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THE IMPACT OF OVERCONFIDENCE BIAS AND DISPOSITION EFFECT ON THE VOLUME OF TRANSACTION AND THE VOLATILITY OF THE FRENCH STOCK MARKET
SIWAR, Ellouz - In: Journal of Applied Economic Sciences 6 (2011) 1(15)/ Spring 2011, pp. 61-83
level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two … phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to …
Persistent link: https://www.econbiz.de/10009002542
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STUDIES ON FINANCIAL MARKETS IN EAST ASIA
Susai, Masayuki (contributor); Uchida, Shigeru (contributor) - World Scientific Publishing Co. Pte. Ltd.
This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic...
Persistent link: https://www.econbiz.de/10010883054
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The impact of the COVID-19 pandemic and the Russian invasion of Ukraine on Gold markets
Morina, Fisnik; Misiri, Valdrin; Dinaj, Saimir; Grima, Simon - In: Business, mangagement and economics engineering : BMEE 22 (2024) 1, pp. 17-32
, inflation, investors' fear, asymmetric shocks, and the VIX (volatility index) impact on volatility. Research Methodology - This … Russian invasion of Ukraine have significantly impacted Gold market dynamics. Inflation significantly impacts volatility … shocks have a higher asymmetric effect. The VIX positively affects Gold market volatility, suggesting a perceived safe …
Persistent link: https://www.econbiz.de/10015052561
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Funding Conditions, Asset Prices, and Macroeconomic Dynamics : Some U.S. Evidence
Trecroci, Carmine - 2011
Funding liquidity, i.e., the ease with which firms, investors and consumers can obtain funding, is a key property of the monetary transmission mechanism. This paper is an empirical assessment of the role played by various measures of credit availability in shaping the dynamics of asset prices...
Persistent link: https://www.econbiz.de/10013131917
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Volatility Depend on Market Trades and Macro Theory
Olkhov, Victor - 2020
volatility via volatilities of the value and the volume and the number of trades during interval Δ. We introduce notions of the … value and the volume returns and describe price returns volatility through volatilities of the volume and the value returns … market transactions. Adequate model of volatility requires macroeconomic theory that describes second-degree value and volume …
Persistent link: https://www.econbiz.de/10012825610
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Intraday Patterns in Natural Gas Futures : Extracting Signals from High-Frequency Trading Data
Song, Jung Heon - 2016
the volatility of natural gas trading …
Persistent link: https://www.econbiz.de/10013003707
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Monetary Shocks, Equity Returns and Volatility - A Firm-Level Panel Data Analysis
Luo, H. Arthur - 2015
This paper studies the impact of monetary policy shocks on equity returns and their volatility among nine industries …
Persistent link: https://www.econbiz.de/10013017992
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Central Bank Communication Choices : Adverse Selection, Volatility and Liquidity in a Market With Fast and Slow Traders
Benamar, Hedi; Chaboud, Alain; Vega, Clara - 2021
We study the impact of different central bank communication practices on the trading behavior and profitability of fast and slow traders in the foreign exchange market. We focus, in particular, on how the Bank of Japan's practice of introducing some randomness to the time at which it releases...
Persistent link: https://www.econbiz.de/10013247078
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Examination of Long Term Effect of Exchange Rate on Indian Stock Market
Raman, R.; Srindhi - 2015
This study investigates the long run relation among Stock Returns and four major Foreign Exchanges in India over a period of 14 ½ year period starting from January, 2000 to June, 2014. On applying the techniques of Unit – root test, Multiple Break Point test, Johansen’s Cointegration and...
Persistent link: https://www.econbiz.de/10014131327
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Monetary Policy and Jump Risk
Inekwe, John Nkwoma - 2015
We estimate the effects of anticipated and unanticipated monetary policy changes on jump activity by employing high frequency non-parametric jump detection methods. We find that anticipated changes in the Fed funds have no significant effect on jumps. In contrast, jumps in the second moments of...
Persistent link: https://www.econbiz.de/10013031353