During the past two decades, financial markets across the globe have experienced sporadic waves of crashes. Such waves raise concerns about the vulnerability of global financial markets and the transmission mechanisms of shocks beyond borders. The current study examines the co-movement of stock...

This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...

Conventional wisdom is that unconventional monetary policy a.k.a. Quantitative Easing (QE) pursued by the Federal Reserve has helped sustain and even boost U.S. stock market prices in the aftermath of the Global Financial Crisis. By design, QE has supported long-term Treasury bond prices and put...

This paper studies the pricing impact of aggregate shifts in the U.S. demand for foreign stocks on the cross-section of U.S. stocks. Measuring the sensitivity of U.S. firm-level returns to innovations in international stock flows, I document that stocks with higher sensitivity to U.S. investor's...

Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. This provides a natural experiment within which to test the propositions of Bloomfield & O'Hara (1999 and 2000) about price discovery in fragmented markets. We examine the...

In an effort to provide a set of reasonable expectations for stock market performance during 2011, we present results of two simple econometric exercises. Our starting point is the recent trough of economic activity which took place in June of 2009, according to the NBER. This means 2011...

This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in U.S. interest rate policy, with stock prices increasing (decreasing) following unexpected monetary loosening (tightening). This impact is more pronounced for...

Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more active trading in the 30-year bond. eSpeed provides a more pre-trade transparent...