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Liquidity-Induced Dynamics in Futures Markets

Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return … positions by the two main trader classes in the market, namely hedgers and speculators. As positions become extreme, approaching … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

Persistent link: https://www.econbiz.de/10005786918

A simple model of market valuation and trend reversion for U.S. equities : 100 years of bubbles, non-bubbles, and inverse-bubbles

Godek, Paul E. - In: Finance research letters 13 (2015), pp. 29-35

Persistent link: https://www.econbiz.de/10011552324

Rational belief bubbles

Sohn, Hyun-U; Sornette, Didier - 2020

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...

Persistent link: https://www.econbiz.de/10012181099

Stock Prices and Social Dynamics

Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1984

The empirical evidence that is widely interpreted as supporting the efficient markets theory in finance actually does not rule out the possibility that changing fashions or fads among investors have an important influence on prices in financial markets. A model of the impact of such fashions on...

Persistent link: https://www.econbiz.de/10005762667

How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?

Szafarz, Ariane - Centre Emile Bernheim, Solvay Brussels School of … - 2009

In the aftermath of the financial crisis, market efficiency is being heavily criticized. However, the volatility-based criticisms rely on false grounds as efficiency and speculative bubbles are compatible. Indeed, the efficient market model is about rationality and information, not about...

Persistent link: https://www.econbiz.de/10008468451

How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?

Szafarz, Ariane - Département d'Économie Appliquée (DULBEA), Solvay … - 2010

Criticizing the Efficient Market Hypothesis (EMH) on the basis of highly volatile asset prices is conceptually wrong as efficiency is about rationality and information, not about stability. Speculative bubbles are compatible with rational valuation, and hence with market efficiency. As rational...

Persistent link: https://www.econbiz.de/10008468469

Equity trading

Fohlin, Caroline - In: Research handbook of financial markets, (pp. 358-377). 2023

Persistent link: https://www.econbiz.de/10014331077

The impact of disturbances on the us stock market’s spread and investor sentiment through the perspective of risk management

Zwak-Cantoriu, Maria-Cristina; Anghel, Lucian Claudiu; … - In: Management dynamics in the knowledge economy 11 (2023) 1/39, pp. 84-99

Persistent link: https://www.econbiz.de/10014266037

Theories of stock prices and the Greenspan---Bernanke doctrine on stock market bubbles

Raines, J. Patrick; McLeod, J. Ashley; Leathers, Charles G. - In: Journal of Post Keynesian Economics 29 (2007) 3, pp. 393-408

ample liquidity when a bubble bursts has some compatibility with Davidson's Post Keynesian role of the Federal Reserve as a …

Persistent link: https://www.econbiz.de/10005750124

Insider Trading Controversies: A Literature Review

Bhattacharya, Utpal - In: Annual Review of Financial Economics 6 (2014) 1, pp. 385-403

Using the artifice of a hypothetical trial, this article presents the cases for and against insider trading. Both sides in the trial produce as evidence the salient points made in more than 100 years of literature on insider trading. The initial days of the trial focus on the issues raised in...

Persistent link: https://www.econbiz.de/10011094538