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Competition Among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2019

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

Persistent link: https://www.econbiz.de/10012868588

High Frequency Trading and Fragility

Cespa, Giovanni - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions traders demand more liquidity...

Persistent link: https://www.econbiz.de/10012963014

Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro Area

Beetsma, Roel - 2017

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

Persistent link: https://www.econbiz.de/10012956251

High Frequency Trading and Price Discovery

Brogaard, Jonathan - 2013

the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done …

Persistent link: https://www.econbiz.de/10013074385

A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility

Hillebrand, Eric T.; Schnabl, Gunther - 2021

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

Persistent link: https://www.econbiz.de/10013317566

The Political Economy Under Monetary Union : Has the Euro Made a Difference?

Fratzscher, Marcel; Stracca, Livio - 2021

Economic and Monetary Union (EMU) has transformed Europe and has created an integrated pan-European economy. Much research has focused on understanding this integration process and what benefits and costs it entails. This paper identifies a political economy channel of EMU as the monetary union...

Persistent link: https://www.econbiz.de/10013316460

Global Crises and Equity Market Contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2021

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...

Persistent link: https://www.econbiz.de/10013315979

Large Global Volatility Shocks, Equity Markets and Globalisation : 1885-2011

Mehl, Arnaud - 2015

I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre … significant increases in unanticipated volatility in US equity markets, which I relate to well-known historical events. My …

Persistent link: https://www.econbiz.de/10013035639

Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?

Kurov, Alexander - 2016

We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...

Persistent link: https://www.econbiz.de/10012992424

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

Persistent link: https://www.econbiz.de/10013154956