nep-mst New Economics Papers
on Market Microstructure
Issue of 2016‒03‒10
seven papers chosen by
Thanos Verousis

  1. Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets By Diego A. Agudelo; Lina M. Cortes; Mateo Vasco
  2. Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation By BOUSALAM, Issam; HAMZAOUI, Moustapha; ZOUHAYR, Otman
  3. Forecasting the volatility of crude oil futures using intraday data By Benoît Sévi
  4. Can Information Demand Help to Predict Stock Market Liquidity ? Google it ! By Mohamed Arouri; Amal Aouadi; Philippe Foulquier; Frédéric Teulon
  5. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data By Sylvie Lecarpentier Moyal; Georges Prat; Patricia Renou Maissant; Remzi Uctum
  6. Optimal investment and consumption with liquid and illiquid assets By Jin Hyuk Choi
  7. Impact of investor presentations on share prices: Evidence from DAX 30 companies from 2010-2012 By Breu, Christopher; Schönbohm, Avo; Löcher, Markus

  1. By: Diego A. Agudelo; Lina M. Cortes; Mateo Vasco
    Abstract: Abstract: Market microstructure models imply that informed trading reduces liquidity. We test for the effect of the frequency of new releases, as a proxy of information arrival, on liquidity in the Chilean stock market. We find that news release frequency is strongly related to improved liquidity. Those results appear for both negative a positive news days and are robust using four different measures of liquidity: bid-ask spread, Amihud measure and two versions of the Zero trading variable. We also find evidence consistent with visibility and information arrival interacting for enhancing liquidity.
    Keywords: Informed trading; liquidity; news; emerging markets; market microstructure.
    JEL: G10 G15 G19
    Date: 2015–03–01
  2. By: BOUSALAM, Issam; HAMZAOUI, Moustapha; ZOUHAYR, Otman
    Abstract: In this paper we decompose the realized volatility of the GARCH-RV model into continuous sample path variation and discontinuous jump variation to provide a practical and robust framework for non-parametrically measuring the jump component in asset return volatility. By using 5-minute high-frequency data of MASI Index in Morocco for the period (January 15, 2010 - January 29, 2016), we estimate parameters of the constructed GARCH and EGARCH-type models (namely, GARCH, GARCH-RV, GARCH-CJ, EGARCH, EGARCH-RV, and EGARCH-CJ) and evaluate their predictive power to forecast future volatility. The results show that the realized volatility and the continuous sample path variation have certain predictive power for future volatility while the discontinuous jump variation contains relatively less information for forecasting volatility. More interestingly, the findings show that the GARCH-CJ-type models have stronger predictive power for future volatility than the other two types of models. These results have a major contribution in financial practices such as financial derivatives pricing, capital asset pricing, and risk measures.
    Keywords: GARCH-CJ; Jumps variation; Realized volatility; MASI Index; Morocco.
    JEL: C22 F37 F47 G17
    Date: 2016–01–20
  3. By: Benoît Sévi
    Date: 2016–02–18
  4. By: Mohamed Arouri; Amal Aouadi; Philippe Foulquier; Frédéric Teulon
    Date: 2016–02–18
  5. By: Sylvie Lecarpentier Moyal; Georges Prat; Patricia Renou Maissant; Remzi Uctum
    Date: 2016–02–18
  6. By: Jin Hyuk Choi
    Abstract: We consider an optimal investment/consumption problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset and one illiquid risky asset (proportional transaction costs). Using the shadow price approach, we fully characterize the optimal trading and consumption strategies in terms of the solution of a free boundary ODE with an integral constraint. In the analysis, there is no technical assumption (except a natural one) on the model parameters. We also prove an asymptotic expansion result for small transaction costs.
    Date: 2016–02
  7. By: Breu, Christopher; Schönbohm, Avo; Löcher, Markus
    Abstract: The purpose of this article is to explore the market reactions and determinants to 180 investor presentations by the German DAX 30 companies illustrating half-year and year-end results from 2010 to 2012. Therefore, an event study is conducted. In line with previous studies, the article finds significantly Abnormal Returns (ARs). For 57 of 180 presentations, the most significant presentation impact is realized directly on the presentation dates, with a similar distribution of half-year and year-end presentations. Nearly two thirds refer to significantly positive ARs, which is in line with the general DAX performance in the examined three years period. Pre-market or delayed market reactions do not exist. Furthermore, Operating Cash Flow (OCF), as a possible market reaction determinant is tested. The change of OCF shows a significant medium correlation. The article indicates that investor presentations are informative events, where the preparation and the surroundings play a minor role.
    Abstract: Das Ziel dieses Artikels ist es, die Marktreaktionen und deren Einflussgrößen von 180 Investoren- Präsentationen der deutschen DAX-30 Unternehmen zu untersuchen. Im Speziellen werden Präsentationen von Halbjahres- und Jahresabschlussergebnissen zwischen 2010 und 2012 zur Analyse herangezogen. Hierfür wird das Verfahren der Ereignisstudien angewandt. Übereinstimmend mit früheren Studien können signifikante, abnormale Renditen (ARs) nachgewiesen werden. Bei 57 von 180 Präsentationen wird der größte signifikante Einfluss auf den Aktienkurs direkt am Tag der Präsentation festgestellt, mit einer ähnlichen Verteilung zwischen Halbjahres- und Jahresendpräsentationen. Ungefähr zwei Drittel beziehen sich auf signifikant positive ARs. Dies spiegelt auch die allgemeine Entwicklung des DAX innerhalb des Untersuchungszeitraumes wieder. Verfrühte oder verspätete Marktreaktionen existieren nicht. Darüber hinaus wird der operative Cash Flow (OCF) als mögliche Einflussgröße getestet. Die Änderung des OCF weist eine signifikante mittlere Korrelation auf. Insgesamt bestätigt der Artikel Investoren-Präsentationen als informative Veranstaltungen, wobei die Präsentationsgestaltung sowie -umgebung eine untergeordnete Rolle spielen.
    Date: 2015

This nep-mst issue is ©2016 by Thanos Verousis. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.