New Economics Papers
on Financial Markets
Issue of 2010‒02‒05
two papers chosen by

  1. The Value of the “Too Big to Fail” Big Bank Subsidy By Dean Baker; Travis McArthur
  2. The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market By Brajesh Kumar

  1. By: Dean Baker; Travis McArthur
    Abstract: One outcome of the TARP and other bank rescue efforts following the collapse of Lehman Brothers in September of 2008 is that the United States has essentially formalized a commitment to a “too big to fail” (TBTF) policy for major banks. This paper uses data from the FDIC on the relative cost of funds for TBTF banks and other banks, before and after the crisis, to quantify the value of the government protection provided by the TBTF policy.
    Keywords: Federal Reserve, Treasury, banks
    JEL: G G2 G21 G24 G28 H H2 H25 E E5 E58
    Date: 2009–09
  2. By: Brajesh Kumar
    Abstract: This study investigates the nature of relationship between price and trading volume for 50 Indian stocks. Firstly the contemporaneous and asymmetric relation between price and volume are examined. Then the dynamic relation between returns and volume using VAR, Granger causality, variance decomposition (VD) and impulse response function (IRF) are examined. Mixture of Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and volume. [IIMA WP No. 2009-12-04].
    Keywords: Indian stocks, Trading volume, Volatility, Mixture of distributions hypothesis, GARCH, Granger,Causality, VAR, Impulse response function, Variance decomposition
    Date: 2010

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