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Garabedian, Garo - 2015

measure) to aggregate different groups of liquidity measures (percent-cost proxies, cost-per-volume proxies, etc.), in order … to accommodate for the ‘different dimensions of liquidity' (Amihud et al., 2005) through a single ‘unified' market …-wide aggregate liquidity metric. The weights for the multiple dimensions are time-varying and depend on three components: the …

Persistent link: https://www.econbiz.de/10013014761

Are Cryptos Different? Evidence from Retail Trading

Kogan, Shimon; Makarov, Igor; Niessner, Marina; Schoar, … - 2022

Trading in cryptocurrencies has grown rapidly over the last decade, primarily dominated by retail investors. Using a large dataset of more than 200,000 retail traders from eToro, we show that they have a different model of the underlying price dynamics in cryptocurrencies compared to other...

Persistent link: https://www.econbiz.de/10014238027

Adaptive market hypothesis: an empirical analysis of time : varying market efficiency of cryptocurrencies

Khursheed, Ambreen; Naeem, Muhammad; Ahmed, Sheraz; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-15

This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies; Bitcoin, Monaro, Litecoin, and Steller...

Persistent link: https://www.econbiz.de/10012219697

The price of processing : information frictions and market efficiency in DeFi

Azar, Pablo; Olivas, Sergio; Sinha, Nish D. - 2025

This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...

Persistent link: https://www.econbiz.de/10015396109

Riskiness Measures and Expected Returns

Bali, Turan G. - 2012

-to-market, momentum, short-term reversal, and liquidity of individual stocks. Controlling for the risk-neutral measure of skewness and the …

Persistent link: https://www.econbiz.de/10013114947

On the Performance of Cyclically Adjusted Valuation Measures

Gray, Wesley R. - 2013

We confirm the effectiveness of using cyclically-adjusted valuation metrics to identify high performing stocks. The Shiller P/E, or cyclically-adjusted price-to-earnings (CAPE) ratio, is not the optimal way to implement a cyclically-adjusted value measure. At the margin, the cyclically-adjusted...

Persistent link: https://www.econbiz.de/10013075708

Stock Market Trading Volume

Lo, Andrew W. - 2009

endogenously by liquidity needs and risk-sharing motives. Our empirical contributions include: (1) the construction of a volume …

Persistent link: https://www.econbiz.de/10013159752

Estimation of risk neutral measure for Polish stock market

Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

Persistent link: https://www.econbiz.de/10010468362

Measuring Euro Area Monetary Policy

Altavilla, Carlo - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012867012

Measuring Euro Area Monetary Policy

Altavilla, Carlo - 2019

Persistent link: https://www.econbiz.de/10012870045