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Does low price synchronicity mean more informativeness in stock prices? : empirical evidence on information integration speed in the Chinese stock market
Hu, Yingyi; Zhao, Tiao; Zhang, Lin - In: Emerging markets, finance and trade : EMFT 55 (2019) 5, pp. 1014-1033
Persistent link: https://www.econbiz.de/10012210665
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Private information flow and price discovery in the US treasury market
Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133
Persistent link: https://www.econbiz.de/10010506499
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Testing the information-based trading hypothesis in the option market : evidence from share repurchases
Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of risk and financial management : JRFM 12 (2019) 4/179, pp. 1-11
The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not significantly related to buy-and-hold abnormal stock...
Persistent link: https://www.econbiz.de/10012171287
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Jumps in financial markets : a new nonparametric test and jump dynamics
Lee, Suzanne S.; Mykland, Per A. - In: The review of financial studies 21 (2008) 6, pp. 2535-2563
Persistent link: https://www.econbiz.de/10003805074
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Essays in financial economics
Verter, Geoffrey - 2003
Persistent link: https://www.econbiz.de/10003384083
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Essays in financial economics
Savor, Pavel - 2006
Persistent link: https://www.econbiz.de/10003965701
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Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach
Hou, Yang; Li, Steven - In: Economic modelling 52 (2016), pp. 884-897
Persistent link: https://www.econbiz.de/10011643072
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Risk-return trade-off, information diffusion, and U.S. stock market predictability
Xie, Haibin; Wang, Shouyang - In: International journal of financial engineering 2 (2015) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10011493115
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International transmission of information : a study of the relationship between the US and Greek stock markets
Niarchos, Nikētas (contributor) - In: Multinational finance journal : MF ; quarterly … 3 (1999) 1, pp. 19-40
Persistent link: https://www.econbiz.de/10001510063
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Financial contagion, vulnerability and information : empirical identification
Weber, Enzo - 2009
Persistent link: https://www.econbiz.de/10003908053