Narrow search
Showing 1 - 10 of 12,062
Cover Image
The Economic Effect of Bitcoin Halving Events on the U.S. Capital Market
El Mahdy, Ph.D., CFE, Dina - 2021
Bitcoin is a digital asset that was first mined in January 2009 after the global financial crisis of 2007-2008. Over a decade later, there is still no consensus across different market regulations on the classification, use cases, policies, and economic implications of bitcoin. However, there is...
Persistent link: https://www.econbiz.de/10013233419
Cover Image
The Bitcoin-macro disconnect
Benigno, Gianluca; Rosa, Carlo - 2023
This paper investigates the link between Bitcoin and macroeconomic fundamentals by estimating the impact of macroeconomic news on Bitcoin using an event study with intraday data. The key result is that, unlike other U.S. asset classes, Bitcoin is orthogonal to monetary and macroeconomic news....
Persistent link: https://www.econbiz.de/10013548985
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …
Persistent link: https://www.econbiz.de/10001731828
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10011431982
Cover Image
Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities
Fleming, Michael J.; Nguyen, Giang H. - 2013
This paper studies the workup protocol, a unique trading feature in the U.S. Treasury securities market that resembles a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the dynamics of price and segmented order flow induced by the...
Persistent link: https://www.econbiz.de/10009781862
Cover Image
High-frequency trading around macroeconomic news announcements : evidence from the U.S. treasury market
Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2014
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...
Persistent link: https://www.econbiz.de/10010441177
Cover Image
Private Information Flow and Price Discovery in the U.S. Treasury Market
Jiang, George J. - 2016
Using intraday data, we identify the intensity of private information flow in the U.S. Treasury market. Our results show that the intensity of private information flow is highly correlated with public information shocks and higher for longer maturity bonds. More importantly, we find that bond...
Persistent link: https://www.econbiz.de/10013007983
Cover Image
Price and Size Discovery in Financial Markets : Evidence from the U.S. Treasury Securities Market
Fleming, Michael J. - 2018
We study the workup protocol, an important size discovery mechanism in the U.S. Treasury securities market. We find that shocks in workup order flow explain 6-8 percent of the variation of returns on benchmark notes and, across maturities, contribute 10 percent to the variation of the yield...
Persistent link: https://www.econbiz.de/10012938397
Cover Image
Information Asymmetry and Share Prices : Analysis of the Use of Social Networks in the Brazilian and U.S. Capital Markets
Arruda, Marcelo - 2015
Increasing globalization has meant the internet becoming ever more part of the routine of people around the world. With the evolution of the internet, social networks have emerged in order to facilitate communication between people, communities and even between corporations. Social networks...
Persistent link: https://www.econbiz.de/10013009652
Cover Image
Financial Markets and News about the Coronavirus
Mamaysky, Harry - 2020
I examine how financial markets interact with news about the COVID-19 pandemic. A twelve topic model optimizes the trade-off between number of topics and topic coherence. Using this model, I show that before mid-March 2020 markets react more to the same quantum of news when volatility is higher...
Persistent link: https://www.econbiz.de/10012838169