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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?

Auer, Benjamin R.; Rottmann, Horst - 2018

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

Persistent link: https://www.econbiz.de/10011897589

The offshore renminbi exchange rate : microstructure and links to the onshore market

Cheung, Yin-Wong; Rime, Dagfinn - 2014

The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order...

Persistent link: https://www.econbiz.de/10010367171

Terrorist attacks and financial markets

Bonekamp, Bas; Veen, Tom van - 2017

This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin(2016) on the stock indices of the...

Persistent link: https://www.econbiz.de/10011602465

The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

Persistent link: https://www.econbiz.de/10012625628

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015158136

Central bank swap lines

Bahaj, Saleem; Reis, Ricardo - 2018 - First draft: October 2017

Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This paper analyses their monetary policy effects from three perspectives. First, from the perspective of the central banks, it shows that the swap line mimics discount-window credit...

Persistent link: https://www.econbiz.de/10011867130

Global liquidity, risk premiums and growth opportunities

De Nicolò, Gianni; Ivaschenko, Iryna V. - 2009

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

Persistent link: https://www.econbiz.de/10003824684

Rumors and runs in opaque markets : evidence from the panic of 1907

Fohlin, Caroline; Gehrig, Thomas; Haas, Marlene - 2016

impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …

Persistent link: https://www.econbiz.de/10011522131

Non-standard errors

Menkveld, Albert J. - 2021

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation...

Persistent link: https://www.econbiz.de/10012696895

Trading with the informed and against the uninformed : flows and positioning in the global currency market

Barrios, Aldo; Franolic, Rob; Giovanardi, Davide; … - 2022

speculative strategies, while the latter trade for liquidity needs. The implication is we trade in the direction of the funds … yields positive risk-adjusted performance. Incorporating the liquidity trades signal improves risk-adjusted performance and …

Persistent link: https://www.econbiz.de/10013362763