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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...
Persistent link: https://www.econbiz.de/10010373349
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Splitting orders in fragmented markets
Menkveld, Albert J. - 2001
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...
Persistent link: https://www.econbiz.de/10011317469
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the...
Persistent link: https://www.econbiz.de/10013013057
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Fear Propagation and Return Dynamics
Sun, Yulong; Wang, Kai - 2021
In this paper, we show that fear can propagate across international financial markets. Investors become more concerned … market fear proxy, we show that the fear propagation shapes the return dynamics at the international level. By applying the … important implications of the proxy for international return predictability during the bad economic states …
Persistent link: https://www.econbiz.de/10013246974
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Short-Term Predictability of Stock Market Indexes Following Large Drawdowns and Drawups
Ratton Brandi, Vinicius - 2018
The Efficient Market Hypothesis is one of the most popular subjects in the empirical finance literature. Previous studies in the stock markets, which are mostly based on fixed time price variations, do not provide conclusive findings, in which evidence of short-term predictability varies...
Persistent link: https://www.econbiz.de/10012914355
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Equity Risk Premia and the Pricing of Foreign Exchange Risk
Korajczyk, Robert A. - 2011
We investigate the relation between the risk premia observed in forward foreign exchange markets and international …
Persistent link: https://www.econbiz.de/10013119670
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The Pricing of Forward Contracts for Foreign Exchange
Korajczyk, Robert A. - 2011
This paper investigates the nature of observed deviations from the unbiased expectations hypothesis in the forward foreign exchange market. If these deviations are due to risk premia then the same premia should be observed in nominal bonds denominated in different currencies. This condition...
Persistent link: https://www.econbiz.de/10013119997
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Time Varying Risk Aversion : An Application to Energy Hedging
Cotter, John - 2014
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10013070500
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Foreign Exchange and the Capital Market Dynamics : New Evidence from Non-linear Autoregressive Distributed Lag Model
Omoregie, Osaretin Kayode - 2020
The purpose of this study was to investigate and analyze the relationship between foreign exchange and capital market dynamics in Nigeria from January 1999 to February 2018. The study deployed the Non-Linear-ARDL model to study the dynamics of exchange rate and the capital market in Nigeria. The...
Persistent link: https://www.econbiz.de/10012834326
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A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies
Lipton, Alex - 2020
When prices reflect all available information, they oscillate around an equilibrium level. This oscillation is the result of the temporary market impact caused by waves of buyers and sellers. This price behavior can be approximated through an Ornstein-Uhlenbeck (OU) process.Market makers provide...
Persistent link: https://www.econbiz.de/10012842068