Results 101 to 110 of about 204,856 (205)

Smiles, Bid-ask Spreads and Option pricing

, 2001
Given the evidence provided by Longstaff (1995), and Peña, Rubio and Serna (1999) a serious candidate to explain the pronounced pattern of volatility estimates across exercise prices might be related to liquidity costs. Using all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX‐35 index futures from January 1994 to October 1998 we ...
Peña, Juan Ignacio, Rubio, Gonzalo, Serna, Gregorio   +2 more
openaire   +1 more source

Understanding the ex-ante cost of liquidity in the limit order book: A note [PDF]

This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all ...
Martínez Sedano, Miguel Angel, Rubio Irigoyen, Gonzalo, Tapia, Mikel   +2 more
core  

PENGARUH RISIKO SISTEMATIS DAN LIKUIDITAS TERHADAP TINGKAT PENGEMBALIAN SAHAM BADAN-BADAN USAHA YANG GO-PUBLIC DI BURSA EFEK JAKARTA PADA TAHUN 1999

Jurnal Manajemen dan Wirausaha, 2002
Research on determinant variables of rate of return has frequently been undertaken%2C generally with the conclusion that stock risk is very dominant for an investor in making investment decisions in the capital market.
Kumianny A.Saputra, Elly Elly, Pwee Leng
doaj  

Back from Beyond the Bid-Ask Spread: Perspectives on Liquidity [PDF]

Research into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time ...
Charles Ward, Gianluca Marcato
core  

Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System [PDF]

This paper examines intra-day patterns of the exchange rate behavior, using the %u201Cfirm%u201D bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot foreign exchange markets.
Takatoshi Ito, Yuko Hashimoto
core  

Characterizing limit order books in call auctions of a stock market. [PDF]

PLoS One
Nagumo S, Shimada T.
europepmc   +1 more source

Adverse selection, volume and transactions around dividend announcements in a continuous auction system. [PDF]

We show that liquidity providers do not significantly respond to changes in information asymmetry risks, at least when we analyse their trading behaviour around dividend announcements of a representative sample of stocks in a continuous auction trading ...
Rubio, Gonzalo, Tapia, Mikel
core  

Causal interventions in bond multi-dealer-to-client platforms. [PDF]

PLoS One
Marín Martínez P, Ardanza-Trevijano S, Sabio J.   +2 more
europepmc   +1 more source

Why do we smile? On the determinants of the implied volatility function. [PDF]

We report simple regressions and Granger causality tests in order to understand the pattern of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to ...
Peña Sánchez de Rivera, Juan Ignacio, Rubio, Gonzalo, Serna, Gregorio   +2 more
core  

Research on the impact of algorithmic trading on market volatility. [PDF]

Sci Rep
Yang D, Yang Y, Luo J, Wang Z, Sha H.
europepmc   +1 more source