Price discovery in german stock and futures markets adding binary numbers

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Compares the trading efficiency of electronic and open outcry futures markets usd news. Argues that the difference between the German DAX (floor) and FDAX (electronic) markets is due to asset type, not to information processing speed 300 usd to eur. Describes the German trading environment, comparing trading data from 1992 to 1994 binary dictionary. Shows that the returns for DAX are positively skewed and for FDAX negatively skewed and more volatile market futures open. From regression and Granger causality tests establishes a feedback relationship between the two markets, in which the spot market is slower to digest information than the futures market dow jones futures market watch. Points out that the dominant DAX stocks are also traded electronically, so the means of trade is not the cause of the difference.

[Show abstract] [Hide abstract] ABSTRACT: This paper examines the intraday information transmission process among the Deutscher Aktienindex (DAX), DAX futures and DAX options in Germany.


Using the extreme value volatility approach developed in Booth et al. (1997, Management Science, 43, 1564-1576), the volatilities of the three markets are found to spill over to one another 1 usd to bgn. These results support the notion that the three index assets are informationally linked, and the three markets should be considered a complete system for intraday information processing.

[Show abstract] [Hide abstract] ABSTRACT: In this paper, matched synchronous daily trading data, the cointegration theory and the Permanent-transitory (PT) model are employed to analyze the price discovery mechanism and evolvement of the A and the B shares in the Shanghai Stock Exchange and the Shenzhen Stock Exchange markets usd brl exchange rate. The results show that the process of enlarging the scope of investor for the B shares have much improved informational flow between the A shares and the B shares in the Shanghai Stock Exchange than that of the Shenzhen Stock Exchange inc connector. At the same time, the results also show that the A shares play a dominant role in price discovery in China’s emerging stock markets hex editor windows 10. Seven hypotheses were formulated and analyzed. Evidence supporting the domestic investors’ information advantage hypothesis, market segmentation hypothesis, trading cost hypothesis, trading volume ratio hypothesis and negotiable volume ratio hypothesis is found in Shanghai Stock Exchange market. Evidence supporting the investor structure hypothesis, domestic investors’ information advantage hypothesis and trading cost hypothesis is found in the Shenzhen Stock Exchange market.

[Show abstract] [Hide abstract] ABSTRACT: This paper examines the intraday behavior of 5-min DAX futures return volatility, volume and transactions, employing data from between January 1999 and September 2011, thus covering major market up and down trends. We focus on the interplay of the above variables finding a W-shape due to US macroeconomic news releases and the opening of US markets. By carefully modeling regular but infrequent events, we show that the last trading days of the FDAX and ODAX have significant impact on volatility and alter the intraday patterns. Additionally, we pay special attention to interactions between the futures and cash market caused by different trading hours at the Eurex. Thereby, we discover a uW-shape lending support for Daigler’s (J Futures Markets 17:45–74, 1997) extended market closure theory. Focusing on possible changes in the interplay of volume and volatility, we empirically analyze the implications of different volume–volatility theories usd cad analysis. Finally, we model simultaneously the main volatility components—intraday calendar effects, macroeconomic announcement effects and interday volatility clustering—employing the framework of Andersen and Bollerslev (J Finance 53:219–265, 1998) to quantify and compare the impact of macroeconomic news announcements during contractions and expansions and focus on the economic impact of the crisis 2007/2008 on intraday volatility.


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