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Order flow and volatility: An empirical investigation
Opschoor, Anne; Taylor, Nick; van der Wel, Michel; van … - In: Journal of Empirical Finance 28 (2014) C, pp. 185-201
We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S....
Persistent link: https://www.econbiz.de/10010939523
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On the Effects of Private Information on Volatility
Opschoor, Anne; van der Wel, Michel; van Dijk, Dick; … - 2011
We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …
Persistent link: https://www.econbiz.de/10010325972
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On the effects of private information on volatility
Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011 - This version: May 9, 2011
We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …
Persistent link: https://www.econbiz.de/10011386466
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On the Effects of Private Information on Volatility
Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - Tinbergen Instituut - 2011
We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …
Persistent link: https://www.econbiz.de/10011255523
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Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
Menkveld, Albert J.; Sarkar, Asani; van der Wel, Michel - 2008
Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow...
Persistent link: https://www.econbiz.de/10010303702
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Macro News, Riskfree Rates, and the Intermediary
Menkveld, Albert J.; Sarkar, Asani; van der Wel, Michel - 2007
Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro news events in the 30Y treasury futures market to identify causality from customer flow to riskfree rates. We remove the positive feedback trading part and establish that, in the...
Persistent link: https://www.econbiz.de/10010325580
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Macro news, riskfree rates, and the intermediary
Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - 2007
Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro news events in the 30Y treasury futures market to identify causality from customer flow to riskfree rates. We remove the positive feedback trading part and establish that, in the...
Persistent link: https://www.econbiz.de/10011373834
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Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
Menkveld, Albert J.; Sarkar, Asani; van der Wel, Michel - Center for Financial Studies - 2008
Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow...
Persistent link: https://www.econbiz.de/10010958636
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Macro News, Riskfree Rates, and the Intermediary
Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - Tinbergen Institute - 2007
Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro news events in the 30Y treasury futures market to identify causality from customer flow to riskfree rates. We remove the positive feedback trading part and establish that, in the...
Persistent link: https://www.econbiz.de/10005016250
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Macro News, Riskfree Rates, and the Intermediary
Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - Tinbergen Instituut - 2007
Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro news events in the 30Y treasury futures market to identify causality from customer flow to riskfree rates. We remove the positive feedback trading part and establish that, in the...
Persistent link: https://www.econbiz.de/10011256900