We investigate the relation between aggregate trading imbalances and interest rates in the Euro money market. We use data for OTC contracts as well as information from the major electronic trading platform in Europe to study the presence of cointegration between trading pressures and money...

In the past twenty-five years, derivatives markets have grown exponentially. Large, modern derivatives markets increasingly enable investors to hold economic interests in corporations without owning voting rights, and vice versa. This leads to both empty voters — investors whose voting...

There is little evidence on the comparative effectiveness of different competition policy measures, especially in transition economies. This research represents the effort to expand the financial event study method for the assessment of different competition policy measures: merger control,...

We investigate the information cost of stock trading during the 2000 presidential election. We find that the uncertainty of the election induces information asymmetry of politically sensitive firms under the Bush/Gore platforms. The unusual delay in election results in a significant increase in...

In this study, we use both parametric and non-parametric methods to test the property of martingale restriction in KOSPI 200 index options market. Our results provide strong evidence that the property is violated. Further regression analysis and robustness checks suggest that market friction...

The impact of FDI on total factor productivity in Hungary during the 1990s' is assessed with a large enterprise panel. Foreign equity is associated with higher productivity levels and has a substantial, positive spillover effect on aggregate TFP growth. However, this benefit is significant only...

Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to...

In this study, we theoretically investigate the potential role of the reference rate in stabilizing or destabilizing an interbank market with an environment where individual banks cannot fully identify the nature of underlying shocks affecting their interbank transactions. We show that a...

In general, the yield spread between long- and short-term bonds contains useful information for future economic activity and inflation. Particularly, it usually reflects market participants' expectations of future monetary policy and credit demand. However, it is becoming increasingly difficult...

The Istanbul Stock Exchange introduced warrant trading in 2010. Index warrant trading was expected to lower the volatility of the underlying ISE-30 index. This study examines the effect of index warrant trading on the volatility of the index. The research period was divided into two: the...