The Impact of the French Securities Transaction Tax on Market
... the STT has a negative impact on traded volumes, but no statistically significant impact on market volatility. Moreover, they find no consistent evidence that traders avoid the tax by changing their location of trades. Unfortunately, these results are difficult to generalize because the STT in New Y ...
... the STT has a negative impact on traded volumes, but no statistically significant impact on market volatility. Moreover, they find no consistent evidence that traders avoid the tax by changing their location of trades. Unfortunately, these results are difficult to generalize because the STT in New Y ...
IPO Underpricing in a Simultaneous Equations Model of Supply and
... the insider management from trading non-offered shares for 180 days similar to the U.S. ...
... the insider management from trading non-offered shares for 180 days similar to the U.S. ...
VaR Exceedances at Large Financial Institutions
... One possibility is that there is no problem. Maybe the models are useful in their current form and would not be more useful if they were more accurate. It’s possible that the models are biased in a predictable fashion, and that risk managers simply correct for these biases when using the numbers pr ...
... One possibility is that there is no problem. Maybe the models are useful in their current form and would not be more useful if they were more accurate. It’s possible that the models are biased in a predictable fashion, and that risk managers simply correct for these biases when using the numbers pr ...
How volatile are East Asian stocks during high volatility periods?*
... study’s sample period. The estimates seem reasonable as most of the coefficients are significantly different from zero. Except for Hong Kong, the coefficient estimates satisfactorily show the presence of ARCH effects in the countries under study. For the period covered by this study, there were two ...
... study’s sample period. The estimates seem reasonable as most of the coefficients are significantly different from zero. Except for Hong Kong, the coefficient estimates satisfactorily show the presence of ARCH effects in the countries under study. For the period covered by this study, there were two ...
Effects of level of investors confidence and herding behavior on
... When assets are risky, the investor needs to predict their future cash-flows on the basis of some estimation she makes. This prediction (of the future cash-flows expected from stocks) is strongly connected to the economic concept of "confidence". The concept as interpreted in the economic context ha ...
... When assets are risky, the investor needs to predict their future cash-flows on the basis of some estimation she makes. This prediction (of the future cash-flows expected from stocks) is strongly connected to the economic concept of "confidence". The concept as interpreted in the economic context ha ...
Dark pools in European equity markets
... debated. When dark pools first emerged, regulators and financial authorities expressed concern about two mechanisms through which dark trading could have negative effects on market stability. First, trading in dark pools reduces the information available for the price discovery process, which relies ...
... debated. When dark pools first emerged, regulators and financial authorities expressed concern about two mechanisms through which dark trading could have negative effects on market stability. First, trading in dark pools reduces the information available for the price discovery process, which relies ...
Limit Order Markets: A Survey 1
... trades and orders. The high dimensionality of limit order markets is a challenge for theoretical modelling and empirical estimation as well as, more practically, for trading. Dynamic trading strategies also involve decisions about how frequently to monitor changing market conditions and when and how ...
... trades and orders. The high dimensionality of limit order markets is a challenge for theoretical modelling and empirical estimation as well as, more practically, for trading. Dynamic trading strategies also involve decisions about how frequently to monitor changing market conditions and when and how ...
Speculation and Risk Sharing with New Financial Assets
... all of these risks, which might make them reluctant to take large positions. Suppose instead the Euro is also introduced for trade (which can be interpreted as “…nancial innovation” in this example). In this case, traders will complement their positions in the Franc by taking the opposite positions ...
... all of these risks, which might make them reluctant to take large positions. Suppose instead the Euro is also introduced for trade (which can be interpreted as “…nancial innovation” in this example). In this case, traders will complement their positions in the Franc by taking the opposite positions ...
A Model of Intertemporal Asset Prices Under Asymmetric
... the reaction of uninformed investors. Informed investors take advantage of the errors made by less-informed investors to make profits. The uninformed investors trade based on information extracted from prices and dividends. We find that in some cases, the uninformed investors rationally adopt tradin ...
... the reaction of uninformed investors. Informed investors take advantage of the errors made by less-informed investors to make profits. The uninformed investors trade based on information extracted from prices and dividends. We find that in some cases, the uninformed investors rationally adopt tradin ...
Do Noise Traders Move Markets?
... investors are well informed, because informed traders face risks that are likely to limit their actions. This theory relies on the assumption that psychological biases and sentiment cause noise trades to trade systematically as a group and that, when there are no perfect substitutes for mispriced as ...
... investors are well informed, because informed traders face risks that are likely to limit their actions. This theory relies on the assumption that psychological biases and sentiment cause noise trades to trade systematically as a group and that, when there are no perfect substitutes for mispriced as ...
Sample pages 1 PDF
... corresponding net returns. Since returns are smaller in magnitude over shorter periods, we can expect returns and log returns to be similar for daily returns, less similar for yearly returns, and not necessarily similar for longer periods ...
... corresponding net returns. Since returns are smaller in magnitude over shorter periods, we can expect returns and log returns to be similar for daily returns, less similar for yearly returns, and not necessarily similar for longer periods ...
The Effects of Capital Structure Change on Security Prices
... approximations to pure capital structure changes: intra-firm exchange offers and recapitalizations. These two events are unique in that they do not entail any firm cash inflows or outflows (with the exception of expenses), while they cause major changes in the firm's capital structure. These changes ...
... approximations to pure capital structure changes: intra-firm exchange offers and recapitalizations. These two events are unique in that they do not entail any firm cash inflows or outflows (with the exception of expenses), while they cause major changes in the firm's capital structure. These changes ...
Speculative Investors and Tobin`s Tax
... are sought later by homebuyers as well as by investors 4 (The Appendix provides additional details of the residential market background in Singapore). The presale market is more attractive to short-term speculators than the spot market for completed properties because a presale contract has a lower ...
... are sought later by homebuyers as well as by investors 4 (The Appendix provides additional details of the residential market background in Singapore). The presale market is more attractive to short-term speculators than the spot market for completed properties because a presale contract has a lower ...
Interacting Limit Order Demand and Supply Curves
... product markets, demand elasticity depends on factors such as consumer preferences; while supply elasticity depends on factors such as production technologies and market power. In contrast, at least in the short-run, stock markets resemble a pure exchange economy: buyers become sellers and vice-vers ...
... product markets, demand elasticity depends on factors such as consumer preferences; while supply elasticity depends on factors such as production technologies and market power. In contrast, at least in the short-run, stock markets resemble a pure exchange economy: buyers become sellers and vice-vers ...
Equity Quantitative Study - International Swaps and Derivatives
... expiries and maturities, which range from one month up to a maximum of two years in some cases. Liquidity in exchange-traded options is limited to a few hundred contracts in most cases and concentrated in near-term contracts.1 The over-the-counter market, on the other hand, is an institutional marke ...
... expiries and maturities, which range from one month up to a maximum of two years in some cases. Liquidity in exchange-traded options is limited to a few hundred contracts in most cases and concentrated in near-term contracts.1 The over-the-counter market, on the other hand, is an institutional marke ...
Global Trading Hours
... Activated when the maximum price range deviation is exceeded, decided by the exchange. Generally ends after 3 or 5 minutes, depending on security. The change to the next scheduled trading phase is carried out whether or not a price occurs. Single volatility interruption occurs if the expected auctio ...
... Activated when the maximum price range deviation is exceeded, decided by the exchange. Generally ends after 3 or 5 minutes, depending on security. The change to the next scheduled trading phase is carried out whether or not a price occurs. Single volatility interruption occurs if the expected auctio ...
Make and Take Fees in the US Equity Market
... marketable orders (Foucault, Kadan, and Kandel, 2013). The increased number of executed transactions generates revenue for the platform and increases its market share with respect to its competitors. Alternatively, if an exchange were to observe many nonmarketable orders but few transactions, it can ...
... marketable orders (Foucault, Kadan, and Kandel, 2013). The increased number of executed transactions generates revenue for the platform and increases its market share with respect to its competitors. Alternatively, if an exchange were to observe many nonmarketable orders but few transactions, it can ...
Option Spread and Combination Trading
... combinations supposedly represent trading strategies designed to exploit expected changes in one or more determinants of the options’ values: the price of the underlying asset, its volatility, the time-to-expiration, and/or the interest rate.2 Like its price, a combination’s “Greeks”, delta, gamma, ...
... combinations supposedly represent trading strategies designed to exploit expected changes in one or more determinants of the options’ values: the price of the underlying asset, its volatility, the time-to-expiration, and/or the interest rate.2 Like its price, a combination’s “Greeks”, delta, gamma, ...
Futurization of Swaps
... neither the CFTC nor the SEC have addressed. First, margins on futures contracts are calculated differently from and are lower than those for swaps. This is a strong reason by itself for the migration from swaps to futures. But as this migration continues and volumes of transactions cleared on futur ...
... neither the CFTC nor the SEC have addressed. First, margins on futures contracts are calculated differently from and are lower than those for swaps. This is a strong reason by itself for the migration from swaps to futures. But as this migration continues and volumes of transactions cleared on futur ...
Gains from Stock Exchange Integration: The
... cases overcoming the fact that they were previously unaware of the existence of some securities, in others avoiding the costs of having to trade through a correspondent and thus providing cheaper and more efficient access to markets. ...
... cases overcoming the fact that they were previously unaware of the existence of some securities, in others avoiding the costs of having to trade through a correspondent and thus providing cheaper and more efficient access to markets. ...
Orders and Positions
... profit and loss. You can also cancel, cancel/replace, and place orders from this tab. • Summary: The three tabbed windows in this panel display summaries of information about the selected account, including open positions and margin requirements. To resize the panels, drag the Accounts panel border ...
... profit and loss. You can also cancel, cancel/replace, and place orders from this tab. • Summary: The three tabbed windows in this panel display summaries of information about the selected account, including open positions and margin requirements. To resize the panels, drag the Accounts panel border ...
Momentum Effect: Empirical Evidence from Karachi Stock Exchange
... buy the past losers and sell the past winners, earn abnormal returns. They extended the holding period from 3 to 5 years and provide the evidence of long term returns reversal. Jegadeesh (1990) and Lehmann (1990) supported the evidence of return reversal in short term, i.e. from one week to one mont ...
... buy the past losers and sell the past winners, earn abnormal returns. They extended the holding period from 3 to 5 years and provide the evidence of long term returns reversal. Jegadeesh (1990) and Lehmann (1990) supported the evidence of return reversal in short term, i.e. from one week to one mont ...
mandlebrot
... Since Mandelbrot largely disagreed with most of the price forecasting approaches around him,it should be noted that Mandelbrot's main contention was with the idea that price activity is determined by dual opposing positions (the decision to either push prices higher, or to drive them lower). This id ...
... Since Mandelbrot largely disagreed with most of the price forecasting approaches around him,it should be noted that Mandelbrot's main contention was with the idea that price activity is determined by dual opposing positions (the decision to either push prices higher, or to drive them lower). This id ...
Evidence about Bubble Mechanisms: Precipitating Event
... trading volumes explain warrant prices during the bubble. In contrast, most previous empirical research on bubbles has relied on aggregate market data such as prices, returns, and trading volumes or turnover (for example, Hong and Stein 2007, Mei, Scheinkman, and Xiong 2009, and Xiong and Yu 2011), ...
... trading volumes explain warrant prices during the bubble. In contrast, most previous empirical research on bubbles has relied on aggregate market data such as prices, returns, and trading volumes or turnover (for example, Hong and Stein 2007, Mei, Scheinkman, and Xiong 2009, and Xiong and Yu 2011), ...
english,
... and RTS (for Russia). Days with no trading in any of the observed market were left out. Returns (and all other variables, i.e. covariates) were calculated as two-day rollingaverage logarithmic returns (or changes) in order to control for the fact of the different open hours of the markets on which t ...
... and RTS (for Russia). Days with no trading in any of the observed market were left out. Returns (and all other variables, i.e. covariates) were calculated as two-day rollingaverage logarithmic returns (or changes) in order to control for the fact of the different open hours of the markets on which t ...