I address the role of information heterogeneity in the Euro interbank market for unsecured term lending. I use high-frequency quotes of bid and ask prices to estimate probabilities of informed trading for contract maturities from one month to one year. The dataset spans from November 2000 to...

Our day to day study of the Romanian stock market during the period July 2007 – September 2009 revealed in many cases a specific behavior. Although all the emerging markets from the region evolved in correlation with the more established exchanges, the negative impact of the crisis on our...

Taiwan Top 50 Tracker Fund (TTT) is the first Exchange Traded Fund (ETF) in Taiwan. This study investigates the impact of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage hypothesis that the liquidity of the constituents is...

The restriction of short-sale prices, which stated that short-sale prices must not be lower than the closing price of the previous trading day, no longer applies to the constituent stocks of the Taiwan Top 50 Index. This study investigates the abnormal returns and volatility changes of those...

We develop a dynamic model of order submission strategies in an order-driven market, where traders differ in their share valuations. Our model shows that several factors influence the uninformed trader¡¦s choice of order to submit: the market price, the expected asset value, the probability of...

We develop a model of insider trading where agents have private information either about liquidation value or about supply and behave strategically to maximize their profits. The supply informed trader plays a dual role in market making and in information revelation. This trader not only reveals...

While herding has long been suspected to play a role in financial market booms and busts, theoretical analyses have struggled to identify conclusive causes for the effect. Recent theoretical work shows that informational herding is possible in a market with efficient asset prices if information...

This paper analyzes capital market reactions to international bank M&A. We investigate combined stock return patterns of targets, bidders, and their peers upon takeover announcement, and closing or withdrawal. We distinguish five common M&A hypotheses and relate characteristic and mutually...

Since 1 January 2002, consumers have been paying with euro banknotes and coins everywhere in the euro area, irrespective of the country, but non – cash payments between two countries continued to be expensive and complicated. Because of this fact, further integration was needed. To push the...

Mankind consume more and more information. These are different information for different decisions. There are different users, information consumers, but all of them have a common purpose, that of wellbeing and good. People want, wanted and shall want to live better, to do things better, to...