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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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The effect of limit order book information on investors with different risk attitudes
Wang, Ya-hui; Lai, Chien-Chih - In: The international journal of business and finance … 9 (2015) 1, pp. 113-120
Persistent link: https://www.econbiz.de/10010515350
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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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The determinants of BUND-future price changes : an ordered probit analysis using DTB and LIFFE data
Kaiser, Ulrich - 1997
Terminbörse (DTB) and London International Financial Futures Exchange (LIFFE). The analysis uses the ordered probit model, which … nonstructural, it allows to test the validity of market microstructure literature. A comparison of BUND-futures trading at DTB and … Deutschen Terminbörse (DTB) und der London International Financial Futures Exchange (LIFFE) untersucht. Die Analyse wird mit …
Persistent link: https://www.econbiz.de/10011621695
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How dynamic hedging affects stock price movements : evidence from German option and certificate markets
Fischer, Georg - 2019
We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...
Persistent link: https://www.econbiz.de/10011960804
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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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How and when do markets tip? : lessons from the Battle of the Bund
Cantillon, Estelle (contributor); Yin, Pai-Ling (contributor) - 2007
In a famous episode of financial history which lasted over eight years, the market for the future on the Bund moved entirely from LIFFE, a London-based derivatives exchange, to DTB, a Frankfurt-based exchange. This paper studies the determinants of the observed dynamics, using a novel panel...
Persistent link: https://www.econbiz.de/10003484120
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An empirical analysis of the bid-ask spread in the continuous intraday trading of the German power market
Balardy, Clara - In: The energy journal 43 (2022) 3, pp. 229-255
Persistent link: https://www.econbiz.de/10013411316
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The determinants of BUND-future price changes : an ordered probit analysis using DTB and LIFFE data
Kaiser, Ulrich - 1997
Persistent link: https://www.econbiz.de/10013428091