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Fed Tails : FOMC Announcements and Stock Market Uncertainty

Beckmeyer, Heiner; Branger, Nicole; Gruenthaler, Thomas - 2021

Uncertainty and monetary policy decisions in the U.S. interact with one another. Contrary to the common notion that FOMC announcements resolve a non-trivial amount of economic uncertainty, we find that the announcement commands a sizable left-tail premium, which builds up a few days in advance....

Persistent link: https://www.econbiz.de/10013228844

The impact of stock market structure on volatility : evidence from a call auction suspension

Camiller, Silvio John - In: International journal of financial research 6 (2015) 2, pp. 44-53

Persistent link: https://www.econbiz.de/10011404766

Does Cross-Border Equity Trading Destabilize the Stock Market : Evidence from Chinese Stock Markets

Bian, Jiangze - 2020

listed in Hong Kong (southbound). There is a positive (negative) cross-sectional relationship between volatility of connected …

Persistent link: https://www.econbiz.de/10012838619

The Equity Market and Its Price Discovery Risk : An Empirical Study for the CAC40 Stock Market Index

Gillet, Roland L. - 2018

stocks, the paper focuses on the study of the monthly evolution of normalized volatility ratios on Euronext Paris for the CAC … normalized volatility ratio is used as a measure of the market quality from the point of view of price discovery. A significant …-hour number of trades and the monthly average number of transactions are significant explanatory variables of the volatility …

Persistent link: https://www.econbiz.de/10012923999

What Drives the Amount of Capital Raised at IPO? Evidence from the Warsaw Stock Exchange

Dudycz, Tadeusz - 2018

This paper examines the impact of market timing and legal changes in 2005, aimed at aligning Polish regulations on financial markets with the UE standards, on the amount of capital raised at initial public offerings (IPOs) on the Warsaw Stock Exchange. We find that although during IPOs firms...

Persistent link: https://www.econbiz.de/10012934305

How effective are stock market reforms in emerging market economies? : evidence from a panel VAR model of the Indian stock market

Bhaumik, Sumon Kumar; Chakrabarty, Manisha; Kutan, Ali … - 2018

The paper uses a panel VAR framework to estimate the impact of a series of reforms aimed at reducing transactions cost and information cost in India’s secondary market for equity, on trading cost and trading volume. In particular, we focus on the reforms that were introduced after the creation...

Persistent link: https://www.econbiz.de/10012163063

The effects of physical and transition climate risk on stock markets : some multi-country evidence

Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2024

This paper examines the impact of transition and physical climate risk on stock markets using, for the first time in this context, the annual CCPI index calculated by Germanwatch as well as its components (in addition to a wide range of other indices) for 48 countries from 2007 to 2023....

Persistent link: https://www.econbiz.de/10014564303

The pre-open call auction trading mechanism and its efficiency : a study on BSE sensex stocks

Mallikarjunappa, T.; Harush, S. N. - In: The IUP journal of applied finance : IJAF 22 (2016) 1, pp. 50-61

Persistent link: https://www.econbiz.de/10011536909

Reexamining the impact of closing call auction on market quality : a natural experiment from the Shanghai stock exchange

Han, Qian; Zhao, Chengzhi; Chen, Jing; Guo, Qian - In: Pacific-Basin finance journal 74 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013389486

Do Short Selling Restrictions Destabilize Stock Returns? Lessons from Taiwan

Bohl, Martin T. - 2011

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

Persistent link: https://www.econbiz.de/10013125910