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Johannsen, Kolja - 2017

Toxic arbitrage opportunities are caused by information arriving in one market leading to short lived price deviations … between markets. This paper shows that the direction of such arbitrage opportunities provides valuable insights into price … unbiased measure of information shares based on the frequency of toxic arbitrage opportunities. This measure has several …

Persistent link: https://www.econbiz.de/10012958938

On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes

Framstad, Nils Chr. - 2011

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …

Persistent link: https://www.econbiz.de/10010330249

Competitiveness in the Ukrainian Stock Market and Local Crisis of 2013–2015

Plastun, Oleksiy - 2018

This paper investigates competitiveness in the Ukrainian stock market during local crisis of 2013–2015. The following hypothesis is tested: crisis decreases competitiveness in the stock market. The analysis is carried out for the most liquid stocks in the Ukrainian Exchange (UX) over the...

Persistent link: https://www.econbiz.de/10012920837

COVID-19 and Its Initial Signaling Effects on the Stock Markets of India, Switzerland, Taiwan and Brazil - A Comparative Analysis of the Change in the Stock Market Indices during the Initial Period of Pandemic in the Respective Countries

Mehta, Jasmine; Singhania, Paridhi - 2021

The world economies are highly integrated to each other. Events that occur in other economies has an impact on the stock market of a particular country. Many of the events act as financial signals and affects stock market. The purpose of this paper is to conceptualize the views and analysis of...

Persistent link: https://www.econbiz.de/10014361712

Information Content of Stocks in Call Auction of Shorter Duration in Emerging Market

Bag, Dinabandhu - 2021

Pre-open auctions have been widely implemented across trading exchanges. Pre-open auctions tend to reduce information asymmetry and trading risks. Call auctions have been encouraged to enhance price discovery. This paper explores the shifts in information content of the pre-market auction...

Persistent link: https://www.econbiz.de/10013232642

Stock market analysis : a review and taxonomy of prediction techniques

Shah, Dev; Isah, Haruna; Zulkernine, Farhana - In: International Journal of Financial Studies : open … 7 (2019) 2/26, pp. 1-22

Stock market prediction has always caught the attention of many analysts and researchers. Popular theories suggest that stock markets are essentially a random walk and it is a fool’s game to try and predict them. Predicting stock prices is a challenging problem in itself because of the number...

Persistent link: https://www.econbiz.de/10012038738

When Can Decision Makers Learn from Financial Market Prices?

Siemroth, Christoph - 2019

I analyze a general setting where a policy maker needs information that financial market traders have in order to implement her optimal policy, and market prices can potentially reveal this information. Policy decisions, in turn, affect asset values, hence forward looking traders may have...

Persistent link: https://www.econbiz.de/10012901775

An Investigation of Return and Volatility Linkages Among Stock Markets : A Study of Emerging Asian and Selected Developed Countries

Bhowmik, Roni - 2019

This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India, China, Bangladesh, Malaysia, Philippine, and South Korea) stock markets and developed (e.g., United States, United Kingdom, Japan, and Singapore) stock markets. During the sample...

Persistent link: https://www.econbiz.de/10012895619

Pricing Variance and Volatility Swaps for Barndorff-Nielsen and Shephard Process Driven Financial Markets

Habtemicael, Semere - 2016

The objective of this paper is to study the arbitrage free pricing of variance and volatility swaps for Barndorff …-Nielsen and Shephard type Lévy process driven financial markets. One of the major challenges in arbitrage free pricing of swap is …

Persistent link: https://www.econbiz.de/10012981934

The Informational Content of Prices When Policy Makers React to Financial Markets

Siemroth, Christoph - 2018

for the possibility of information revelation in equilibrium, which might not be possible if the policy reaction to prices …

Persistent link: https://www.econbiz.de/10012937900