This paper investigates the role of political crises in explaining the degree of stock market integration in emerging markets over the period 1991–2006. Using the International Crisis Behavior database, which contains detailed information on political crises around the world, and employing...

Employing a unique data set provided by Governance Metrics International, which rates firms using six different corporate governance dimensions, we analyze whether Japanese firms with many governance provisions have a better corporate performance than firms with few governance provisions....

The aim of this paper is to assess to what extent intraday data can explain and predict end-of-the-day volatility. Using a realized volatility measure as proposed by Andersen, T., T. Bollerslev, F. Diebold, and P. Labys. 2001. The distribution of realized exchange rate volatility. Journal of the...

<section xml:id="fut21652-sec-0001"> This study examines the informativeness of trades and quotes in the FTSE 100 index futures market. Using a tick time model, we decompose the innovation in the efficient price into a trade‐induced and a quote‐induced part. For the extensive time period from 2001 to 2011, we find that trades...</section>

This discussion paper resulted in a publication in the 'Journal of Banking and Finance', 2014, 38, 89-105.<P> This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500...</p>

This study develops an implied volatility index for the Australian stock market, termed as the AVX, and assesses its information content. The AVX is constructed using S&P/ASX 200 index options with a constant time‐to‐maturity of three months. It is observed that the AVX has a significant...

While countries have been more than willing to regulate insider trading it is an open question as to whether this has resulted in improvements for those markets. In particular lawmakers have had to largely structure the legal regimes with little guidance as to what makes an effective insider...

Purpose – This paper aims to investigate whether completed vs withdrawn equity offerings result in different stock price performance prior to announcement and between announcement and withdrawal or completion. Design/methodology/approach - Investigates stock price performance prior to equity...

Purpose -The purpose of this paper is to investigate the impact of individual investor sentiment on the return process and conditional volatility of three main US market indices (Dow Jones Industrial Average, S&P500 and Nasdaq100). Individual investor sentiment is measured by aggregate money...

This paper examines whether trading based on market sentiment can explain mispricing in S&P 500 options. We test the heterogeneous agent s option pricing model developed in Frijns et al. (2010), where our agents have different beliefs about the future level of market volatility and trade...