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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

Persistent link: https://www.econbiz.de/10013026463

The price effects of innovative security design

Célérier, Claire; Liao, Gordon; Vallée, Boris - 2021

This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding strike decreases. A similar...

Persistent link: https://www.econbiz.de/10012886191

MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members

Chousa, Juan Piñeiro; Tamazian, Artur; Melikyan, Davit N. - William Davidson Institute, University of Michigan - 2008

In this paper we propose an empirical model that considers theoretical facts on the relationship between real exchange rates and the net exports of the economy to supplement the interaction of a number of financial and economic factors with the stock market. We discuss the impact of exchange...

Persistent link: https://www.econbiz.de/10005677667

Impact of ADR Listing on the Trading Volume and Volatility in the Domestic Market

Ejara, Demissew Diro - 2016

This paper investigates the impact of ADR listing on the trading volume and volatility of the domestic market. Existing theories indicate that trading shifts to a market with lower transaction costs, and the level of volatility is directly related to the level of trading activity. The analyses...

Persistent link: https://www.econbiz.de/10013004380

Impact of ADR Listing on the Trading Volume and Volatility in the Domestic Market

Ejara, Demissew Diro - 2010

Persistent link: https://www.econbiz.de/10013147384

Volatility Transmission in Emerging European Foreign Exchange Markets

Kočenda, Evžen - 2011

This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...

Persistent link: https://www.econbiz.de/10013121364

Excess Comovements between the Euro/US Dollar and British Pound/US Dollar Exchange Rates

Kuehl, Michael - 2009

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange …

Persistent link: https://www.econbiz.de/10013154177

The Intra-Day Impact of Communication on Euro-Dollar Volatility and Jumps

Dewachter, Hans - 2013

two measures: continuous volatility and discontinuous jumps . Focusing on the euro-dollar exchange rate, we provide … relatively severe, and higher than normal. Disentangling the US and Euro area statements, we also find that abnormal levels of … volatility are mostly driven by the communication of the Euro area officials rather than US authorities …

Persistent link: https://www.econbiz.de/10013085549

Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates

Kühl, Michael - 2009

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange …

Persistent link: https://www.econbiz.de/10003905664

Volatility transmission in emerging European foreign exchange markets

Bubák, Vít; Kočenda, Evžen; Zikes, Filip - 2010

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … significant spillovers running from euro/dollar to the Central European foreign exchange markets. To measure the overall magnitude …

Persistent link: https://www.econbiz.de/10003969723