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Discovering and disentangling effects of US macro-announcements in European stock markets

Rühl, Tobias R.; Stein, Michael - 2014

In this study, we analyze the effect of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We find that certain announcements are generally more important to the European stock market than others, and that the direction of news is...

Persistent link: https://www.econbiz.de/10010399276

The cost of new information : ECB macro announcement impacts on bid-ask spreads of European blue chips

Rühl, Tobias R.; Stein, Michael - 2013

Bid-ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate...

Persistent link: https://www.econbiz.de/10010211906

Discrete-time option pricing with stochastic liquidity

Leippold, Markus; Schärer, Steven - 2016

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity that may contribute to significant bid-ask spreads. Within the framework of conic finance, we develop a stochastic liquidity model, extending the discrete-time constant...

Persistent link: https://www.econbiz.de/10011515968

OTC microstructure in a period of stress : a multi‑layered network approach

Joseph, Andreas; Vasios, Michalis; Maizels, Olga; … - 2019

Persistent link: https://www.econbiz.de/10012202563

Intraday trading invariancein the E-mini S&P 500 futures market

Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020

Persistent link: https://www.econbiz.de/10012494219

The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets

Bachmair, Kilian - 2023

Persistent link: https://www.econbiz.de/10013530819

Informed options strategies before corporate events

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2022

We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and...

Persistent link: https://www.econbiz.de/10013332282

Individual share futures contracts : the economic impact of their introduction on the underlying equity market

Peat, Maurice; MacCorry, Michael S. - 1997

Persistent link: https://www.econbiz.de/10000985462

Carry trades, order flow and the forward bias puzzle

Breedon, Francis J.; Rime, Dagfinn; Vitale, Paolo - 2015

We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....

Persistent link: https://www.econbiz.de/10011396784

The determinants of BUND-future price changes : an ordered probit analysis using DTB and LIFFE data

Kaiser, Ulrich - 1997

Terminbörse (DTB) and London International Financial Futures Exchange (LIFFE). The analysis uses the ordered probit model, which … nonstructural, it allows to test the validity of market microstructure literature. A comparison of BUND-futures trading at DTB and … Deutschen Terminbörse (DTB) und der London International Financial Futures Exchange (LIFFE) untersucht. Die Analyse wird mit …

Persistent link: https://www.econbiz.de/10011621695

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