Similar Search Results

Funding liquidity and stocks' market liquidity : structural estimation from high-frequency data

Aielli, Gian Piero; Pirino, Davide - 2023

Persistent link: https://www.econbiz.de/10014446493

New evidence on the impact of implicit trading costs on asset prices in the Russian stock market

Teplova, Tamara; Gurov, Sergei - In: Applied economics 54 (2022) 51, pp. 5943-5955

Persistent link: https://www.econbiz.de/10013411329

The impact of asynchronous trading on Epps effect : comparative study on Warsaw Stock Exchange and Vienna Stock Exchange

Gurgul, Henryk; Machno, Artur - In: Managerial economics 17 (2016) 1, pp. 59-75

The novelty/value added of this paper is the comparison of the Epps effect between developed and emerging stock markets from Central Europe by means of the correction formula derived by the authors. The main goal of the study is to test whether or not asynchrony in transaction times is a...

Persistent link: https://www.econbiz.de/10011736401

Does market microstructure affect time-varying efficiency? : evidence from emerging markets

Said, Bahrawar; Raza, Muhammad Wajid; Elshahat, Ahmed - In: Research in international business and finance 70 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015055292

The role of information arrival for the Australian dollar trading volume and volatility

Kim, Suk-Joong; McKenzie, Michael D.; Di Amy Shi - In: Investment management and financial innovations 11 (2014) 4, pp. 8-24

Persistent link: https://www.econbiz.de/10010514157

Rounding errors and volatility estimation

Li, Yingying; Mykland, Per A. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 478-504

Persistent link: https://www.econbiz.de/10011339292

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004

We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … significantly. Consistent with our model, we also find that the size of the spread is a predictor of future price volatility and …

Persistent link: https://www.econbiz.de/10010361995

The microstructure of exchange rate management : FX intervention and capital controls in Brazil

Roure, Calebe de; Furniagiev, Steven; Reitz, Stefan - 2013

This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...

Persistent link: https://www.econbiz.de/10009783713

Intraday price discovery in fragmented markets

Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014

) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …

Persistent link: https://www.econbiz.de/10010250525

The microstructure of exchange rate management : FX intervention and capital controls in Brazil

Roure, Calebe de; Furnagiev, Steven; Reitz, Stefan - In: Applied economics 47 (2015) 34/36, pp. 3617-3632

Persistent link: https://www.econbiz.de/10011293482