In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...

The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff,...

Unlike the existing literature on value and growth investing, this paper takes a different point of view by conducting a "between-markets analysis." First of all, it asks whether the value premium also exists on a country level, in the sense that country indexes that are undervalued consistently...

Does high-frequency trade increase or decrease volatility in financial markets during crises? We introduce a novel intraday volatility measure for ETFs, and find that during the COVID-19 crisis period, the withdrawal of high-frequency trade from large stock ETFs increases intraday ETF volatility...

The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff,...

This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...

In this paper, we review econometric methodology that is used to test for jumps and to decompose realized volatility into continuous and jump components. In order to illustrate how to implement the methods discussed, we also present the results of an empirical analysis in which we separate...

Firm size is an essential factor in examining the relation between returns and idiosyncratic volatilities. This paper documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is statistically significant in explaining the future...

We find, unlike earlier studies, that there is no rise in the market betas of stocks that enter the S&P 500 index when the estimated factor model is that of Fama and French (1993). We also find that SMB and HML factor betas decline after the stocks are added to the index. This decline is...