Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries

Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to the standard “variance ratio” approach, this model deals naturally with (i) simultaneous quotes in an overlap, (ii) missing observations in a...

Prevalence of hepatitis A across various countries in the Middle East, African and Eastern European countries

Agrarian Reforms in Eastern European Countries: Lessons from International Experience

The fall of the Berlin wall has led to a monumental change in the social and economic structure of most countries in Central and Eastern Europe (CEE) and the CIS that have profoundly affected the nature of the rural sector and the livelihood opportunities open to rural residents. Prior to 1990, most of these countries had de facto abolished private property rights in favor of state or cooperati...

Non-Price Competitiveness Gains of Central, Eastern and Southeastern European Countries in the EU Market

Price Discovery in European Volatility Interruptions

We study a special form of securities market circuit breaker, i.e., European volatility interruptions. Instead of halt trading like traditional circuit breaker, these short-living call auctions allow for continual price discovery after price limit hits. Based upon approximately 1,800 Xetra volatility interruption events from 01/2009 to 01/2012, we empirically assess whether such auctions contri...