|
|
|
|
|
Apostolos Ampountolas
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of...
ver más
|
|
|
|
|
|
|
|
|
|
|
Faheem Aslam, Paulo Ferreira, Khurrum Shahzad Mughal and Beenish Bashir
During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The d...
ver más
|
|
|
|
|
|
|
|
|
|
|
Athanasios Tsagkanos, Konstantinos Gkillas, Christoforos Konstantatos and Christos Floros
The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 Ja...
ver más
|
|
|
|
|
|
|
|
|
|
|
Omid Faseli
Pág. 80 - 87
Abnormal volatility has a damaging effect on the macroeconomy and is seen as a measure of risk in asset and commodity markets. This investigation had the aim to analyze the supposed transatlantic volatility inducing effect of the most prominent scheduled...
ver más
|
|
|
|
|
|
|
|
|
|
|
Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos
Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (...
ver más
|
|
|
|
|
|
|
|
|
|
|
Namitha K. Cheriyan,Lazar Daniel
Pág. 17 - 22
The liquidity crunch arising out of volatile market conditions is a significant concern for investors across the globe. The trading activity in the market is an important attribute determining the liquidity as well as the volatility of any stock market. ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Omid Faseli
Pág. 49 - 57
This study had the purpose to investigate the impact of 38 scheduled major United States (US) macroeconomic news on WTI crude oil intraday volatility for the period 2012-2018. It was the aim to provide a news ranking that indicates upcoming high volatili...
ver más
|
|
|
|
|
|
|
|
|
|
|
Justin Morscheck
Pág. 21 - 37
Using intraday trading data during the 2008 financial crisis, from the Standard and Poor?s Depository Receipt (SPDR) market, we test for evidence of the informational advantage of traders. In addition, we examine the effect of pricing error on trade pric...
ver más
|
|
|
|
|
|
|
|
|
|
|
Thibault Vatter, Hau-Tieng Wu, Valérie Chavez-Demoulin and Bin Yu
s-
|
|
|
|
|
|
|
|
|
|
|
José Valentim Machado Vicente,Gustavo Silva Araujo,Paula Baião Fisher de Castro,Felipe Noronha Tavares
Pág. 41 - 66
The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investo...
ver más
|
|
|
|
|
|