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Competition among high-frequency traders, and market quality
Breckenfelder, Johannes - 2019
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market …-frequency competition, and contains an exogenous event - a tick size reform - which we use to disentangle the effects of the rising share of … high-frequency trading in the market from the effects of high-frequency competition. We find that when HFTs compete, their …
Persistent link: https://www.econbiz.de/10012016546
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Competition Among High-Frequency Traders, and Market Quality
Breckenfelder, Johannes - 2019
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market …-frequency competition, and contains an exogenous event - a tick size reform - which we use to disentangle the effects of the rising share of … high-frequency trading in the market from the effects of high-frequency competition. We find that when HFTs compete, their …
Persistent link: https://www.econbiz.de/10012868588
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Competition among High-Frequency Traders, and Market Quality
Breckenfelder, Johannes - 2020
I study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market …-frequency competition, and contains an exogenous event - a tick size reform - which I use to separate the effects of high-frequency trading … competition from the effects of the rising share of high-frequency trading in the market. I find that when HFTs compete, their …
Persistent link: https://www.econbiz.de/10012857042
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The impact of the euro on financial markets
Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006
We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
Persistent link: https://www.econbiz.de/10011604644
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Foreign Equity Trading and Average Stock-Return Volatility
Umutlu, Mehmet - 2013
We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variances in the Istanbul Stock Exchange. We employ foreign equity purchase and sale data to track changes in foreign equity trading,...
Persistent link: https://www.econbiz.de/10013091546
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Volatility Contagion : New Evidence from Market Pricing of Volatility Risk
Raczko, Marek - 2015
This paper proposes a novel approach to assessing volatility contagion across equity markets. I decompose the variance risk premia of three major stock indices into: crash and non-crash risk components and analyse their cross-market correlations. I find that crash-risk premia exhibit higher...
Persistent link: https://www.econbiz.de/10013014533
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Common Volatility between Closed-End Country Funds and Three Comparable Return Series : An Empirical Investigation
Kim, Doseong - 2009
The study of international integration of equity markets has received a great deal of interest. This paper investigates whether returns of 41 closed-end country funds share a common volatility process with three comparable return-series: the underlying net asset value (NAV), the U.S., and the...
Persistent link: https://www.econbiz.de/10013155914
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A New Channel for Global Volatility Propagation
Chen, Shuning - 2020
This study compares two channels for global impact on local volatility: the direct channel in which global variables affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect local volatility by changing its persistence over time....
Persistent link: https://www.econbiz.de/10012835899
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On the Common Determinants of Volatility Persistence and Asymmetry
Chen, Shuning - 2019
This study presents empirical evidence that volatility persistence and asymmetry are jointly affected by market conditions such as return and volatility. Using 28 equity market indices in developed and emerging countries, we show that daily volatility persistence increases with returns,...
Persistent link: https://www.econbiz.de/10012892699
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What Types of Macroeconomic Announcements Affect Stock Markets in Emerging Eastern Europe?
Saleem, Kashif - 2014
This study considers the impact of foreign and local macroeconomic announcements on emerging Eastern European stock markets. Stock market and macroeconomic news from 2006-2010 for Russia, Poland, Hungary and the Czech Republic are analyzed for differences across countries and to determine...
Persistent link: https://www.econbiz.de/10013045383