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Intraday jumps, liquidity, and U.S. macroeconomic news : evidence from exchange traded funds
Jurdi, Doureige J. - In: Journal of risk and financial management : JRFM 13 (2020) 6/118, pp. 1-20
This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and … ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that …
Persistent link: https://www.econbiz.de/10012305143
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Rumors and runs in opaque markets : evidence from the panic of 1907
Fohlin, Caroline; Gehrig, Thomas P.; Haas, Marlene - 2016
impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …
Persistent link: https://www.econbiz.de/10011522131
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High-frequency cross-market trading : model free measurement and applications
Dobrev, Dobrislav; Schaumburg, Ernst - 2017 - This version: December 30, 2016
Persistent link: https://www.econbiz.de/10012805580
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US and European stock market crashes: Any evidence of interdependence?
Sooreea, Rajeev; Wheeler, Mark - In: International Journal of Monetary Economics and Finance 4 (2011) 4, pp. 372-389
This paper examines the response of Stock Prices (SPs) in Germany, Italy, and the UK to shocks to US Stock Prices (USSPs) using Vector Error Correction Models (VECMs) and cross-country stock return correlations. Our results yield clear implications. Positive shocks to USSPs lead to significant,...
Persistent link: https://www.econbiz.de/10009352498
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Common stochastic trends and predictability of international stock prices
Lee, Bong-soo - In: Journal of the Japanese and international economies : … 9 (1995) 3, pp. 245-277
Persistent link: https://www.econbiz.de/10001190318
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On the risk comovements between the crude oil market and U.S. dollar exchange rates
Truchis, Gilles de; Keddad, Benjamin - In: Economic modelling 52 (2016), pp. 206-215
Persistent link: https://www.econbiz.de/10011645629
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Non-linear co-movements in output growth : evidence from the United States and Australia
Henry, Ólan Thomas John; Olekalns, Nilss; Shields, … - 2002
Persistent link: https://www.econbiz.de/10001704955
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From banking integration to housing market integration : evidence from the comovement of US Metropolitan House Prices
Choi, Chi-young; Hansz, J. Andrew - In: Journal of financial stability 54 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012794122
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Comovement across BRICS and the US stock markets : a multitime scale wavelet analysis
Batondo, Musumba; Uwilingiye, Josine - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-21
. The current study examines the co-movement of stock markets in BRICS (Brazil, Russia, India, China and South Africa … these data to determine the multihorizon nature of comovement (pure contagion or interdependence) and the dynamics of market … short- and long-term integration strengthened and deepened comovement among equity markets. From the portfolio …
Persistent link: https://www.econbiz.de/10013252768
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From Global to Regional Telecom Production Sharing: Asia vs. America
Amighini, Alessia - KITeS, Centre for Knowledge, Internationalization and … - 2002
dominated world exports of this category since 1978. The US are nowadays driving fragmentation of telecom production on a global … groupings both in the Americas and in Asia are likely to reverse the pattern of international fragmentation of production in the …
Persistent link: https://www.econbiz.de/10005403567