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on Market Microstructure |
| By: | Michael Ehrmann; David-Jan Jansen |
| Abstract: | The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold. We do this by using intra-day stock prices for a firm cross-listed on the Paris and Milan stock exchange. This strategy allows for a straightforward identification of pricing effects. During the soccer matches, stock prices in the country that eventually loses are lower by up to seven basis points. The probability of underpricing increases as elimination from the tournament becomes more likely. |
| Keywords: | investor mood; cross-listed firms; stock market efficiency; high-frequency data; soccer |
| JEL: | G02 G12 G14 G15 |
| Date: | 2014–01 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:412&r=mst |
| By: | Thibault Jaisson |
| Abstract: | In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the price from the dynamics of the flow of market orders. For example, if the market order flow is assumed to follow a nearly unstable Hawkes process, we retrieve the apparent long memory of the flow together with a power law impact function which is consistent with the celebrated square root law. We also link the long memory exponent of the sign of market orders with the impact function exponent. One of the originalities of our approach is that our results are derived without assuming that market participants are able to detect the beginning of metaorders. |
| Date: | 2014–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1402.1288&r=mst |
| By: | Rita Sousa (CENSE, Universidade Nova de Lisboa e Universidade do Minho); Luís Aguiar-Conraria (Universidade do Minho - NIPE); Maria Joana Soares (Universidade do Minho - NIPE) |
| Abstract: | We characterize the interrelation of CO2 prices with energy prices (gas and electricity), and with economic activity. Previous studies have relied on time-domain techniques, such as Vector Auto-Regressions. In this study, we use multivariate wavelet analysis, which operates in the time-frequency domain. Wavelet analysis provides convenient tools to distinguish relations at particular frequencies and at particular time horizons. Our empirical approach has the potential to identify relations getting stronger and then disappearing over specific time intervals and frequencies. We are able to examine the coherency of these variables and lead-lag relations at different frequencies for the time periods in focus. |
| Keywords: | Carbon prices; Financial Markets; Multivariate wavelet analysis. |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:nip:nipewp:03/2014&r=mst |