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Trading in option contracts before large price changes : a comparative study of US and UK markets
Galariotis, Emilios; Rong, Wu; Spyrou, Spyros I. - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10010463014
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Do stock market anomalies disappear?: The example of small size and market-to-book premia at the London stock exchange
Becchetti, Leonardo; Cavallo, Laura - In: Financial modelling : with 74 tables : [a selection of …, (pp. 13-29). 2000
Persistent link: https://www.econbiz.de/10001484936
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Return autocorrelations on individual stocks and corresponding futures : evidence from Australian, Hong Kong, and United Kingdom markets
Lien, Da-hsiang Donald; Li, Yang - In: Review of Pacific Basin financial markets and policies 7 (2004) 3, pp. 397-422
Persistent link: https://www.econbiz.de/10002229060
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Indexveränderungen und ihre Auswirkungen auf Kapitalmärkte und Unternehmen
Bettscheider, Patrick R. - 2003 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001801128
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The high volume return premium : cross-country evidence
Kaniel, Ron; Ozoguz, Arzu; Starks, Laura T. - In: Journal of financial economics 103 (2012) 2, pp. 255-279
Persistent link: https://www.econbiz.de/10009501397
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Liquidity, Volume and Dividend Yields in Stock Return Data : Evidence from London Stock Exchange
Vasilakis, Chrysovalantis - 2011
This paper investigates monthly liquidity in FTSE 100 equity index in London Stock Exchange over the period 1986 to 2005. The relationship between excess returns, order flow, dividend yields and earning-price ratio was examined using GARCH (1,1). The variables found insignificant, but the...
Persistent link: https://www.econbiz.de/10013128842
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Price, volume and volatility spillovers among New York, Tokyo and London Stock markets
Kim, Sangphill; Rui, Meng - In: International journal of business 4 (1999) 2, pp. 41-61
Persistent link: https://www.econbiz.de/10001445578
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Splitting orders in overlapping markets : a study of cross-listed stocks
Menkveld, Albert J. - In: Journal of financial intermediation 17 (2008) 2, pp. 145-174
Persistent link: https://www.econbiz.de/10003756030
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The information content of annual general meetings : a price and trading volume analysis
Olibe, Kingsley O. - In: Journal of international accounting auditing & taxation 11 (2002) 1, pp. 19-37
Persistent link: https://www.econbiz.de/10001743524
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Toxic arbitrage
Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015
Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and a faster arbitrageurs' response to these...
Persistent link: https://www.econbiz.de/10010499534