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An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures

Hiraki, Takato; Maberly, Edwin D. - 2000

This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative...

Persistent link: https://www.econbiz.de/10010397505

The chronology of Brexit and UK monetary policy

Geiger, Martin; Güntner, Jochen - 2022

on UK stock prices, exchange rates, and economic policy uncertainty to construct a novel instrument for Brexit shocks …. Including a monthly aggregate of this time series into a vector-autoregressive model of the UK economy, we find that Brexit … which we shut down the endogenous response of UK monetary policy to Brexit shocks, reveals that the Bank of England fended …

Persistent link: https://www.econbiz.de/10014278329

Biased forecasts to affect voting decisions? The Brexit case

Cipullo, Davide; Reslow, André - 2019

using high-frequency data at the forecaster level surrounding the Brexit referendum. The results show that forecasters with …

Persistent link: https://www.econbiz.de/10012013528

Human vs. machine: Disposition effect among algorithmic and human day traders

Liaudinskas, Karolis - 2022

This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...

Persistent link: https://www.econbiz.de/10013373836

The growing importance of investment funds in capital flows

Schmidt, Richard; Yeşin, Pınar - 2022

In this paper, we first document the growing importance of foreign-domiciled investment funds in countries' portfolio liabilities over time and then show empirical evidence that cross-border fund flows are coincident with asset price movements. To measure the external liabilities of countries to...

Persistent link: https://www.econbiz.de/10013531823

Hawks vs. Doves: ECB's monetary policy in light of the Fed's policy stance

Hauzenberger, Niko; Huber, Florian; Zörner, Thomas - 2023

The secular increase in globalization led to a substantial increase in the interconnectedness of global financial markets. This has important implications for the conduct of monetary policy, as central bank policies may diverge across countries, potentially affecting key transmission channels of...

Persistent link: https://www.econbiz.de/10014476241

Degreasing the wheels of finance

Berentsen, Aleksander; Huber, Samuel; Marchesiani, … - 2012

Can there be too much trading in financial markets? To address this question, we construct a dynamic general equilibrium model, where agents face idiosyncratic preference and technology shocks. A financial market allows agents to adjust their portfolio of liquid and illiquid assets in response...

Persistent link: https://www.econbiz.de/10010316859

ECB worries/European woes: The economic consequences of parochial policy

Barbera, Robert J.; Holtham, Gerald - 2012

Financial market crises with the threat of a subsequent debt-deflation depression have occurred with increasing regularity in the United States from 1980 through the present. Almost reflexively, when confronted with such circumstances, US institutions and the policymakers that run them have...

Persistent link: https://www.econbiz.de/10010318632

Investment, financial markets, and uncertainty

Arestis, Philip; González, Ana Rosa; Dejuán, Óscar - 2012

This paper provides a theoretical explanation of the accumulation process, which accounts for the developments in the financial markets over the recent past. Specifically, our approach is focused on the presence of correlations between physical and financial investment, and how the latter could...

Persistent link: https://www.econbiz.de/10010318663

On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness

Diebold, Francis X.; Yılmaz, Kamil - 2022

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.

Persistent link: https://www.econbiz.de/10014540961