What role does noise play in equity markets? Answering this question usually leads immediately to specifying a model of fundamentals and hence the pervasive joint hypothesis quagmire. We avoid this dilemma by measuring noise volatility directly by focusing on the behavior of country closed-end...

While the paper touches upon the experience of most transition economies in Eastern and Central Europe, it focuses on the creation and functioning of capital market development in four countries in the region, namely, the Czech Republic, Hungary, Poland and Slovenia. Capital market in these four...

This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of the volatility itself has not changed between the...

This research examines the relationship between firm-specific liquidity and both information asymmetry and divergence of opinion, within the context of different trading system (i.e. floor versus electronic), for UK, Swiss and German stock markets. By using both univariate and multivariate...

The paper examines the impact of margins, adjusted for underlying price risk proxied by market volatility, on trading volume and at the same time incorporates the relationship between trading volume and price volatility documented in equities and futures markets. The study estimates bivariate...

We find a strong link between Congressional activity and stock market returns that persists even after controlling for known daily return anomalies. Stock returns are lower and volatility is higher when Congress is in session. This quot;Congressional Effectquot; can be quite large - more than...

Various seasonal patterns in stock markets have been shown that disappeared, or at least substantially weakened, since they were first documented in 1980s. To detect whether calendar anomalies are still alive or not, this paper investigates all types of seasonalities such as the day-of-the week,...

Despite continued attempts by regulators to curtail abusive short sales and increase transparency, the pattern and practice of fraudulent manipulation continues to proliferate and threaten the capitalization of a wide variety of issuers within the securities market. Identifying a meaningful...

We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case for risk-averse agents. In the equilibrium models of...

We study the speculative value of a finitely lived asset when investors disagree and short sales are limited. In this case, investors are willing to pay a speculative value for the resale option they obtain when they acquire the asset. Using martingale arguments, we characterize the equilibrium...