This paper investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the Samp;P 500 and the Nikkei 225. Devolatised returns and realised volatilities are modeled separately...

This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the Samp;P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the...

We analyze liquidity provision on Kraken, one of the major cryptocurrency exchanges, and compare the results to the foreign exchange (FX) and the stock market, recognizing that Bitcoin has originally been designed as a digital currency and evolved to an investment. In a first step, we...