Uninformed Traders in European Stock Markets

2010 ◽  
pp. 157-174
Author(s):  
Salvatore Modica
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Downside Risk ◽  
Capital Gains ◽  
Risk Averse ◽  
European Stock Markets

A fully informed agent bets with an uninformed over the capital gains of an asset. A divide-and-choose idea is adapted to induce both trade and revelation of information, but in equlibrium the uninformed buys high and sells low if he is downside risk averse. The result may be seen as an informed-price-maker counterpart of some findings of Glosten-Milgrom (1985) and Kyle (1985) on uninformed agents trading in financial markets.

Banning Cassandra from the Market? An Empirical Analysis of Short-Selling Bans during the Covid-19 Crisis

2020 ◽  
Vol 17 (3-4) ◽  
pp. 386-418 ◽  
Author(s):  
Gianfranco Siciliano ◽  
Marco Ventoruzzo
Keyword(s):  
Financial Markets ◽  
Information Asymmetry ◽  
Stock Markets ◽  
Abnormal Returns ◽  
Equity Market ◽  
Short Selling ◽  
Market Quality ◽  
Policy Goals ◽  
The World ◽  
European Stock Markets

During the recent COVID-19 pandemic crisis, stock markets around the world have witnessed an abrupt decline in security prices and an unprecedented increase in security volatility. In response to a week of financial turmoil on the main European stock markets, some market regulators in Europe, including France, Austria, Italy, Spain, Greece, and Belgium, passed temporary short-selling bans in an attempt to stop downward speculative pressures on the equity market and stabilize and maintain investors’ confidence. This paper examines the effects of these short-selling bans on market quality during the recent pandemic caused by the spread of COVID-19. Our results suggest that during the crisis, banned stocks had higher information asymmetry, lower liquidity, and lower abnormal returns compared with non-banned stocks. These findings confirm prior theoretical arguments and empirical evidence in other settings that short-selling bans are not effective in stabilizing financial markets during periods of heightened uncertainty. In contrast, they appear to undermine the policy goals market regulators intended to promote.

scholarly journals Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Laws ◽  
2021 ◽  
Vol 10 (3) ◽  
pp. 55
Author(s):  
Marius Cristian Miloș
Keyword(s):  
Financial Markets ◽  
Capital Markets ◽  
Stock Markets ◽  
Negative Impact ◽  
Short Term ◽  
Emerging Stock Markets ◽  
Volatility Analysis ◽  
Stock Indexes ◽  
European Stock Markets ◽  
The Impact

The paper investigates whether the implementation of MiFID II, a packet of financial legislation applying broadly to European Union financial markets, has led to a change in the volatility of some European developed and emerging stock markets. We show that for the developed capital markets considered in the analysis, MiFID II did not lead to a decrease in the volatility of capital markets. On the contrary, for all analysis intervals considered (3 months, 6 months, 12 months, 18 months and 24 months), the impact on volatility is positive, with volatility increasing in the case of the FTSE 100, CAC40 and DAX stock indexes. There is a similar significant relationship for the Czech stock market, but only over the three-month interval. For the Polish and Romanian stock markets, which enforced MiFID II later, a negative impact of MiFID II on volatility could also be observed. In the Romanian market, MiFID II had a negative impact on volatility on the short-term horizon, while for the Polish market, the impact of MiFID II on volatility is noticeable on a longer term of 24 months.

On The Risk-Return Relationship in European and MENA Major Stock Markets During the 2008 Financial Crisis

2016 ◽  
pp. 252-264
Author(s):  
Salim Lahmiri ◽  
Stephane Gagnon
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Stock Markets ◽  
Mena Region ◽  
2008 Financial Crisis ◽  
Risk Return ◽  
Show Evidence ◽  
The 2008 Financial Crisis ◽  
European Stock Markets ◽  
The Relationship

The purpose of this study is to examine the relationship between risk and return in financial markets. In particular, a comparative study is conducted to shed light on such association by using stock market data from Middle East and North Africa (MENA) and Europe. The exponential generalized autoregressive conditionally heteroskedastic in the mean (EGARCH-M) methodology is adopted to investigate the return generating process in financial markets under study during the 2008 financial crisis. Empirical findings show evidence that some MENA region financial markets generated more risk reward than European stock markets.

scholarly journals MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY

2021 ◽  
Vol 19 (01) ◽  
pp. 70-90
Author(s):  
Jatin Trivedi ◽  
Cristi Spulbar ◽  
Ramona Birau ◽  
Amir Mehdiabadi
Keyword(s):  
European Union ◽  
Financial Markets ◽  
Empirical Analysis ◽  
Stock Markets ◽  
The European Union ◽  
Volatility Clustering ◽  
Volatility Spillovers ◽  
Considerable Impact ◽  
European Stock Markets ◽  
The Empirical Analysis

Purpose – This article examines volatility spillovers, cross-market correlation, and comovements between selected developed and former communist emerging stock markets in the European Union. Modelling the behavioural dynamics of European stock markets represents a vital topic in a fascinating context, but also a current challenge of great interest. Research Methodology – We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings – The econometric approach includes GARCH (1, 1) models for the sample period from 1, January 2000 to 12, July 2018. The empirical results revealed that exists a significant presence of volatility clustering in all selected financial markets except Poland and Croatia. The empirical analysis also indicates that both recent and past news generate a considerable impact on present volatility. Research limitations – Our empirical study has certain limitations regarding the relatively small number of only eight stock markets. Practical implications – It can provide a useful perspective for researchers, academics, investors, investment managers, decision-makers, and scientists. Originality/Value – The empirical analysis is focused on 8 European stock markets, which are classified as developed (Spain, UK, Germany, and France) and emerging (Poland, Hungary, Croatia, and Romania).

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