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Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?

Chakravarty, Sugato; Harris, Frederick H. deB.; Wood, … - EconWPA - 2002

This paper investigates the order in which new information is first reflected in the market – through changes in … show that indeed depths rather than spreads are first to impound new information that leads to new quote trends …. Specifically, (bid and ask) depths convey information first in virtually every stock in both years, while spreads almost never …

Persistent link: https://www.econbiz.de/10005556280

Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays

Sansone, Alessandro; Garofalo, Giuseppe - EconWPA - 2005

agents who process information from the market with different time delays. Each class of investors is characterized by path … strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between …

Persistent link: https://www.econbiz.de/10005413058

Return-volatility linkages in the international equity and currency markets

Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - EconWPA - 2004

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross- autocorrelations...

Persistent link: https://www.econbiz.de/10005413091

An Analysis of the Impacts of Non-Synchronous Trading On

Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2005

The serial correlation effects which non-synchronous trading can induce in financial data have been documented by various researchers. In this paper we investigate non-synchronous trading effects in terms of the predictability that may be induced in the values of stock indices. This analysis is...

Persistent link: https://www.econbiz.de/10005413096

Herding and Contrarian Behavior in Financial Markets - An Internet Experiment

Drehmann, Mathias; Oechssler, Joerg; Roider, Andreas - EconWPA - 2002

We report results of an internet experiment designed to test the theory of informational cascades in financial markets. More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that...

Persistent link: https://www.econbiz.de/10005413109

Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets

Altay, Erdinc - EconWPA - 2003

-specific information effects on portfolio returns shows that above stated lead-lag relation is associated with the market-wide information … of adjustment of small cap portfolio prices to common market-wide information is slower than large cap portfolio prices …

Persistent link: https://www.econbiz.de/10005413132

Analysis of UAE Bank Stocks

Rao, Ananth - EconWPA - 2003

Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity, establishing a value for the firm etc. The present paper analyses stocks of six commercial banks (viz., Dubai Commercial Bank, Emirates Bank International, National Bank of Dubai,...

Persistent link: https://www.econbiz.de/10005413135

When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!

Los, Cornelis A. - EconWPA - 2004

Portfolio diversification may not always lower the portfolio risk, but may actually increase it. It depends on the long memory and distributional stability characteristics of the underlying rates of return. This disturbing result is based on the theoretical Fama- Samuelson proposition of...

Persistent link: https://www.econbiz.de/10005413142

The Impact of the Suspension of Opening and Closing Call

Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2004

A hotly debated issue in the market microstructure literature is the effectiveness of call auctions as against continuous trading systems. In this paper we investigate this issue by studying the impact of the suspension of opening and closing call auctions by the National Stock Exchange of India...

Persistent link: https://www.econbiz.de/10005413175

Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data.

Camilleri, Silvio John - EconWPA - 2005

Researchers often assume that stock market indices are the best possible yardstick in terms of market efficiency. The paper investigates this concept using data from the Malta Stock Exchange (MSE). The fact that a significant number of MSE shares do not trade everyday, may imply that the most...

Persistent link: https://www.econbiz.de/10005413203