Purpose of this paper - The current paper aims to analyze the impact of the debt crisis on the FTSE / ASE 20 index volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the seasonality returns (Day-of-the-Week effect) and the...

This paper documents a relation between the shareholder base and payout policy. Consistentwith the idea that the shareholder base is related to the cost of external financing we find thatfirms with small shareholder bases have lower payout levels and maintain higher cash holdingsthan firms with...

The writing of this article predates by several months the failure of Silicon Valley Bank and the takeover of Credit Suisse which occurred in March 2023. It does not represent the views of the European Central Bank (ECB) and should not be construed as linked to or an advice for the winding down...

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...

This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations from the law of one price (LOP) in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition ('round-trip arbitrage') and...

This paper investigates the validity of the law of one price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for borrowing and lending services (`one-way arbitrage'). Using a unique data set for three major capital and...

Using ten years of FX transactions data we demonstrate that a large share of the FX forward discount bias can be accounted for by order flow. A simple microstructure-based decomposition suggests that order flow creates a timevarying risk premium that is correlated with the forward discount. The...

Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its...

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationships between major currency and equity markets.Using a multivariate GARCH framework, we examine conditional cross-autocorrelations between...