This paper deals with an analysis of the information flow on and between three European stock markets operating in … Bayesian large sample correction of the critical values in significance tests. The results of our study confirm the dominant … news, and lag length of the underlying VAR models). Moreover, the empirical results of this paper confirm the strong impact …

The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high … level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two … introduce explanations of the behavioural finance in the sources of variation of the transaction volumes. The adopted …

The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high … level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two … introduce explanations of the behavioural finance in the sources of variation of the transaction volumes. The adopted …

hand, information-based models result in bid and ask quotes that are non-Markovian, and the other hand, the Markov property …This paper develops a framework to test alternative market microstructure models of the bid-ask spread. If, on the one …

information when a non-admissible conditioning is used as an approximation of the exact posterior distribution. Considering the … case of Fisher test, we evaluate from a Bayesian point of view how much information is lost when the sampling process for a …

business cycle fluctuations between 1984 and 2007. Their main findings are that, while there is strong evidence of changes in …

serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying …, suggesting that the futures market in Mexico is a useful price discovery vehicle, although futures trading has also been a source …