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The Determinants of Securities Trading Activity : Evidence from Four European Equity Markets
Camilleri, Silvio John - 2019
PurposeThe main objective of this study is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth, and the distinction between recently-listed firms as...
Persistent link: https://www.econbiz.de/10012866222
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Identification through heteroscedasticity in a multicountry and multimarket framework : the effects of European Central Banks on European financial markets
Hayo, Bernd; Niehof, Britta - 2011
This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....
Persistent link: https://www.econbiz.de/10009125166
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Dependencies between European stock markets when price changes are unusually large
Schich, Sebastian T. - 2002
ungewöhnlich grossen Preisveränderung auf einem Aktienmarkt, wenn eine ungewöhnlich grosse Preisveränderung auf einem anderen Markt … starker gegenseitiger Abhängigkeit in Bezug auf den deutschen Aktienmarkt, während die Aktienmärkte in Grossbritannien und … Italien weniger eng mit dem deutschen Aktienmarkt verbunden sind. Viertens sind die Abhängigkeiten zwischen zwei Märkten …
Persistent link: https://www.econbiz.de/10011431447
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Dependencies between European stock markets when price changes are unusually large
Schich, Sebastian T. - 2002
The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an...
Persistent link: https://www.econbiz.de/10001667434
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Impact of Brexit vote on the London stock exchange : a sectorial analysis of its volatility and efficiency
Arshad, Shaista; Rizvi, Syed Aun Raza; Haroon, Omair - In: Finance research letters 34 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012436576
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Stock Market Impact of Sovereign Credit Rating Announcements : The Case of GIIPS and BRIC Countries During the European Sovereign Debt Crisis of 2009-2013
Paterson, Alexander - 2014
In this study, we analyze the effects of sovereign credit rating reviews on national stock market performances in GIIPS and BRIC countries during the European Sovereign Debt Crisis of 2009-2013. Through an event study, we test the Null Hypothesis that cumulative abnormal returns on national...
Persistent link: https://www.econbiz.de/10013060066
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Informed corporate credit market before monetary policy surprises : explaining pre-FOMC stock market movements
Abdi, Farshid; Wu, Botao - 2018
We show that U.S. corporate bond market movements during the days preceding FOMC announcements can predict monetary policy surprises, as well as the pre-FOMC stock market movements. Starting several days before an expansionary (contractionary) surprise in FOMC decisions, corporate bond prices...
Persistent link: https://www.econbiz.de/10011993517
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Stock Market Returns and GDP News
Patatoukas, Panos N. - 2019
What is the link between stock returns and news about economic growth? Using consensus forecasts from the Philadelphia Fed's Survey of Professional Forecasters, I find that the univariate association between stock returns and GDP growth forecast surprises is indistinguishable from zero. While...
Persistent link: https://www.econbiz.de/10012904757
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Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements
Scholtus, Martin L. - 2014
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 ETF traded on NASDAQ from January 6, 2009, to December 12, 2011, we find that a delay of 300 milliseconds (1...
Persistent link: https://www.econbiz.de/10013065074
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Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News
Pinchuk, Mykola - 2022
This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is highly time-varying and is weaker during periods of high...
Persistent link: https://www.econbiz.de/10014235404