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The elusive nature of motives to trade : evidence from international stock markets
Ge̜bka, Bartosz; Serwa, Dobromił - In: International review of financial analysis 39 (2015), pp. 147-157
Persistent link: https://www.econbiz.de/10011573159
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Dynamic autocorrelation of intraday stock returns
Xi, Dong; Feng, Shu; Ling, Leng; Song, Pingping - In: Finance research letters 20 (2017), pp. 274-280
Persistent link: https://www.econbiz.de/10011806947
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Volatility Spillover Effects in European Equity Markets
BAELE, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2003
evidence for contagion from the US market to a number of local European equity markets during periods of high world market …
Persistent link: https://www.econbiz.de/10004982992
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Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets
Philippas, Dionisis; Siriopoulos, Costas - In: Journal of International Financial Markets, … 27 (2013) C, pp. 161-176
We investigate the contagion appetite generated by the current debt crisis in Greece by focusing on six European … contagion appetite to European Monetary Union countries, which are prone to contagion, some because of their excessive … portfolios; but not an overall contagion effect from the crisis country to all others. …
Persistent link: https://www.econbiz.de/10011041502
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Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016
The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the fluctuations in stock and financial derivatives...
Persistent link: https://www.econbiz.de/10011441584
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Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
Ezzat, Hassan; Kirkulak, Berna - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number of trades as contemporaneous proxies for information arrival in the Saudi Exchange (Tadawul). The sample comprises 15 sector indices from April 2008 to August 2013. The...
Persistent link: https://www.econbiz.de/10011115493
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Nonlinear ACD model and informed trading: Evidence from Shanghai Stock Exchange
Wong, Woon K.; Tan, Dijun; Tian, Yixiang - 2008
Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a...
Persistent link: https://www.econbiz.de/10010288824
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Nonlinear ACD Model and Informed Trading: Evidence from Shanghai Stock Exchange
Wong, Woon K.; Tan, Dijun; Tian, Yixiang - Economics Section, Cardiff Business School - 2008
Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a...
Persistent link: https://www.econbiz.de/10005162742
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Trading Volume and Autocorrelation: Empirical Evidence from the Stockholm Stock Exchange
Säfvenblad, Patrik - Economics Institute for Research (SIR), … - 1997
This paper provides an extensive empirical investigation into the sources of index return autocorrelation, focusing on the relation between autocorrelation in individual stock returns and autocorrelation in index returns. The study uses daily data from the Stockholm Stock Exchange over the...
Persistent link: https://www.econbiz.de/10005423892
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Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration
Gębka, Bartosz; Karoglou, Michail - In: Journal of Banking & Finance 37 (2013) 9, pp. 3639-3653
We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration...
Persistent link: https://www.econbiz.de/10011065625