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Drivers of seasonal return patterns in German stocks

Weigerding, Michael; Hanke, Michael Hanke; Schwetzler, … - In: Business Research 11 (2018) 1, pp. 173-196

Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved...

Persistent link: https://www.econbiz.de/10011817094

Euro area sovereign yield dynamics: the role of order imbalance

Menkveld, Albert J.; Cheung, Yiu Chung; de Jong, Frank - 2004

We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...

Persistent link: https://www.econbiz.de/10011604431

Order flow imbalance effects on the German stock market

Hanke, Michael; Weigerding, Michael - In: Business Research 8 (2015) 2, pp. 213-238

Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on...

Persistent link: https://www.econbiz.de/10011624504

Mapping finance sources for nature-based solutions in Africa

Pettinotti, Laetitia; Quevedo, Adriana - 2023

, countries seeking to identify finance for nature-based solutions must navigate complex fragmented terms and language, as well as … a wide array of public and private finance actors. Such fragmentation has practical implications. African countries face …. Adding to the complexity, finance for nature-based solutions often combines public and private financing. So far, blended …

Persistent link: https://www.econbiz.de/10014435485

Drivers and effects of stock market fragmentation - Insights on SME stocks

Lausen, Jens; Clapham, Benjamin; Gomber, Peter; Bender, … - 2022

We analyze how market fragmentation affects market quality of SME and other less actively traded stocks. Compared to large stocks, they are less likely to be traded on multiple venues and show, if at all, low levels of fragmentation. Concerning the impact of fragmentation on market quality, we...

Persistent link: https://www.econbiz.de/10013465060

Dark trading and financial markets stability

Gonçalves, Jorge; Kräussl, Roman; Levin, Vladimir - 2023

This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to...

Persistent link: https://www.econbiz.de/10013557351

A comprehensive study on bid-ask spread and its determinants in India

Pan, Aritra; Misra, Arun Kumar - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-23

Determinants of bid-ask spread have been explored significantly for low-frequency datasets in many developed markets. Researchers have identified share price, traded volume, market-capitalization, return volatility, and number of trades as the prime spread drivers. However, the validity of these...

Persistent link: https://www.econbiz.de/10014001495

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

Persistent link: https://www.econbiz.de/10010308578

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2005

As of April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We study the effect of this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis is based on a model of limit order trading in which...

Persistent link: https://www.econbiz.de/10010308662

Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk

Völker, Florian; Cremers, Heinz; Panzer, Christof - 2012

Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i.e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and trading a position, we first define market liquidity risk,...

Persistent link: https://www.econbiz.de/10010310853