This paper sheds new light on the liquidity dynamics of the credit default swaps (CDS) market in Europe around the Subprime crisis. Based on an original dataset of 94 European companies from 2005 to 2009, we use a panel regression analysis to study the relationship between CDS premiums and...

Regulatory arbitrage has been one of the major factors contributing to the severity of the crisis. Given the ever more complex set of future regulatory constraints, it may keep generating costly negative spillover effects on the whole economy. Moreover, rules-based regulation, however carefully...

This paper investigates the performance of various multiplier techniques in reducing downside risk for dynamic core-satellite portfolios. Using Monte Carlo simulations calibrated on monthly data for three different portfolios over a ten-year period, we show that the dynamic IR/TE multiplier...

We develop 200 contrarian trading strategies based on signifi cant market variations to test whether it is possible to benefi t from the well-known psychological bias of overreaction that plagues investors. We conduct the most recent and appropriate statistical tests to ensure that none of these...

We assess the integration dynamics on the European carbon futures market at both the intraday and daily levels. We focus on EUA futures contracts that can be traded on three trading platforms: the Intercontinental-European Climate Exchange (ICE-ECX), the NASDAQ OMX (formerly Nord Pool) and the...

Using a large set of trading accounts, we study the determinants of retail investing in passive Exchange Traded Funds (P-ETFs). Controlling for investor characteristics related to their risk-return profile, trading activity, and socio-demographics, we show that the probability and magnitude of...

We put forward the Bond-Equity Yield Ratio (BEYR) as a criterium to dynamically allocate capital between equities and bonds on a short-term basis. Relying upon 30 years of monthly data for a large collection of countries, we use the cointegration, regime-switching and ARMA-GARCH type...

We identify fast trading by directly measuring message traffic and the lifetime of orders for all market members on Euronext using their identification codes. We show that the fast-traded stocks exhibit the weakest decrease in both the relative spread and the cost of round trip trade. These...

We investigate how informative is price dynamics to estimate contemporaneous intraday liquidity on Euronext for three market capitalization classes: small, mid, and large caps. Liquidity is measured by a comprehensive set of both book-based and trade-based proxies. Price dynamics is captured by...

We develop market timing strategies and trading systems to test the intraday predictive power of Japanese candlesticks at the 5-minute interval on the 30 constituents of the DJIA index. Out of 83 Japanese candlestick rules, around a third outperforms the buy-and-hold strategy at the conservative...