Schiffsinvestitionen haben in Deutschland eine lange Tradition und stellen für private Anleger - meist über geschlossene Fonds - und zunehmend auch für institutionelle Anleger eine bedeutende Form der Kapitalanlage dar. Trotz ihrer schon lange anhaltenden Beliebtheit und des hohen...

We examine the role of competing exchanges to restore price parity following currency shocks during 2008, a year characterized by dramatic currency volatility. Burdens on the NYSE and home market to restore price parity for cross-listed stocks are more dynamic than previously thought....

This paper proposes a new definition for trade direction to capture the information effect in order-driven markets. To define the trade direction, the existing literature uses quote-matching rules to identify whether it is the buyer or the seller initiates or triggers a trade. The quote-matching...

This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Thresh- old...

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...

In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...