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The economics of bitcoins : market characteristics and price jumps

Gronwald, Marc - 2014

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10010464707

Oil market efficiency, quantity of information, and oil market turbulence

Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024

This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the Random Walk benchmark which represents an efficient...

Persistent link: https://www.econbiz.de/10014490913

Aggregate insider trading and stock market volatility in the UK

Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …

Persistent link: https://www.econbiz.de/10014304456

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on …

Persistent link: https://www.econbiz.de/10010417491

Oil prices, exchange rates and asset prices

Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10009748353

Volume and volatility in the FX-market : does it matter who you are?

Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon - 2002

The relationship between volume and volatility has received much attention in the the literature of financial markets … the impact of volume on volatility in the the FX-market using a unique data set of daily trading in the Swedish krona (SEK … depict a positive correlation with volatility. However, the strength of the relationship depends on the instrument used and …

Persistent link: https://www.econbiz.de/10011539127

Macro news and exchange rates in the BRICS

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016

03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the … global role of these countries, their FX markets have become more responsive to foreign news. …

Persistent link: https://www.econbiz.de/10011422554

Exchange rates and macro news in emerging markets

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

Persistent link: https://www.econbiz.de/10011444455

International portfolio flows and exchange rate volatility for emerging markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

Persistent link: https://www.econbiz.de/10011387464

Volatility spillover between oil prices and main exchange rates : evidence from a DCC-GARCH-Connectedness approach

Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024

contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from …; during COVID-19; and during the Russian‒Ukrainian war. Our results confirm the persistence of volatility for the series … volatility transmission between oil prices and exchange-rate markets. However, the COVID-19 pandemic and the Russian …

Persistent link: https://www.econbiz.de/10014490828