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Investor sentiment, order submission, and investment performance on the Taiwan stock exchange

Hung, Pi-Hsia - In: Pacific-Basin finance journal 39 (2016), pp. 124-140

Persistent link: https://www.econbiz.de/10011669228

The logarithmic ACD model : the microstructure of the German and Polish stock markets

Gurgul, Henryk; Syrek, Robert - In: Managerial economics 17 (2016) 1, pp. 77-92

The main goal of this paper is to compare the microstructure of selected stocks listed on the Frankfurt and Warsaw …

Persistent link: https://www.econbiz.de/10011736403

Large trades on the Tunisian Stock Exchange : downstairs versus upstairs stock markets

Limem, Monia Antar; Jilani, Faouzi - In: The journal of asset management 14 (2013) 6, pp. 410-422

Persistent link: https://www.econbiz.de/10010258474

Corporate profits and investment in light of institutional and stock market turmoil : new evidence from the Warsaw Stock Exchange

Malinowska, Anna - In: Journal of economic issues 55 (2021) 1, pp. 14-37

Persistent link: https://www.econbiz.de/10012501579

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10010303678

Customer order flow, information and liquidity on the Hungarian foreign exchange market

Gereben, Áron; Gyomai, György; Kiss M., Nobert - 2006

microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the … market for Hungarian forint, using the standard analytical framework of the FX microstructure literature. Our results confirm … microstructure, the traditional portfolio-balance channel of exchange rate determination is also in place. …

Persistent link: https://www.econbiz.de/10010322425

Price Discovery on Foreign Exchange Markets with Differentially Informed Traders

de Jong, Frank; Mahieu, Ronald; Schotman, Peter; van … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10010324605

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

Persistent link: https://www.econbiz.de/10010270808

Large' vs. 'small' players: a closer look at the dynamics of speculative attacks

Bjønnes, Geir H.; Holden, Steinar; Rime, Dagfinn; … - 2009

What is the role of large players" like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large players are...

Persistent link: https://www.econbiz.de/10010276829

The next tick on Nasdaq: Does level II information matter?

Mizrach, Bruce - 2002

The Nasdaq stock market provides information about buying and selling interest in what is called the Level II display. Using a bivariate VAR model of trades and quotes, I assess the effect of Level II prices and depths on short-run quote dynamics. I also determine the influence of individual...

Persistent link: https://www.econbiz.de/10010318347

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