Search Results - "Booth, G Geoffrey"

The market dynamics of socially embedded trading by Frank, Kenneth A, Lo, Yun-Jia, Booth, G Geoffrey, Kallunki, Juha-Pekka

“…Social embeddedness has provided a compelling challenge to neoclassical descriptions of markets. Nevertheless, without a corresponding description of the…”
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Price discovery and common factor models by Baillie, Richard T., Geoffrey Booth, G., Tse, Yiuman, Zabotina, Tatyana

“…If a financial asset is traded in more than one market, common factor models may be used to measure the contribution of these markets to the price discovery…”
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Trading and Pricing in Upstairs and Downstairs Stock Markets by Booth, G. Geoffrey, Lin, Ji-Chai, Martikainen, Teppo, Tse, Yiuman

“…We provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market…”
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The complex nature of financial market microstructure: the case of a stock market crash by Shi, Feng, Broussard, John Paul, Booth, G Geoffrey

“…This paper uses multivariate Hawkes processes to model the transactions behavior of the US stock market as measured by the 30 Dow Jones Industrial Average…”
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A risk-return explanation of the momentum-reversal “anomaly” by Geoffrey Booth, G., Fung, Hung-Gay, Leung, Wai Kin

“…This study investigates the nature of the momentum-reversal phenomenon exhibited by U.S. stock returns from 1962 to 2013. We use cumulative future returns of…”
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Foreign vs domestic investors and the post-announcement drift by Booth, G Geoffrey, Juha-Pekka Kallunki, Sahlström, Petri, Tyynelä, Jakko

“…This paper aims to investigate who causes post-announcement drift and whether this drift is observed for various types of news announcements. Using Finnish…”
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German dominance in the European Monetary System: a reprise using robust Wald tests by Geoffrey Booth, G., Ciner, Cetin

“…This study re-examines the German dominance hypothesis in the EMS. A VAR in levels approach is adopted and modified Wald tests, which are robust to…”
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An Editor's reflections by Geoffrey Booth, G.

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Calendar anomalies in the Turkish foreign exchange markets by Aydoğan, Kürsat, Geoffrey Booth, G.

“…This paper investigates calendar anomalies in the Turkish foreign exchange markets during 1986-1994 period. Changes in the free market and official daily…”
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Domestic exchange rate determination in Renaissance Florence by Booth, G. Geoffrey, Chang, Sanders S.

“…We explore the price-setting protocol used by the money-changers guild, the Arte del Cambio , to set the exchange rate between domestic gold and silver coins…”
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Financial networks and trading in bond markets by Booth, G. Geoffrey, Gurun, Umit G., Zhang, Harold

“…We examine how financial networks influence asset prices and trading performance. Consistent with theoretical studies on the role of communication networks in…”
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Linkages among agricultural commodity futures prices: evidence from Tokyo by Geoffrey Booth, G., Ciner, Cetin

“…This paper investigates alternative explanations of long-term comovements among the prices of agricultural commodity futures contracts. A long-term…”
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Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves? by Booth, G. Geoffrey, Chowdhury, Mustafa, Martikainen, Teppo, Tse, Yiuman

“…The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock index futures markets in the period…”
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Asymmetric volatility transmission in international stock markets by Koutmos, Gregory, Booth, G.Geoffrey

“…The transmission mechanism of price and volatility spillovers across the New York, Tokyo and London stock markets is investigated. The asymmetric impact of…”
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Common volatility in major stock index futures markets by Geoffrey Booth, G., Chowdhury, Mustafa, Martikainen, Teppo

“…The main objective of this paper is to investigate whether the US, UK and Japanese stock index futures markets have a similar volatility process. For this…”
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The relationship between US and Canadian wheat futures by Geoffrey Booth, G., Brockman, Paul, Tse, Yiuman

“…The purpose of this paper is to investigate the relationship between US and Canadian wheat futures prices in order to analyse the degree of information…”
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Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market by Tse, Yiuman, Booth, G.Geoffrey

“…U.S. Treasury bill and Eurodollar futures are employed to investigate volatility spillovers between U.S. and Eurodollar interest rates. The paper shows that…”
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International transmission on information in corn futures markets by Geoffrey Booth, G., Ciner, Cetin

“…This paper examines the information transmission mechanism between corn futures traded in Tokyo and Chicago for the 1993–1995 period. Corn futures contracts…”
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Internalization and stock price clustering: Finnish evidence by Geoffrey Booth, G, Kallunki, Juha-Pekka, Lin, Ji-Chai, Martikainen, Teppo

“…Internalization, the practice of brokers executing trades in-house, is a significant phenomenon in the Helsinki Stock Exchange. During the continuous trading…”
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Price and volatility spillovers in Scandinavian stock markets by Booth, G.Geoffrey, Martikainen, Teppo, Tse, Yiuman

“…New evidence is provided on price and volatility spillovers among the Danish, Norwegian, Swedish, and Finnish stock markets. The impact of good news (market…”
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