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Toxic Arbitrage and Price Discovery
Johannsen, Kolja - 2017
Toxic arbitrage opportunities are caused by information arriving in one market leading to short lived price deviations … between markets. This paper shows that the direction of such arbitrage opportunities provides valuable insights into price … unbiased measure of information shares based on the frequency of toxic arbitrage opportunities. This measure has several …
Persistent link: https://www.econbiz.de/10012958938
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A puzzle of excessive equity risk premium and the case of Poland
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 1, pp. 1-11
The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot be reconciled with theoretical models of financial...
Persistent link: https://www.econbiz.de/10011539760
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The Impact of Derivatives on the Volatility of Turkish Stock Market
Cimen, Aysegul - 2019
The interaction among futures and spot markets has been one of the most important issues of the financial markets since the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristics of derivatives such as having lower transaction costs, higher leverage, higher...
Persistent link: https://www.econbiz.de/10012891813
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An Investigation of Return and Volatility Linkages Among Stock Markets : A Study of Emerging Asian and Selected Developed Countries
Bhowmik, Roni - 2019
This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India, China, Bangladesh, Malaysia, Philippine, and South Korea) stock markets and developed (e.g., United States, United Kingdom, Japan, and Singapore) stock markets. During the sample...
Persistent link: https://www.econbiz.de/10012895619
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The Informational Content of Prices When Policy Makers React to Financial Markets
Siemroth, Christoph - 2018
for the possibility of information revelation in equilibrium, which might not be possible if the policy reaction to prices …
Persistent link: https://www.econbiz.de/10012937900
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Coherent Preferences and Asset Prices in Stock Market
Shi, Leilei - 2020
and reversal trading in stock market where market dynamic equilibrium exists. We find that: 1) coherent preferences … generate nonlinear V-shaped price pressure and market dynamic equilibrium whereas beliefs contribute to discrepancy between … market equilibrium prices and fundamental prices; and 2) subject individuals can display either disposition effect or inverse …
Persistent link: https://www.econbiz.de/10012854377
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Competitiveness in the Ukrainian Stock Market and Local Crisis of 2013–2015
Plastun, Oleksiy - 2018
This paper investigates competitiveness in the Ukrainian stock market during local crisis of 2013–2015. The following hypothesis is tested: crisis decreases competitiveness in the stock market. The analysis is carried out for the most liquid stocks in the Ukrainian Exchange (UX) over the...
Persistent link: https://www.econbiz.de/10012920837
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Frontiers of Macrofinancial Linkages
Claessens, Stijn - 2018
The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...
Persistent link: https://www.econbiz.de/10012929483
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Effect of monetary policy on the Nigerian stock market : a smooth transition autoregressive approach
Babangida, Jamilu S.; Khan, Asad ul Islam - In: CBN journal of applied statistics 12 (2021) 1, pp. 1-21
This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study...
Persistent link: https://www.econbiz.de/10012604392
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Information Content of Stocks in Call Auction of Shorter Duration in Emerging Market
Bag, Dinabandhu - 2021
Pre-open auctions have been widely implemented across trading exchanges. Pre-open auctions tend to reduce information asymmetry and trading risks. Call auctions have been encouraged to enhance price discovery. This paper explores the shifts in information content of the pre-market auction...
Persistent link: https://www.econbiz.de/10013232642