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The effect of fragmentation in trading on market quality in the UK equity market
Körber, Lena; Linton, Oliver; Vogt, Michael - 2013
volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the …
Persistent link: https://www.econbiz.de/10009784711
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Relationship between Macroeconomic Factors and Aggregate Stock Returns in BRICS Stock Markets – A Panel Data Analysis
Tripathi, Vanita - 2016
1995 to 2014 using quarterly panel data. This relationship is also examined during two sub periods viz., a Pre Crisis … period (1995:Q1 to 2007:Q2) and a Post Crisis Period (2007:Q3 to 2014:Q4). Robust econometric tests like Panel Granger … Causality Test, Pedroni's Panel Cointegration Test and Panel Auto Regressive Distributed Lag (ARDL) Model has been used. We find …
Persistent link: https://www.econbiz.de/10012995646
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Exchange Rate Risk in the U.S. Stock Market : A Pooled Panel Data Regression Approach
Lee, Cheng-Few - 2019
This paper focuses on revisiting an old issue by advanced econometrics analysis: the risks in the U.S. stock market. We analyze the firm's exposure to exchange rate, interest rate, and market shocks by the pooled regression with the error cross-section dependency. We not only examine the...
Persistent link: https://www.econbiz.de/10012868070
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Stock Market Bubbles and Unemployment
Miao, Jianjun - 2012
This paper introduces endogenous credit constraints in a search model of unemployment. These constraints generate multiple equilibria supported by self-fulfilling beliefs. A stock market bubble exists through a positive feedback loop mechanism. The collapse of the bubble tightens the credit...
Persistent link: https://www.econbiz.de/10013107960
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Correlated trades and herd behavior in the stock market
Jurkatis, Simon; Kremer, Stephanie; Nautz, Dieter - 2012
Herd behavior is often viewed as a significant threat for the stability and effciency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions...
Persistent link: https://www.econbiz.de/10009537329
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The impact of information risk and market stress on institutional trading : new evidence through the lens of a simulated herd model ; conference paper
Boortz, Christopher K.; Jurkatis, Simon; Kremer, Stephanie - 2013
This paper sheds new light on the impact of information risk and market stress on herding of institutional traders from both, a theoretical and an empirical perspective. Using numerical simulations of a herd model, we show that buy and sell herding intensity should increase with information...
Persistent link: https://www.econbiz.de/10010343757
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Determining Lack of Marketability Discounts : Employing an Equity Collar
Barenbaum, lester - 2015
A discount for the lack of marketability is the implicit cost of quickly monetizing a non-marketable asset at its current value. These discounts are used in many venues to determine the fair market value of a non-marketable asset such as a privately-held business. There has been much written on...
Persistent link: https://www.econbiz.de/10013027729
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Revisiting Weak Form Efficiency of Major Equity Markets in Light of Global Financial Crisis : A Panel Data Approach
Singh, Pardeep - 2015
, Brazil, China, India, Mexico, Russia and South Africa) by means of panel and individual time series. Our study period ranged … & Chu; PP-Fisher and ADF-Fisher) were also applied on panel data. The results reveal that all markets under study … financial crisis was found on efficiency of these stock markets individually. Similar results were obtained from panel data …
Persistent link: https://www.econbiz.de/10013009693
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Institutions, Restructuring, and Macroeconomic Performance
Caballero, Ricardo J.; Hammour, Mohamad L. - 2003
A growing body of new research has emphasized the macroeconomic consequences of transactional impediments in factor markets, and their role in the recurrent restructuring requirements of modern economies. We first review the function institutional arrangements play in facilitating transactions...
Persistent link: https://www.econbiz.de/10014159619
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Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775