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Hendershott, Terrence; Menkveld, Albert J. - 2010

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

Persistent link: https://www.econbiz.de/10010303739

Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence

Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard variance ratio'' approach,...

Persistent link: https://www.econbiz.de/10010324874

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - 2013

both current and past market returns. Using various time-varying volatility models to accommodate conditional … causality-in-variance is used to analyse if volatility among small traders spills over into spot markets, it is found that …

Persistent link: https://www.econbiz.de/10010326188

Does volatility matter? Expectations of price return and variability in an asset pricing experiment

Bottazzi, Giulio; Devetag, Giovanna; Pancotto, Francesca - 2009

period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …

Persistent link: https://www.econbiz.de/10010328471

Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012

price volatility in agricultural markets to rise. Rather, fundamental factors are made responsible for this. Therefore, most …

Persistent link: https://www.econbiz.de/10011733840

Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012

volatility in agricultural markets to rise. Rather, fundamental factors are responsible for this. Therefore, most papers are not …

Persistent link: https://www.econbiz.de/10011733841

Does financial speculation with agricultural commodities cause hunger? A reply to our critics

Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2013

As a reply to our critics, we show that Bozorgmehr et al. (2013) have (a) misunderstood, (b) misread, and (c) misinterpreted the literature review by Will et al. (2012).

Persistent link: https://www.econbiz.de/10011733867

Measuring the effect of the North Korea-U.S. summit on the South Korean stock market

Al-Hares, Osama M.; Ramiah, Vikash; Moosa, Nisreen; … - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-22

We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018. Employing the event study methodology, we estimate sectoral abnormal returns following the events surrounding the summit and conduct several...

Persistent link: https://www.econbiz.de/10014001435

Application of stochastic optimal control to financial market debt crises

Stein, Jerome L. - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10010276757

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10010295747