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Persistent link: https://www.econbiz.de/10010233613
This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...
Persistent link: https://www.econbiz.de/10010332406
The paper investigates the dynamics of price discovery for cross-listed firms and the impact of exchange rate shocks on firm value. A simple price discovery model is proposed in which prices in the home and foreign markets react to shocks on two latent prices, namely, the efficient firm value...
Persistent link: https://www.econbiz.de/10011098648
This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...
Persistent link: https://www.econbiz.de/10005773237
This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...
Persistent link: https://www.econbiz.de/10005710087
We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market orders in a limit order market. The best quotes and the execution probabilities and picking off risks of limit orders determine the price of immediacy. The price of immediacy...
Persistent link: https://www.econbiz.de/10005136412
This paper investigates the return and volatility responses of major European and the US equity indices to monetary policy surprises using extensive intraday data on 5-minute price quotes along with a comprehensive dataset on monetary policy decisions and macroeconomic news. Our results show...
Persistent link: https://www.econbiz.de/10008626081
Intraday minute-by-minute data from the Tokyo, Shanghai, and Shenzhen stock exchanges from January 7, 2008, to January 23, 2009, are analyzed to investigate the interaction between the Japanese and Chinese stock markets. We focus on two windows of time during which all three stock exchanges...
Persistent link: https://www.econbiz.de/10008559287
Persistent link: https://www.econbiz.de/10008698074
Persistent link: https://www.econbiz.de/10011654254