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on Financial Markets |
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Issue of 2013‒03‒23
five papers chosen by |
| By: | Sofía B. Ramos; Helena Veiga; Pedro Latoeiro |
| Abstract: | This paper analyzes whether web search queries predict stock market activity in a sample of the largest European stocks. We provide evidence that i) an increase in web searches for stocks on Google engine is followed by a temporary increase in volatility and volume and a drop in cumulative returns. ii) An increase for web search queries for the market index leads to a decrease in the returns of the index as well as of the stock index futures and an increase in implied volatility. iii) Attention interacts with behavioral biases. The predictability of web searches for return and liquidity is enhanced when firm prices and market prices hit a 52-week high and diminished when the market hits a 52-week low. iv) Investors tend to process more market information than firm specific information in investment decisions, confirming limited attention theory. |
| Keywords: | Behavioral Finance, Google Search Volume Index, Investor Attention, Predictability |
| Date: | 2013–03 |
| URL: | http://d.repec.org/n?u=RePEc:cte:wsrepe:ws130605&r=fmk |
| By: | Rama Cont (LPMA - Laboratoire de Probabilités et Modèles Aléatoires - CNRS : UMR7599 - Université Paris VI - Pierre et Marie Curie - Université Paris VII - Paris Diderot); Adrien De Larrard (LPMA - Laboratoire de Probabilités et Modèles Aléatoires - CNRS : UMR7599 - Université Paris VI - Pierre et Marie Curie - Université Paris VII - Paris Diderot) |
| Abstract: | We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical tractability, the model allows to obtain analytical expressions for various quantities of interest such as the distribution of the duration between price changes, the distribution and autocorrelation of price changes, and the probability of an upward move in the price, conditional on the state of the order book. We study the diffusion limit of the price process and express the volatility of price changes in terms of parameters describing the arrival rates of buy and sell orders and cancelations. These analytical results provide some insight into the relation between order flow and price dynamics in order-driven markets. |
| Keywords: | limit order book, market microstructure, queueing, diffusion limit, high-frequency data, liquidity, duration analysis, point process |
| Date: | 2013–01–03 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-00552252&r=fmk |
| By: | Adrian Van Rixtel; Gabriele Gasperini |
| Abstract: | This paper provides an overview of bank funding trends in the euro area following the 2007-09 global financial crisis and the euro area crisis. It shows that funding has become segmented along national borders and that secured instruments are much more prevalent than previously. Rising debt retention by euro area banks has accompanied greater dependence on liquidity provided by the ECB. |
| Keywords: | euro area, financial crisis, bank funding, renationalisation, secured issuance, debt retention |
| Date: | 2013–03 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:406&r=fmk |
| By: | Marius Jurgilas (Norges Bank (Central Bank of Norway)); Filip Zikes (Bank of England) |
| Abstract: | This paper estimates the intraday value of money implicit in the UK unsecured overnight money market. Using transactions data on overnight loans advanced through the UK large value payments system CHAPS in 2003-2009, we find a positive and economically significant intraday interest rate. While the implicit intraday interest rate is quite small pre-crisis, it increases more than tenfold during the financial crisis of 2007-2009. The key interpretation is that an increase in implicit intraday interest rate reects the increased opportunity cost of pledging collateral intraday and can be used as an indicator to gauge the stress of the payment system. We obtain qualitatively similar estimates of the intraday interest rate by using quoted intraday bid and offer rates and confirm that our results are not driven by the intraday variation in the bid-ask spread. |
| Keywords: | Interbanl money market, Intraday liquidity |
| JEL: | E42 E58 G21 |
| Date: | 2013–03–14 |
| URL: | http://d.repec.org/n?u=RePEc:bno:worpap:2013_09&r=fmk |
| By: | Guglielmo Maria Caporale; Luis A. Gil-Alana |
| Abstract: | This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long memory and thus are predictable using historical data. Moreover, their volatility, measured as the absolute and squared returns, also displays long memory. Finally, we examine if the time dependence is affected by the day of the week; the results indicate that Mondays and Fridays are characterised by higher dependency, consistently with the literature on anomalies in stock market prices. |
| Keywords: | Stock market prices; Efficient market hypothesis; Long memory; Fractional integration |
| JEL: | C22 G12 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1279&r=fmk |