Report NEP-MST-2010-08-14This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.
The following items were announced in this report:
- Evzen Kocenda & Jan Hanousek, 2010. "Foreign News and Spillovers in Emerging European Stock Markets," William Davidson Institute Working Papers Series wp983, William Davidson Institute at the University of Michigan.
- Paolo Angelini & Giovanni Guazzarotti, 2010. "Information uncertainty and the reaction of stock prices to news," Temi di discussione (Economic working papers) 765, Bank of Italy, Economic Research and International Relations Area.
- Vitali Alexeev & Francis Tapon, 2010. "Testing Weak Form Efficiency on the Toronto Stock Exchange," Working Papers 1002, University of Guelph, Department of Economics and Finance.
- Yong-Ping Ruan & Wei-Xing Zhou, 2010. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Papers 1008.0160, arXiv.org.
- Tobias Adrian & Erkko Etula, 2010. "Funding liquidity risk and the cross-section of stock returns," Staff Reports 464, Federal Reserve Bank of New York.
- Alessandro Fontana, 2010. "The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis," Working Papers 2010_13, Department of Economics, University of Venice "Ca' Foscari".