We examine the relationship between broker network connectivity and stock returns in an order-driven market. Considering all stocks traded in Borsa Istanbul between January 2006 and November 2015, we estimate the monthly density, reciprocity and average weighted clustering coefficient as proxies...

We investigate the dynamics of return and liquidity (co)jumps for three of the most traded emerging market currencies vis-à-vis US dollar. We find that an increase in the average bid-ask spread significantly reduces the duration between consecutive return jumps, while liquidity and volatility...

We introduce a continuous time model for stock prices in a general factor representation with the noise driven by a geometric Brownian motion process. We derive the theoretical hitting probability distribution for the long-until-barrier strategies and the conditions for statistical arbitrage. We...

We propose an extended SVAR model to investigate the responses of the macroeconomic volatility to financial uncertainty shocks. The empirical model features the time-varying stochastic volatility-in-mean process where parameters allow for (i) the bilateral simultaneity between the shocks hitting...

This paper focuses on developments in the European Economic and Monetary Union sovereign debt markets in the past decade. The ?rst part analyzes the integration and segmentation structure of the bond markets of the Economic and Monetary Union before and after the sovereign debt crisis, by...

Using dynamic conditional correlations and networks, we bring a novel framework to define the integration and segmentation of emerging countries. The individual EMBI+ spreads of 13 emerging countries from 01/2003 to 12/2013 are used to compare their interaction structure before (phase 1) and...

We focus on the developments in the EMU sovereign debt markets in the last decade. First, we show the integration structure of the EMU bond markets before and after the sovereign debt crisis. Accordingly, a fair integration is observed between EMU bond markets during the pre-crisis period....

Taking the cost of trading as a liquidity proxy, we provide evidence of commonality in liquid-ity and look for sources of it in an emerging market, Turkey. We show that the commonality in non-index stocks is higher than the commonality in index stocks. As the position size to trade increases,...

We analyze the dynamic comovement of commodity futures returns within each category (energy, precious metals, industrial metals, and agriculture) from 1997 to 2013 under the eects of the nancialization of commodity markets. Our findings from the dynamic equicorrelation GARCH model of ? show...

The aim of this paper is to obtain some statistical properties about runs of daily returns of ISE30, ISE50 and ISE100 indices and compare these results with the empirical stylized facts of developed stock markets. In this manner, all time historical daily closing values of these indices are...