We analyze the transaction costs in floor and computerized trading systems. In Germany, floor and screen trading for the same stocks exist in parallel. Bid-ask spreads are not generally lower in one trading system, but the electronic trading system is less attractive for less liquid stocks. This...

This paper investigates the behaviour of stock prices in Italy over the 1963-1995 period. By means of a time-series analysis of both the long- and the short-run properties of stock prices and other macroeconomic variables, we find strong evidence of a long-run equilibrium negative relation...

Value-at-Risk (VaR) is a widely used tool for assessing financial market risk. In practice, the estimation of liquidity extreme risk by VaR generally uses models assuming independence of bid–ask spreads. However, bid–ask spreads tend to occur in clusters with time dependency, particularly...

This publication presents a system of macroeconomic indicators, which allows carrying out monitoring of financial stability in the emerging markets. The authors developed methodology for quarterly monitoring, which helps revealing negative tendencies in advance, which threaten the financial...

This publication offers a system of macroeconomic indicators which allow monitoring of financial stablity in the developing markets. Methodolgy used in this publication permits quarterly mnitoring of financial stability in the Russian Federation. A system of indicators with a certain degree of...

The present study examines the relationship between return on equity (ROE), leverage and size of firms. A sample companies registered under Bucharest Stock Exchange were examined. The study employed regression method to estimate the impact of debt level on profitability (measured by Return on...

If stock markets are efficient then it should not be possible to predict stock returns, i.e., no explanatory variable in a stock market regression model should be statistically significant. In this study, we find results indicating that daily effects exist in stock market returns. These daily or...

A predictive regression approach is adopted to test fundamental efficiency of the Italian equities market on a new long run (1913 to 1999) time series of returns and fundamentals, namely dividend price, earnings price, and price to book. Univariate and vector autoregression significance is...

This paper investigates whether external political pressure for faster Renminbi appreciation affects both the daily returns and the conditional volatility of the Renminbi central parity rate. We construct several political pressure indicators pertaining to the Renminbi exchange rate, with a...

In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities,...