Similar Search Results

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017

We show that the excessive use of hidden orders causes artificial price pressures and abnormal asset returns. Using a simple game-theoretical setting, we demonstrate that this effect naturally arises from mis-coordination in trading schedules between traders, when suppliers of liquidity do not...

Persistent link: https://www.econbiz.de/10011697233

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Persistent link: https://www.econbiz.de/10011663407

Shorting the dollar when global stock markets roar : the equity hedging channel of exchange rate determination

Ben Zeev, Nadav; Nathan, Daniel - 2023

Persistent link: https://www.econbiz.de/10014486893

Market depth and order size : an analysis of permanent price effects of DAX futures' trades

Kempf, Alexander; Korn, Olaf - 1998

In this paper we empirically analyze the permanent price impact of trades by investigating the relation between unexpected net order flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network model suggests that the assumption of a linear impact...

Persistent link: https://www.econbiz.de/10013428144

Securities lending and information acquisition

Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

Persistent link: https://www.econbiz.de/10014501098

The effect of insider trading by a dominant trader in a simple securities market model

Altuğ, Sumru - 1985 - Rev.

Persistent link: https://www.econbiz.de/10003468530

Price dynamics and trader overconfidence

Ahrens, Steffen; Bosch-Rosa, Ciril; Roulund, Rasmus Pank - 2019

Overconfidence is one of the most important biases in financial markets and commonly associated with excessive trading and asset market bubbles. So far, most of the finance literature takes overconfidence as a given, "static" personality trait. In this paper we introduce a novel experimental...

Persistent link: https://www.econbiz.de/10012034133

Simultaneity and causality between derivatives trading and spot market volatility in the UK : an empirical investigation

Kyriacou, Kyriacos; Sarno, Lucio - 1998

Persistent link: https://www.econbiz.de/10001586825

Does uncertainty reduce growth? : using disasters as natural experiments

Baker, Scott; Bloom, Nicholas - 2013

Persistent link: https://www.econbiz.de/10010191904