The electronic trading system Xetra of the German Security Exchange provides a unique data source on the equity trades of 453 large traders located in 23 different cities and 8 European countries. We explore information asymmetries across the trader population: Traders located outside Germany in...

We apply the Kalman filter method to estimate nine Asian markets and find evidence that stock return dispersions decline as markets experience stress conditions, supporting the existence of herding. This paper finds that herding behavior is time-varying and comoving across markets. Both linear...

We investigate if using a CPPI-style methodology it is possible to “improve” the distribution of portfolio returns from the point of view of an investor holding a balanced portfolio with different allocations in Equities, and whose concern is to avoid significant negative returns and in...

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais et al. (2000), a phenomenon increasingly witnessed in modern markets. The key assumption generating the results is that there is at least one liquidity demander exploiting access to all markets by...

Empirical studies on the influence of tick-size reduction towards market liquidity have focused almost exclusively on quote-driven markets in developed nations, and generally their findings are based on time periods of less than one year. This work investigates the influence of tick-size...

The empirical finance literature makes extensive use of 'monthly' stock returns, where a monthly return is the change in stock price between one particular day of the calendar month - which we term the reference day - and the corresponding day of the following month. We show that estimates of...

We examine the effect of information asymmetry on equity prices in the local A- and foreign Bshare market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share...

We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely applied on different types of financial assets, only several papers have dealt with...

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais et al. (2000), a phenomenon increasingly witnessed in modern markets. The key assumption generating the results is that there is at least one liquidity demander exploiting access to all markets by...