In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The...

Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The...

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock Exchange (TSE). ARMA- ARCH type models including two symmetric conditional hetroscedastic models; ARMA (1, 1) - ARCH (1) and ARMA (1, 1) - GARCH (1, 1) and two asymmetric...

This paper hypothesizes that the number of novel coronavirus disease (COVID-19) cases significantly influence the stock returns in international financial markets. Our empirical evidence, based on panel Granger non-causality tests, strongly supports this hypothesis for Group of Seven (G7)...

This paper examines the price discovery processes before and during the 2007-09 subprime and financial crisis, as well as the subsequent European sovereign crisis, for the stock, bond, and U.S. dollar/euro FX markets in the U.S. and Germany in a high-frequency setting. Based on five-second...

Algorithmic trading is generally defined as using computer-generated algorithms to create and execute orders on marketplaces. Recently, such algo-trading strategies are increasingly being associated with the negative impact on capital markets – both from a technological as well as a business...

We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE's high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated...

We examine the world's largest carbon exchange, ICE's ECX, by applying Chordia et al.'s (2008) conception of short-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and market efficiency such that when spreads narrow,...