Showing 1 - 10 of 14
This paper investigates the relationship between the volatility of Volume Synchronized Probability of Informed Trading (VPIN) and future short-term volatility of stock returns. We construct a transaction-signed version of VPIN (TR-VPIN) based on tick by tick data on securities traded in the...
Persistent link: https://www.econbiz.de/10012970369
This article investigates international stock market integration in four major developed economies, namely the United States, the Economic and Monetary Union of the European Union, Japan and the United Kingdom, and two Asian emerging, countries namely China and India, over the period from June...
Persistent link: https://www.econbiz.de/10013089701
This paper explores the evolution of European stock markets integration with the US stock market, after the formation of European Monetary Union (EMU). To this end, we employ a dynamic version of international CAPM in the absence of purchasing power parity. The conditional covariance matrix of...
Persistent link: https://www.econbiz.de/10013091905
Persistent link: https://www.econbiz.de/10001205638
Persistent link: https://www.econbiz.de/10003906391
Persistent link: https://www.econbiz.de/10009714885
This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank, the Bank of Japan and the Bank of England on exchange rate dynamics. Using intraday data of three major exchange rates (EUR/USD, GBP/USD, JPY/USD),we apply a univariate APARCH(1,1) model and...
Persistent link: https://www.econbiz.de/10013028646
The paper addresses the empirical application of cointegration analysis to four important macroeconomic variables: narrow money (M1), incomes, prices and interest rates in the U.S. during the turmoil period of last decade. Unit root and longmemory tests support the appropriateness of the...
Persistent link: https://www.econbiz.de/10013074059
This paper investigates the interdependence of US dollar exchange rates expressed in other major currencies. Focusing on different phases of the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC), we adopt a dynamic conditional correlation model into a multivariate...
Persistent link: https://www.econbiz.de/10013077165
Persistent link: https://www.econbiz.de/10001706354