We focus on the extent of information-driven trading originating from order flows to capture the behavior of the market makers on an emerging market. We modified the classical Easley et al. (1996) model for the probability of informed trading using a jackknife approach in which trades of one...

In today’s interrelated economies, financial information travel at speed of light to reach investors around the globe. Global financial markets experience regular shocks that transmit negative waves to other equity markets and different asset classes. Given the unique characteristics of...

Shares trading in the Bolsa mexicana de Valores do not seem to react to company news. Using a sample of Mexican corporate news announcements from the period July 1994 through June 1996, this paper finds that there is nothing unusual about returns, volatility of returns, volume of trade or...

En este estudio se estima la probabilidad de transacciones informadas comportamiento y sus efectos en los rendimientos diarios e intradiarios en Latinoamérica. Calculando la probabilidad diaria dinámica de transacciones informadas (Easley, Engle, O´Hara y Wu, 2008), como una medida del nivel...

This paper investigates the relative performance of local and foreign financial analysts on Latin American emerging markets. There is strong evidence that foreign financial analysts outperform local analysts on these markets. Foreign analysts produce more timely and more accurate forecasts. A...

__Abstract__ The empirical properties of stock returns are studied for 10 companies listed at the Suriname Stock Exchange (SSE), which is a young and growing stock market. Individual stock returns are found to be predictable from the own past to some extent, but the equal-weighted index returns...

This article aims to study the evolution of the Bucharest Stock Exchange (BSE) and the particularities of its correlation with international stock markets during Jan 2007 - Dec 2009. The linear regression and correlation analysis on weekly and monthly data shows a good degree of synchronization...

In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk...

The main idea of this research is to check the efficiency of the Black option pricing model on the basis of HF emerging market data. However, liquidity constraints - a typical feature of an emerging derivatives market - put severe limits for conducting such a study. That is the reason why...

Option pricing models are the main subject of many research papers prepared both in academia and financial industry. Using high-frequency data for Nikkei225 index options, we check the properties of option pricing models with different assumptions concerning the volatility process (historical,...