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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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The Liability of Foreignness in International Equity Investments : Evidence from the U.S. Stock Market
Baik, Bok - 2013
low information asymmetry stocks more than domestic institutional investors and this preference for low information … asymmetry stocks is particularly strong among foreign institutional investors from countries with high LOF. More important, we … evident when they trade stocks with higher information asymmetry. Overall, these findings suggest that foreign institutional …
Persistent link: https://www.econbiz.de/10013085902
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Why U.S. Firms Delist from the Tokyo Stock Exchange : An Empirical Analysis
Liu, Shinhua - 2013
. We find that the small shareholder base, as measured by low turnover, for U.S. stocks in Japan helps to explain the …
Persistent link: https://www.econbiz.de/10013076143
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The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns
Lambertides, Neophytos - 2017
This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...
Persistent link: https://www.econbiz.de/10012959469
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US Cross-Listing and Domestic High-Frequency Trading : Evidence from Canadian Stocks
Dodd, Olga; Frijns, Bart; Indriawan, Ivan; Pascual, Roberto - 2021
We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of …. Finally, cross-listing increases a stock’s reliance on high-frequency market makers to provide liquidity. Yet, we find no …
Persistent link: https://www.econbiz.de/10013232823
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Do ETFs affect ADRs and U.S. domestic stocks differently?
Fu, Chengbo; Huang, Qiping; Tang, Hongfei - 2021
earnings into stock returns but not firm specificearnings. Overall, our results show that ETFs are beneficial to ADR stocks by …
Persistent link: https://www.econbiz.de/10013322035
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Effects of the US stock market return and volatility on the VKOSPI
Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015
The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...
Persistent link: https://www.econbiz.de/10011376746
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Are stock returns a leading indicator for real macroeconomic developments?
Burgstaller, Johann - 2002
I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is...
Persistent link: https://www.econbiz.de/10009750238
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The twilight zone : OTC regulatory regimes and market quality
Brüggemann, Ulf; Kaul, Aditya; Leuz, Christian; … - 2013 - Rev.
We analyze a comprehensive sample of more than 10,000 U.S. OTC stocks. We first show that the OTC market is a large …
Persistent link: https://www.econbiz.de/10009782418
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International Stock Return Predictability : What is the Role of the United States?
Rapach, David - 2012
We investigate lead-lag relationships among country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non-U.S. industrialized countries (after controlling for national economic variables and countries' own lagged...
Persistent link: https://www.econbiz.de/10013116627