Showing 11 - 19 of 19
Purpose – The paper aims to investigate order-based manipulation that consists of order-placing strategies. Design/methodology/approach – Using the bid and ask record provided by Hong Kong Exchanges and Clearing Limited, a Level II dataset, the paper develops a methodology to obtain...
Persistent link: https://www.econbiz.de/10014866093
Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is typically longer than the maturities of bonds available...
Persistent link: https://www.econbiz.de/10014901865
The cross-boundary Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect provides a special data set to study the dynamic relationships among volatility, trading volume and turnover among three stock markets, namely Shanghai, Shenzhen, and Hong Kong. We employ the Granger Causality test with...
Persistent link: https://www.econbiz.de/10012611054
This work proposes a random utility model for individual trading decision in the spirit of prospect theory. This model differs from those in the literature in that empirical data of stock price and volume can be incorporated. The paper tests the model with historical data from the NYSE TAQ...
Persistent link: https://www.econbiz.de/10011255073
Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is typically longer than the maturities of bonds available...
Persistent link: https://www.econbiz.de/10010815078
Persistent link: https://www.econbiz.de/10010104340
Persistent link: https://www.econbiz.de/10010156832
Persistent link: https://www.econbiz.de/10009871070
Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is typically longer than the maturities of bonds available...
Persistent link: https://www.econbiz.de/10010691553