong
Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan - 2022
University of Hong Kong Business School).Trading venues have adopted volatility interruption measures to protect investors from … extreme price gyrations and disorderly markets. Among such measures, Volatility Control Mechanisms (VCMs) are implemented …
Persistent link: https://www.econbiz.de/10013492074
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The intended and unintended consequences of financial-market regulations : a general equilibrium analysis
Buss, Adrian; Dumas, Bernard; Uppal, Raman; Vilkov, Grigory - 2016
speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk …
Persistent link: https://www.econbiz.de/10011436064
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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...
Persistent link: https://www.econbiz.de/10013026463
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MIFID, French Equity Markets Fragmentation and Intraday Volatilities : A Network Analysis
Bastidon, Cécile - 2018
FIDESSA. In accordance with the market microstructure literature stating that fragmentation affects volatility at the …
Persistent link: https://www.econbiz.de/10012928878
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Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene - 2013
market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …
Persistent link: https://www.econbiz.de/10013079007
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Financial integration in the GCC region : market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019
in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that …
Persistent link: https://www.econbiz.de/10012026436
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Capital Market Liberalization and Equity Market Interdependence
Fry-McKibbin, Renee - 2020
This paper uses tests drawn from the literature on financial market contagion measured by changes in higher-order comoments to establish the patterns in the interdependence between equity markets in Shanghai and Shenzhen with Hong Kong as mainland China liberalized their capital market. On the...
Persistent link: https://www.econbiz.de/10012832821
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Drivers and effects of stock market fragmentation - insights on SME stocks
Lausen, Jens; Clapham, Benjamin; Gomber, Peter; Bender, … - 2022
We analyze how market fragmentation affects market quality of SME and other less actively traded stocks. Compared to large stocks, they are less likely to be traded on multiple venues and show, if at all, low levels of fragmentation. Concerning the impact of fragmentation on market quality, we...
Persistent link: https://www.econbiz.de/10013464048
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Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
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Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …
Persistent link: https://www.econbiz.de/10010407529