Suche
Anzeige der Dokumente 1-10 von 32
Mutual Excitation in Eurozone Sovereign CDS
(2014-05-01)
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...
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 ...
Measuring Sovereign Contagion in Europe
(2015-04-01)
This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric ...
Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods
(2015-03-01)
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening ...
How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis
(2016-09-28)
Amid increasing regulation, structural changes of the market and Quantitative Easing as well as extremely low yields, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to ...
The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
(2016-10-01)
We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...
Coming Early to the Party
(2017-09-15)
"We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information ...
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 ...
Stock Price Crashes: Role of Slow-Moving Capital
(2018-07-16)
We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ...
Lighting up the Dark: Liquidity in the German Corporate Bond Market
(2018-09-17)
"We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ...