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This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday data for 8 different stock market indices. Second, a range...
Persistent link: https://www.econbiz.de/10012286218
The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The values of liquidity measure and explanatory variables were calculated from the limitorder book dataset for almost five hundred bonds from six largest euro area sovereign bond...
Persistent link: https://www.econbiz.de/10011989217
This paper introduces Information Theoretic - based methods for estimating a target variable in a set of small … level, and then of employing the estimated coefficients to obtain the sub-group level indicators. The Information Theoretic …-sample information from theory and/or empirical evidence can be introduced in the form of known probabilities by means of the cross …
Persistent link: https://www.econbiz.de/10011548719
This study analyzes investors' perception of placebic information and its impact on stock price estimates. We initiate … show that placebic information increases the perceived amount of relevant information. Individual participants …' characteristics, such as gender, financial knowledge or overconfidence, do not affect these findings. Placebic information does not …
Persistent link: https://www.econbiz.de/10012426318
:1091-1096, 2018) that is able to generate realistic stock-price dynamics (in terms of level trajectories and volatility paths …
Persistent link: https://www.econbiz.de/10012287533
novel call auction model with insider information. Our model predicts that more insider information improves informational … of insider information the call auction performs worse than continuous double auction. Testing these hypotheses in the … lab we find that insider information increases informational efficiency of call auction prices but does not decrease the …
Persistent link: https://www.econbiz.de/10012437539
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-related information be stored. These companies understand well that large amount of the user's movement and physiological monitoring data … are valuable, because each user's information can be a unique sample. As soon as the smart bracelet companies collect …
Persistent link: https://www.econbiz.de/10011760333
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