We employ data over 2005-2009 which uniquely identify categories of traders to test whether speculators like hedge funds and swap dealers cause price changes or volatility. We find little evidence that speculators destabilize financial markets. To the contrary, speculative trading activity...

Based on regime shifts test with MSAR model,The paper estimates the MSVAR model to investigate the interactive relationships between stock market and oil price using monthly data ranging from Jan 1991 to Jul 2014. The results show that the volatilities of both stock market and crude oil price...

This study examines the long- and short-run dynamics between exchange rates and stock prices by using cointegration methodology and multivariate Granger causality tests. We apply the analysis to six countries, including: Japan, United Kingdom, Hong Kong, China, India and Brazil over the period...

We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-S&P500 index futures. We find that these institutional positions reflect fundamental...

This paper proposes a new information share for price discovery based on Russell's (1999) autoregressive conditional intensity model. While previous studies rely on equally spaced high frequency data, we use the information conveyed by trade intensities to determine a market's contribution to...

This paper defines and interprets the changes in the stock market space. There are analyzed 63 companies listed on the Warsaw Stock Exchange in the period from beginning 2006 to the end of September 2012. This is a period, covering entirely the last two financial crises from their first symptoms...

Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...

Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...

We find that the demand for stock option positions that increase exposure to the underlying is positively related to measures of investor sentiment and past market returns, while the demand for index options is invariant to these factors. These differences in trading patterns are reflected in...

Despite continued attempts by regulators to curtail abusive short sales and increase transparency, the pattern and practice of fraudulent manipulation continues to proliferate and threaten the capitalization of a wide variety of issuers within the securities market. Identifying a meaningful...