scholarly journals The Long Memory of Order Flow in the Foreign Exchange Spot Market

2016 ◽  
Vol 02 (01) ◽  
pp. 1650001 ◽  
Author(s):  
Martin D. Gould ◽  
Mason A. Porter ◽  
Sam D. Howison
Keyword(s):  
Foreign Exchange ◽  
Long Memory ◽  
Structural Breaks ◽  
Alternative Hypothesis ◽  
Empirical Studies ◽  
Spot Market ◽  
Order Flow ◽  
Stable Estimation ◽  
Using Data ◽  
Empirical Property

We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in contrast to existing empirical studies of other markets, our data enables us to perform statistically stable estimation without needing to aggregate data from different trading days. We find strong evidence of long memory, with a Hurst exponent [Formula: see text], for each of the three currency pairs and on each trading day in our sample. We repeat our calculations using data that spans different trading days, and we find no significant differences in our results. We test and reject the hypothesis that the apparent long memory of order flow is an artifact caused by structural breaks, in favor of the alternative hypothesis of true long memory. We therefore conclude that the long memory of order flow in the FX spot market is a robust empirical property that persists across daily boundaries.

scholarly journals The Long Memory of Order Flow in the Foreign Exchange Spot Market

2015 ◽  
Author(s):  
Martin David Gould ◽  
Mason Alexander Porter ◽  
Sam Howison
Keyword(s):  
Foreign Exchange ◽  
Long Memory ◽  
Spot Market ◽  
Order Flow

scholarly journals Determinants of Corporate Anti-Corruption Disclosure: The Case of the Emerging Economics

2021 ◽  
Vol 13 (6) ◽  
pp. 3462
Author(s):  
Maider Aldaz Odriozola ◽  
Igor Álvarez Etxeberria
Keyword(s):  
Empirical Studies ◽  
Geographical Area ◽  
Control Variable ◽  
Emerging Countries ◽  
Point Of View ◽  
Press Freedom ◽  
Negative Effects ◽  
Key Factor ◽  
Using Data ◽  
Positive Effect

Corruption is a key factor that affects countries’ development, with emerging countries being a geographical area in which it tends to generate greater negative effects. However, few empirical studies analyze corruption from the point of view of disclosure by companies in this relevant geographical area. Based on a regression analysis using data from the 96 large companies from 15 emerging countries included in the 2016 International Transparency Report, this paper seeks to understand what determinants affect such disclosure. In that context, this paper provides empirical evidence to understand the factors that influence reporting on anti-corruption mechanisms in an area of high economic importance that has been little studied to date, pointing to the positive effect of press freedom in a country where the company is located and with the industry being the unique control variable that strengthens this relationship.

Absence of the weekend effect and industry-style portfolios

2019 ◽  
Vol 12 (4) ◽  
pp. 463-475
Author(s):  
Selma Izadi ◽  
Abdullah Noman
Keyword(s):  
New York ◽  
Stock Market ◽  
Structural Breaks ◽  
Stock Exchange ◽  
Structural Break ◽  
Weekend Effect ◽  
Content Type ◽  
Market Portfolio ◽  
The Us ◽  
Using Data

Purpose The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design/methodology/approach The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios. Findings As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper. Originality/value As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

scholarly journals Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

2018 ◽  
Vol 24 (1) ◽  
pp. 412-426 ◽  
Author(s):  
Elie Bouri ◽  
Luis A. Gil-Alana ◽  
Rangan Gupta ◽  
David Roubaud
Keyword(s):  
Long Memory ◽  
Structural Breaks

scholarly journals Corporate Income Shifting in an Era of Tax Multilateralism: The Impact of Exchange-of-Information Agreements

2021 ◽  
Vol 69 (2) ◽  
pp. 357-389
Author(s):  
Devan Mescall ◽  
Paul Nielsen
Keyword(s):  
Multinational Corporations ◽  
Multinational Enterprises ◽  
Transfer Pricing ◽  
Empirical Studies ◽  
Annual Reports ◽  
Income Shifting ◽  
Exchange Of Information ◽  
Pricing Rules ◽  
Using Data ◽  
The Impact

Using data from the annual reports of over 100,000 subsidiaries of multinational enterprises (MNEs) from 55 countries between 2003 and 2012, the authors of this article investigate the impact of exchange-of-information agreements ("EOI agreements") on tax-motivated income shifting. Transparency created by the signing of EOI agreements is expected to reduce the tax-motivated shifting of income by multinational corporations. Whether such agreements affect the income-shifting behaviour of multinational corporations is an unanswered question. The authors find evidence that, on average, EOI agreements do have an impact on tax-motivated income shifting. Additionally, they find that more advanced, modern EOI agreements are associated with a larger decrease in tax-motivated income shifting compared to the impact of early EOI agreements. This evidence challenges the prevalent assumption in empirical studies that EOI agreements are homogeneous. Supplemental analyses suggest that factors that affect the information asymmetry between MNEs and tax authorities, such as corporations with high levels of intangibles and tax authorities with strong transfer-pricing rules and enforcement, can diminish or enhance the effectiveness of EOI agreements in moderating tax-motivated income shifting. The evidence provided by this study shows that consideration of the tax authorities' information environment and the substance of an EOI agreement is essential when assessing the impact of such an agreement on the tax behaviour of sophisticated taxpayers such as multinational corporations.

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