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| 2. |
- Menkveld, Albert J., et al.
(författare)
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Nonstandard Errors
- 2024
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Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 3. |
- Ding, Mingfa, et al.
(författare)
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Large-caps liquidity provision, market liquidity and high-frequency market makers’ trading behaviour
- 2022
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Ingår i: European Journal of Finance. - : Informa UK Limited. - 1351-847X .- 1466-4364. ; 28:16, s. 1621-1641
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Tidskriftsartikel (refereegranskat)abstract
- This paper exploits the introduction of the liquidity provision scheme (LPS) in NASDAQ Stockholm (NOMX) to assess how the implementation of LPS affects market liquidity and the trading behaviors of high-frequency market makers. Unlike the traditional designated market makers (DMM) that target the liquidity supply of small and less traded stocks, LPS is implemented for large-caps and liquid stocks. LPS requires participants to submit buy and sell orders at the European best bid and offer quotes with a size larger than 50,000 Swedish Krona on each trade side. LPS delivers liquidity improvements by reducing order processing costs in the large-cap and cross-listed stocks in the NOMX and Chi-X markets, with no evidence of market liquidity migration from Chi-X to NOMX. As market makers registered with LPS are likely high-frequency traders, LPS stabilizes market liquidity as market makers’ decisions to supply or demand liquidity become less sensitive to market conditions like the spread and order imbalance.
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| 4. |
- Félez Viñas, Ester, 1988-
(författare)
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Changing the Rules of the Game : A Market Microstructure Perspective on the Effects of Regulating Financial Markets
- 2019
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This dissertation contains four articles that examine the effects brought about by the implementation of new regulations and changes in the trading landscape on different facets of market quality and integrity.Article I studies how the fragmentation of equity markets affects the speed of recovery of the market, both under normal market conditions and in times of stress. The results show that fragmentation increases the average ability of the market to converge towards its long-run liquidity levels by shortening the duration of liquidity deviations. In times of stress, fragmentation also speeds up the replenishment of the limit order book and its ability to recover from the moments of stress.Article II examines the impact of introducing short selling restrictions on the speed of recovery of the market and commonality in liquidity. The findings indicate that short selling bans contribute to lowering the risk of financial contagion by decreasing the commonality in liquidity levels of banned securities. However, the restrictions also significantly hamper the ability of banned stocks to recover from transitory liquidity deviations.Article III exploits the change in closing mechanism of 43 exchanges around the world to analyse the effects of batch facilities on liquidity, price efficiency, and market integrity. The results support the idea that batch facilities improve market quality, that auction design is important in explaining auction performance, and that the effects depend on the level of development of the market and the liquidity of the stock.Article IV investigates whether volatility extensions in closing auctions improve the efficiency of closing prices. The findings confirm that the introduction of a volatility extension enhances price efficiency by reducing transitory closing price volatility. The results also suggest that the improvement in price efficiency is due to enhanced market integrity and to greater investor trust in the auction mechanism.
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| 5. |
- Frino, Alex, et al.
(författare)
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Are option traders more informed than Twitter users? A PVAR analysis
- 2022
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Ingår i: Journal of futures markets. - : Wiley. - 0270-7314 .- 1096-9934. ; 42:9, s. 1755-1771
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Tidskriftsartikel (refereegranskat)abstract
- Prior research has examined whether Twitter information predicts stock returns and volatility. We study the causality between Twitter information, stock‐realized volatility, and option‐implied volatility using a panel vector autoregressive model. Using panel data on S&P/ASX 200 stocks, we reveal a bidirectional causalitybetween realized volatility and Twitter activity and divergence of opinion. We alsofind strong evidence of causality from implied idiosyncratic volatility to Twitter activity, sentiment, and divergence of opinion. Our results highlight the role of theoptions market in predicting Twitter information and monitoring social mediaflows to prevent the spread of fake news.
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| 6. |
- Hasselgren, Anton, et al.
(författare)
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Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?
- 2024
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Ingår i: International Journal of Forecasting. - 0169-2070 .- 1872-8200.
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Tidskriftsartikel (refereegranskat)abstract
- This paper explores whether the dispersion in forecasted crude oil prices from the European Central Bank Survey of Professional Forecasters can provide insights for predicting crude oil return volatility. It is well-documented that higher disagreement among forecasters of asset price implies greater uncertainty and higher return volatility. Using several Generalized Autoregressive Conditional Heteroskedasticity with Mixed Data Sampling (GARCH-MIDAS) models, we find, based on the in-sample estimation results, the oil market experiences greater volatility when the forecasters’ disagreements increase. The model that integrates both historical realized variance and forward-looking forecaster disagreement into the conditional variance, along with the model focusing solely on pure forward-looking forecaster disagreement, exhibits a much superior fit to the data compared to the model relying solely on realized variance and the models considering forward-looking forecasted mean return. The out-of-sample forecasting results unequivocally illustrate that incorporating forecaster disagreement offers valuable insights, markedly enhancing the predictive accuracy of crude oil return volatility within the GARCH-MIDAS model. Moreover, we illustrate the economic benefit of considering forecasters’ disagreement when forecasting volatility, demonstrating its significance for VaR risk management.
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| 7. |
- Haycock, Philip C., et al.
(författare)
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Association Between Telomere Length and Risk of Cancer and Non-Neoplastic Diseases A Mendelian Randomization Study
- 2017
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Ingår i: JAMA Oncology. - : American Medical Association. - 2374-2437 .- 2374-2445. ; 3:5, s. 636-651
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Tidskriftsartikel (refereegranskat)abstract
- IMPORTANCE: The causal direction and magnitude of the association between telomere length and incidence of cancer and non-neoplastic diseases is uncertain owing to the susceptibility of observational studies to confounding and reverse causation. OBJECTIVE: To conduct a Mendelian randomization study, using germline genetic variants as instrumental variables, to appraise the causal relevance of telomere length for risk of cancer and non-neoplastic diseases. DATA SOURCES: Genomewide association studies (GWAS) published up to January 15, 2015. STUDY SELECTION: GWAS of noncommunicable diseases that assayed germline genetic variation and did not select cohort or control participants on the basis of preexisting diseases. Of 163 GWAS of noncommunicable diseases identified, summary data from 103 were available. DATA EXTRACTION AND SYNTHESIS: Summary association statistics for single nucleotide polymorphisms (SNPs) that are strongly associated with telomere length in the general population. MAIN OUTCOMES AND MEASURES: Odds ratios (ORs) and 95% confidence intervals (CIs) for disease per standard deviation (SD) higher telomere length due to germline genetic variation. RESULTS: Summary data were available for 35 cancers and 48 non-neoplastic diseases, corresponding to 420 081 cases (median cases, 2526 per disease) and 1 093 105 controls (median, 6789 per disease). Increased telomere length due to germline genetic variation was generally associated with increased risk for site-specific cancers. The strongest associations (ORs [ 95% CIs] per 1-SD change in genetically increased telomere length) were observed for glioma, 5.27 (3.15-8.81); serous low-malignant-potential ovarian cancer, 4.35 (2.39-7.94); lung adenocarcinoma, 3.19 (2.40-4.22); neuroblastoma, 2.98 (1.92-4.62); bladder cancer, 2.19 (1.32-3.66); melanoma, 1.87 (1.55-2.26); testicular cancer, 1.76 (1.02-3.04); kidney cancer, 1.55 (1.08-2.23); and endometrial cancer, 1.31 (1.07-1.61). Associations were stronger for rarer cancers and at tissue sites with lower rates of stem cell division. There was generally little evidence of association between genetically increased telomere length and risk of psychiatric, autoimmune, inflammatory, diabetic, and other non-neoplastic diseases, except for coronary heart disease (OR, 0.78 [ 95% CI, 0.67-0.90]), abdominal aortic aneurysm (OR, 0.63 [ 95% CI, 0.49-0.81]), celiac disease (OR, 0.42 [ 95% CI, 0.28-0.61]) and interstitial lung disease (OR, 0.09 [ 95% CI, 0.05-0.15]). CONCLUSIONS AND RELEVANCE: It is likely that longer telomeres increase risk for several cancers but reduce risk for some non-neoplastic diseases, including cardiovascular diseases.
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| 8. |
- Hou, Ai Jun, et al.
(författare)
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Futures trading costs and market microstructure invariance : Identifying bet activity
- 2024
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Ingår i: Journal of futures markets. - 0270-7314 .- 1096-9934.
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Tidskriftsartikel (refereegranskat)abstract
- Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, but these variables are inherently difficult to identify. With futures transactions data, we estimate bet volume as the trading volume of brokerage firms that trade on behalf of their clients and bet volatility as the trade-related component of futures volatility. We find that the futures bid–ask spread lines up with bet volume and bet volatility as predicted by MMI, and that intermediation by high-frequency traders does not interfere with the MMI relation.
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| 9. |
- Hou, Ai Jun, et al.
(författare)
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Spillover effects of monetary policy and information shocks
- 2024
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Ingår i: Finance Research Letters. - 1544-6123 .- 1544-6131. ; 62
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Tidskriftsartikel (refereegranskat)abstract
- Central bank announcements convey monetary policy actions and the bank’s assessment of the economic outlook. By analyzing the monetary and information shocks from the Federal Reserve (Fed) and the European Central Bank (ECB), we find that the information shocks from the ECB and Fed, in addition to the monetary policy shocks from both central banks, contribute to the comovement of interest rates in many countries. Our findings underscore the role played by business cycle comovements, foreign exchange dynamics, and financial openness as transmission channels for monetary policy shocks and information shocks.
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| 10. |
- Nordén, Lars, et al.
(författare)
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Option Happiness and Liquidity : Is the Dynamics of the Volatility Smirk Affected by Relative Option Liquidity?
- 2012
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Ingår i: Journal of futures markets. - : Wiley. - 0270-7314 .- 1096-9934. ; 32:1, s. 47-74
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Tidskriftsartikel (refereegranskat)abstract
- This study investigates the dynamic relationship between option happiness (the steepness of the volatility smirk) and relative index option liquidity. We find that, on a daily basis, option happiness is significantly dependent on the relative liquidity between option series with different moneyness. In particular, deterioration (improvement) in liquidity of an out-of-the-money put option relative to a concurrent at-the-money call option would lead to higher (lower) option happiness. This relationship is robust to relative option liquidity measures based on bid-ask spreads, option price impacts, and option order book imbalances. The results also show a significant maturity effect in option happiness, consistent with the notion that options are “dying smiling”.
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