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US Economic Policy Uncertainty and Co-Movements between Chinese and US Stock Markets
Li, Xiaoming - 2016
This paper investigates the impact of innovations in US economic policy uncertainty on the co-movements of, respectively, the Shanghai A-share, the Shenzhen A-share, the Shanghai B-share and the Shenzhen B-share market, with the US stock market. We show that it is absolute changes in the US...
Persistent link: https://www.econbiz.de/10012994414
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Price and Volatility Spillovers between the Greater China Markets and the Developed Markets of the US and Japan
Wang, Ping - 2014
In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility … volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US …
Persistent link: https://www.econbiz.de/10013061906
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When are stocks less volatile in the long run?
Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng - 2017 - This Draft: December, 2017
Pastor and Stambaugh (2012) demonstrate that from a forward-looking perspective, stocks are more volatile in the long run than they are in the short run. We investigate how the economic constraint of non-negative equity premia aspects predictive variance. When investors expect non-negative...
Persistent link: https://www.econbiz.de/10011876206
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Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries
Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38
return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …
Persistent link: https://www.econbiz.de/10014500629
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Optimal display of Iceberg orders
Cebiroglu, Gökhan; Horst, Ulrich - 2011
the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model … to 60%. -- Hidden Liquidity ; Iceberg Orders ; Limit Order Book ; Market Impact of Limit Orders ; Optimal Exposure …
Persistent link: https://www.econbiz.de/10009299593
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Has There Been Excessive Speculation in the U.S. Oil Futures Markets? What Can We (Carefully) Conclude from New CFTC Data?
Till, Hilary - 2015
, and summary position data from derivatives participants.The U.S. Commodity Futures Trading Commission (CFTC) has recently … futures markets in its new "Disaggregated Commitments of Traders" report. With this report, we are able to examine whether the …
Persistent link: https://www.econbiz.de/10013022469
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An Introduction to U.S. Commodity Futures Markets : A Historical Perspective Along with Commodity Trading Principles
Till, Hilary - 2016
This paper provides an introduction to U.S. commodity futures markets, which is especially relevant for individuals in … topics: (1) the beginning, transformation, and current challenges for U.S. commodity futures markets; (2) design … considerations for a commodity futures program; and (3) a concrete example of a commodity investment process in action …
Persistent link: https://www.econbiz.de/10012985441
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Inter-markets volatility spillover in U.S. bitcoin and financial markets
Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714
This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the … presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility …
Persistent link: https://www.econbiz.de/10012175787
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SBF : how the FTX bankruptcy unwound crypto's very bad good guy
Dale, Brady - 2023
up. Satoshi Nakamoto created bitcoin to take all the tinkering out of the finance system, but then somehow in 2022 the …
Persistent link: https://www.econbiz.de/10014227092
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The economics of bitcoins : market characteristics and price jumps
Gronwald, Marc - 2014
as well as the comparison of Bitcoins and gold. Second, the paper empirically analyses Bitcoin prices using an … autoregressive jump-intensity GARCH model; a model tested and proven by the empirical finance community. Results suggest that Bitcoin …
Persistent link: https://www.econbiz.de/10010464707