Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10011527298
Persistent link: https://www.econbiz.de/10012019348
Persistent link: https://www.econbiz.de/10012014399
This paper examines the impact of the introduction of the Euro currency on the market efficiency of ten of the most developed European stock markets during the period 1988-2012. We use an autocorrelation test, a runs test, various formulations of the variance ratio test and the nonlinear BDS...
Persistent link: https://www.econbiz.de/10013034214
Persistent link: https://www.econbiz.de/10010529613
Persistent link: https://www.econbiz.de/10011624040
Persistent link: https://www.econbiz.de/10012121498
We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. The observed...
Persistent link: https://www.econbiz.de/10012653097
Persistent link: https://www.econbiz.de/10012206955
This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil periods. We show that an endogenous model with time-varying transition probabilities is effective in describing the propagation of liquidity shocks within the interbank market,...
Persistent link: https://www.econbiz.de/10012936358