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Volatility transmission and herding contagion during the global financial crisis
Abbes, Mouna Boujelbène - In: International Journal of Managerial and Financial Accounting 5 (2013) 2, pp. 138-161
This study offers a new perspective on crisis transmission through an examination of herding contagion during 2008-global financial crisis across Asian and European financial markets. Using a bivariate GARCH-BEKK model, results show that the volatility of US stock market during the subprime...
Persistent link: https://www.econbiz.de/10010754852
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Options resilience during extreme volatility : evidence from the market events of May 2010
Cakici, Nusret; Goswami, Gautam; Tan, Sinan - In: Journal of banking & finance 49 (2014), pp. 262-274
Persistent link: https://www.econbiz.de/10010508034
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The evolution of market share among the U.S. options market platforms
Asçioglu, Asli; Holowczak, Richard; Louton, David; … - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 196-214
Persistent link: https://www.econbiz.de/10011792308
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Valuing American options by least-squares randomized quasi-Monte Carlo methods
Wu, Xin-Yu; Zhou, Hai-Lin; Wang, Shouyang - In: Journal of financial engineering 1 (2014) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10010508081
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Optimal accelerated share repurchases
Jaimungal, S.; Kinzebulatov, D.; Rubisov, D. H. - In: Applied mathematical finance 24 (2017) 3/4, pp. 216-245
Persistent link: https://www.econbiz.de/10011815227
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Positive feedback trading under stress: evidence from the US treasury securities market
Cohen, Benjamin H.; Shin, Hyun Song - In: Global economic review 42 (2013) 4, pp. 314-345
Persistent link: https://www.econbiz.de/10010251885
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Is there really a when-issued premium?
Ezzell, John R.; Miles, James A.; Mulherin, John Harold - 2001 - This draft: November 2001
markets. We compare the prices of when-issued and regular-way shares of publicly-traded subsidiaries and their parents around … from zero. The remaining difference between the when-issued and regular-way prices is due to asymmetric movements in bid …
Persistent link: https://www.econbiz.de/10011561751
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Why do Pit-Hours outlive the Pit?
Ozturk, Sait R.; Wel, Michel van der; Dijk, Dick van - 2015
We study why a majority of trades still happen during the pit hours, i.e. when the trading pit is open, even after the pit ceased to be a liquid and informative venue. We investigate the case of 30-year U.S. Treasury futures using a ten-years-long intraday data set which contains the...
Persistent link: https://www.econbiz.de/10011295705
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Intraday market making with overnight inventory costs
Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2016
trading day approaches, the sensitivity of prices to inventory levels intensifies, making price impact stronger and widening … bid-ask spreads. Moreover, imbalances of buy and sell orders may catalyze hikes and drops in prices, even under fixed …
Persistent link: https://www.econbiz.de/10011568504
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Microscopic understanding of cross-responses between stocks : a two-component price impact model
Wang, Shanshan; Guhr, Thomas - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-30
Persistent link: https://www.econbiz.de/10011988895