This paper investigates the presence of Gone Fishin’ Effects on the Romanian Capital Market from January 2000 to July 2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to reveal this seasonality not only on indexes returns but...

Asymmetric information is a relevant concept for studying and understanding financial markets. In this paper we discus the effect of asymmetric information on the borrower–lender relationship. The presence of asymmetric information in financial markets leads to adverse selection, moral hazard,...

Bond markets in emerging markets are illiquid as investors and issuers grapple with major microstructure and legal issues. The importance of bond markets as a source of finance has increased during the economic slowdown as companies diversified away from reliance on banks for funding and many...

Over the periods 1998-2002 and 2009-2011, the S&P-500 Index went from persistence to anti-persistence mode, as measured by the Hurst index H. To uncover the reasons that characterize such a change, this paper uses a simple method that consists in treating quasi self-similar segments of the Index...

Optimal execution of large orders is examined within the technical framework of High-Frequency Trading (HFT). A sample model is proposed, which extends an existing strategy through HFT means like time slicing with random splitting of the order volume and time shifting. As this strategy brings...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998–2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target...

Why companies give up to substantial sums of money when, durring an Initial Public Offer (IPO), they sell securities at a lower price, compared to the one obtained at the end of the first trading session, is an intensely debated question in the literature. After we systematize the main theories...

This article was started with the theoretical approach of the general economic crisis, the increase/decrease model, by using the process of the money becoming, merchandise money and fiat money. During the time of fiat money there was a break between the material substances from the symbolic...

The present work proposes to realize a complex research of the investment in view of current conditions characterized by a global economic crisis. A special attention will be given to the opportunity and the efficiency of the investment as an instrument in the management decision for the...