K e y w o r d s: market microstructure, day-of-the-week effect, liquidity, turnover, HAC, GARCH, Warsaw Stock Exchange. J E L Classification: C10, C58, G10, G12.

Given that a multinational enterprise can react flexibly upon exchange rate movements, international trade flows may be interpreted as an option. An enterprise will opt to export if the profits obtained from exporting under given exchange rate developments are greater than if foreign subsidiary sales were opted. Naturally, given negative exchange rate scenario situations, an enterprise will cho...

This paper analyzes the role of money in asset markets characterized by search frictions. We develop a dynamic framework that brings together a model for illiquid financial assets à la Duffie, Gârleanu, and Pedersen, and a search-theoretic model of monetary exchange à la Lagos and Wright. The presence of decentralized financial markets generates an essential role for money, which helps investor...

We investigate how the elimination of intra-European exchange risk may affect international financial markets using a conditional version of the International CAPM. We estimate the EMU and non-EMU components of aggregate currency risk and document significant exposures to both. The premium for EMU risk is positive and associated with exposure to the French, Italian and Spanish currencies. The p...

Recent research has revealed a wealth of information about the microeconomics of currency markets and thus the determination of exchange rates at short horizons. This information should help in designing exchange-rate models. This paper analyzes an existing model that was previously demonstrated to be consistent with most of the major puzzles that have emerged under floating rates. It shows tha...

Abstract The aim of this paper is to analyze the long-lasting dynamic relationship between credit default swap (CDS) premia and government bond spreads (GBS), with regard sovereign risk. practical focus evaluate whether CDS market effectively leading or lagging in risk price discovery process during last decade monetary easing. analysis extends all “sensitive” countries Eurozone, so-called “PII...

Existing studies of country funds utilize return measures and do not consider the effects of investor risk specifically. We examine the time-varying asymmetric investor risk hypothesis for country fund premiums and find that volume and volatility in both the U.S. and foreign markets are generally important. While the U.S. volume and volatility are more important than similar foreign variables o...

Most stock exchange regulators around the world reacted to the 2007-2009 crisis by imposing bans or regulatory constraints on short-selling. Short-selling restrictions were imposed and lifted at different dates in different countries, often applied to different sets of stocks and featured different degrees of stringency. We exploit this considerable variation in short-sales regimes to identify ...

The objective of this paper is to examine the performance of specific technical rules in the Athens Stock Exchange (ASE). In particular, we further investigate and provide modifications for Brock, Lakonishok, and LeBaron (1992) methodology, finding various forms of technical analysis that contain significant forecast power for ASE returns. Furthermore, we test one of the most popular trading ru...

Using the spectral regression and Gaussian semiparametric methods of estimating the long-memory parameter, we test for fractional dynamic behavior in a number of important Japanese financial time series: spot exchange rates, forward exchange rates, stock prices, currency forward premia, Euroyen deposit rates, and the Euroyen term premium. Stochastic long memory is established as a feature of th...