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High-speed technology trading innovations and capital market performance in Bulgaria
Stefanova, Julia - In: Financial studies 22 (2018) 2, pp. 6-37
, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …
Persistent link: https://www.econbiz.de/10011964945
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A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?
Schmidt, Robert; Leitner, Johannes - 2004
The study at hand deals with the expectations of professional analysts and novices in the context of foreign exchange markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences between professional forecasts and judgmental forecasts...
Persistent link: https://www.econbiz.de/10010296526
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Structural stochastic volatility in asset pricing dynamics : estimation and model contest
Franke, Reiner; Westerhoff, Frank H. - 2011
structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and …
Persistent link: https://www.econbiz.de/10009007642
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Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …
Persistent link: https://www.econbiz.de/10010407529
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Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2010
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10008689040
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2011
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10009355200
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2010
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10008699195
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The effect of oil price: shocks on asset markets : evidence from oil inventory news
Alquist, Ron; Ellwanger, Reinhard; Jin, Jianjian - 2020 - Last updated: March 23, 2020
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/08 crisis but increase after it. Positive oil price shocks cause a...
Persistent link: https://www.econbiz.de/10012181225