Report NEP-FMK-2017-02-05This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.
The following items were announced in this report:
- Albert S. Kyle & Anna Obizhaeva & Nitish Ranjan Sinha & Tugkan Tuzun, 2017. "News Articles and Equity Trading," Working Papers w0233, Center for Economic and Financial Research (CEFIR).
- Santiago Gamba-Santamaria & Jose Eduardo Gomez-Gonzalez & Jorge Luis Hurtado-Guarin & Luis Fernando Melo-Velandia, 2017. "Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects," Borradores de Economia 983, Banco de la Republica de Colombia.
- Valentina Corradi & Walter Distaso & Antonio Mele, "undated". "Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums," Swiss Finance Institute Research Paper Series 12-18, Swiss Finance Institute.
- Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva, 2016. "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers w0229, Center for Economic and Financial Research (CEFIR).
- Suren Vardanyan, 2016. "Contagion in Experimental Financial Markets," CERGE-EI Working Papers wp580, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2017. "Asymmetric volatility connectedness on the forex market," KIER Working Papers 956, Kyoto University, Institute of Economic Research.
- Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
- Stephen Morris & Ilhyock Shim & Hyun Song Shin, 2017. "Redemption risk and cash hoarding by asset managers," BIS Working Papers 608, Bank for International Settlements.
- Albert S. Kyle & Anna Obizhaeva & Tugkan Tuzun, 2016. "Microstructure Invariance in U.S. Stock Market Trades," Working Papers w0230, Center for Economic and Financial Research (CEFIR).
- Ralph Sonenshine & Michael Cauvel, 2017. "Revisiting the Effect of Crude Oil Price Movements on US Stock Market Returns and Volatility," Working Papers 2017-01, American University, Department of Economics.
- Ferber, Tim, 2016. "European banking regulation after the financial crisis: Franco-German conflict of interest during the negotiations on a single resolution fund," PIPE - Papers on International Political Economy 27/2016, Free University Berlin, Center for International Political Economy.
- Phiri, Andrew, 2017. "Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach," MPRA Paper 76542, University Library of Munich, Germany.