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Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange
Henke, Harald - 2004
The present thesis is a microstructure study of the Warsaw Stock Exchange (WSE). In the first part, I find evidence in favor of the so-calles mixture of distributions hypothesis according to which the time-variant daily order flow translates into volatility persistence in stock returns. In part...
Persistent link: https://www.econbiz.de/10009460735
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The role of stock index derivative products in equity market volatility
Bhatt, Swati - 1987
Persistent link: https://www.econbiz.de/10000082838
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A comparison of quotations, trading costs, and volatility for NYSE and NASDAQ-listed stocks
Bessembinder, Hendrik; Kauffman, Herbert M. - 1996
Persistent link: https://www.econbiz.de/10000952878
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Price momentum and idiosyncratic volatility
Arena, Matteo P.; Haggard, K. Stephen; Yan, Xuemin Sterling - In: The financial review : the official publication of the … 43 (2008) 2, pp. 159-190
Persistent link: https://www.econbiz.de/10003755350
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Overnight information and stochastic volatility : a study of European and US stock exchanges
Tsiakas, Ilias - In: Journal of banking & finance 32 (2008) 2, pp. 251-268
Persistent link: https://www.econbiz.de/10003647204
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Does market structure matter? : trading costs and return volatility around exchange listings
Bessembinder, Hendrik; Rath, Subhrendu - In: Stock market liquidity : implications for market …, (pp. 149-171). 2008
Persistent link: https://www.econbiz.de/10003650512
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Returns, volatility, and liquidity on the ASX : undisclosed versus disclosed limit orders
Allen, David E.; Cheng, Alexander Shu-sing; … - In: Stock market liquidity : implications for market …, (pp. 227-245). 2008
Persistent link: https://www.econbiz.de/10003650538
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The relevance of quantifiable audit qualifications in the valuation of IPOs
Ghicas, Dimitrios C.; Papadaki, Afroditi; Siougle, Georgia - In: Review of accounting studies 13 (2008) 4, pp. 512-550
Persistent link: https://www.econbiz.de/10003767705
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Non-linear dynamics in financial asset returns : the predictive power of the CBOE volatility index
Bekiros, Stelios D.; Georgoutsos, Demetris A. - In: The European journal of finance 14 (2008) 5/6, pp. 397-408
Persistent link: https://www.econbiz.de/10003771721
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The Federal Reserve and the bull markets : from Benjamin Strong to Alan Greenspan
Spencer, Roger W.; Huston, John H. - 2006
Persistent link: https://www.econbiz.de/10003321134