Search Results - subject:"Intraday Data"

Order aggressiveness, price impact, and investment performance in a pure order-driven stock market

Hung, Pi-Hsia; Chen, An-sing; Wu, Yun-Lin - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 635-660

Persistent link: https://www.econbiz.de/10011470988

Do both US and foreign macro surprises matter for the intraday exchange rate? Evidence from Japan

Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - 2008

No previous study has considered the intraday JPY/USD exchange rate responses to a broad set of comparable news surprises from both the U.S. and Japan. We attempt to fill this gap in the literature by investigating the effects of both U.S. and Japanese news surprises, measured as the difference...

Persistent link: https://www.econbiz.de/10010285337

Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan

Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - Economic Policy Research Unit (EPRU), Økonomisk Institut - 2008

; Intraday Data; Macroeconomic News Effects JEL Classifications: F31; G15; C22 * Corresponding author. Fatum and Hutchison …

Persistent link: https://www.econbiz.de/10005749956

The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data

Hanousek, Jan; Kocenda, Evzen; Kutan, Ali M. - Center for Economic Research and Graduate Education and … - 2008

markets (the Budapest BUX, Prague PX-50, and Warsaw WIG-20), using intraday data and macroeconomic announcements. Our … contribution is twofold. We employ a larger set of macroeconomic data releases than used in previous studies and also use intraday … data, an excess impact approach, and foreign news to provide more reliable inferences. Composite stock returns are computed …

Persistent link: https://www.econbiz.de/10005146517

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Treepongkaruna, Sirimon; … - In: International Review of Financial Analysis 35 (2014) C, pp. 190-206

We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further...

Persistent link: https://www.econbiz.de/10011077782

The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Treepongkaruna, Sirimon; … - In: International Review of Financial Analysis 34 (2014) C, pp. 5-20

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies' (CRAs) sovereign credit re-ratings on European stock and currency return distributions over the period from 1996 to 2012....

Persistent link: https://www.econbiz.de/10010931492

Forecasting EUR-USD implied volatility : the case of intraday data

Dunis, Christian; Kellard, Neil M.; Snaith, Stuart - In: Journal of banking & finance 37 (2013) 12, pp. 4943-4957

Persistent link: https://www.econbiz.de/10010341879

The impact of US macroeconomic news on the Polish stock market

Gurgul, Henryk; Wójtowicz, Tomasz - In: Central European journal of operations research : CEJOR … 22 (2014) 4, pp. 795-817

Persistent link: https://www.econbiz.de/10010437161

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206

Persistent link: https://www.econbiz.de/10010530243

The effects of sovereign rating drifts on financial return distributions : evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20

Persistent link: https://www.econbiz.de/10010520405