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Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?
(2016-11-18)
We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the Euro-zone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity ...
Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street?
(2016-12-12)
This paper examines whether investor mood, driven by World Health Organization (WHO) alerts and media news on globally dangerous diseases, is priced in pharmaceutical companies' stocks in the United States. We concentrate ...
The Impact of Monetary Policy Interventions on the Insurance Industry
(2018-03-01)
This paper investigates the effect of the conventional and unconventional (e.g. Quantitative Easing - QE) monetary policy intervention on the insurance industry. We first analyze the impact on the stock performances of 166 ...
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
(2020-03-01)
We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. ...
OTC Discount
(2020-12-08)
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
World Bank
The World Bank DataBank is an analysis and visualisation tool that contains collections of time series data on a variety of topics. You can create your own queries; generate tables, charts, and maps; and easily save, embed, ...
NYSE
NYSE TAQ products provide a comprehensive historical end of day record of all data that was published by the NYSE Group Exchanges' real-time data feeds, including: Depth of book: All bid and offer prices and sizes, Top of ...
MTS
MTS is one of Europe’s leading electronic fixed income trading markets, with over 500 unique counterparties and average daily volumes exceeding EUR 100 billion.
Market impact of government communication: The case of presidential tweets
(2021-10-06)
"We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ...