1. Time to Slow Down for High‐Frequency Trading? Lessons from Artificial Markets. (2017). Oriol, Nathalie ; Bajo, Javier ; Harb, Etienne ; Arena, Lise ; Veryzhenko, Iryna.
   In: Intelligent Systems in Accounting, Finance and Management.
   RePEc:wly:isacfm:v:24:y:2017:i:2-3:p:73-79.

   Full description at Econpapers || Download paper

2. The impact of the French financial transaction tax on HFT activities and market quality. (2017). Oriol, Nathalie ; Louhichi, Wael ; Harb, Etienne ; Veryzhenko, Iryna.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:67:y:2017:i:c:p:307-315.

   Full description at Econpapers || Download paper

1. Andersen, T., Bollerslev, T., Diebold, F. and Vega, C. (2007), Real-time price discovery in global stock. bond and foreign exchange markets, Journal of International Economics, 73:251-277.

2. Baltagi, B., Li, D. and Li, Q. (2006), Transaction tax and stock market behavior: evidence from and emerging market, Empirical Economics, 31:393-408.

3. Bekaert, G. and Harvey, C. (1997), Emerging equity market volatility, Journal of Financial Economics, 43:29-77.

4. Bresnahan, T., Milgrom, P. and Paul, J. (1992), The real output of the stock exchange, in Griliches, Z. (ed.), Output Measurement in the Service Sectors. Chicago, University of Chicago Press.

5. Cont, R. (2001), Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance, 1:223-236.

6. DeFond, M., Hung, M. and Trezevant, R. (2007), Investor protection and the information content of annual earnings announcements: international evidence, Journal of Accounting and Economics, 43:37-67.

7. Demary, M. (2010), Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model, Economics E-Journal: 4(20108) .

8. Ding, Z., Granger, C. and Engle, R. (1993), A long memory property of stock market returns and a new model, Journal of Empirical Finance, 1:83–106.

9. Easterly, W., Roumeen I. and Stiglitz. J. (2001), Shaken and stirred: Explaining growth volatility, in Pleskovic, B. and Stern, N. (eds), Annual World Bank Conference on Development Economics 2000. Washington, World Bank.
   Paper not yet in RePEc: Add citation now
   

10. Economic Sciences Prize Committee of the Royal Swedish Academy of Sciences (2013), Understanding asset prices. Stockholm, The Royal Sweden Academy of Sciences.

11. Ehrenstein, G., Westerhoff, F. and Stauffer, D. (2005), Tobin tax and market depth. Quantitative Finance. 5:213-218.

12. Farmer, D. and Joshi, S. (2002), The price dynamics of common trading strategies, Journal of Economic Behavior and Organization, 49:149-171.

13. Fricke, D. and Lux, T. (2015), The effects of a financial transaction tax in an artificial financial market, Journal of Economic Interaction and Coordination, 10:119-150.

14. Griffin, J., Hirschey, N. and Kelly, P. (2008), Why does the reaction to news announcements vary across countries?, University of Texas at Austin, mimeo.
    Paper not yet in RePEc: Add citation now
    

15. Hau, H. (2006), The role of transaction costs for financial volatility: evidence from the Paris bourse, Journal of the European Economic Association, 4:862-890.

16. Hommes, C. (2006), Heterogeneous agent models in economics and finance, in L. Tesfatsion, L. and Judd, K. (eds), Handbook of Computational Economics, Vol. 2. Amsterdam, Elsevier.

17. I Working Paper del Dipartimento di Economia e Diritto ottemperano agli obblighi previsti dall’art. 1 del D.L.: 31.8.45 n. 660 e dal Decreto del Presidente della Repubblica 3 maggio 2006 n.252, art.37.
    Paper not yet in RePEc: Add citation now
    
18. International Monetary Fund (2010), A Fair and Substantial Contribution: A Framework for Taxation and Resolution to Improve Financial Stability. Draft Report to the G-20. Washington, IMF.
    Paper not yet in RePEc: Add citation now
    
19. Keynes, J. (1936), The General Theory of Employment. Interest. and Money. New York, Harcourt Brace.
    Paper not yet in RePEc: Add citation now
    

20. Kitromilides Y. and Gonzáles, A. (2013), The EU financial transaction tax: antecedents and current debate, Panoeconomicus, 3:311-321.

21. Kohers, G., Kohers, N. and Kohers, T. (2006), The risk and return characteristics of developed and emerging stock markets: the recent evidence, Applied Economics Letters, 13:737-743.

22. LeBaron, B. (2006), Agent-based computational finance, in Tesfatsion, L. and Judd, K. (eds), Handbook of Computational Economics, Vol. 2. Amsterdam, Elsevier.

23. Malkiel, B. (2003), The Efficient Market Hypothesis and its critics, Journal of Economic Perspectives, 17:59-82.

24. Mannaro, K., Marchesi, M. and Setzu, A. (2008), Using an artificial financial market for assessing the impact of Tobin-like transaction taxes, Journal of Economic Behavior and Organization, 67:445-462.

25. Manski, C. and McFadden, D. (1981), Alternative estimators and sample designs for discrete choice models, in Manski, C. and McFadden, D. (eds), Structural Analysis of Discrete Data with Econometric Applications. Cambridge, MA: MIT Press.
    Paper not yet in RePEc: Add citation now
    

26. Matheson, T. (2011), Taxing financial transactions: issues and evidence, IMF Working Paper No.11/54.

27. Obstfeld, M. and Rogoff, K. (2000), The six major puzzles in international macroeconomics: is there a common cause?, in Bernanke, B. and Rogoff, K. (eds), NBER Macroeconomics Annual, 15:339-390.

28. Ostry, J., Gosh, A., Chamon, M. and Qureshi, M. (2012), Tools for managing financialstability risks from capital inflows, Journal of International Economics, 88:407421.

29. Recchioni, M.C., Tedeschi, G. and Gallegati, M. (2015), A calibration procedure for analyzing stock price dynamics in an agent-based framework, Journal of Economic Dynamics and Control, 60:1-25.

30. Schwartz, R., Byrne, J. and Wheatley, L. (eds) (2015), The Economic Function of a Stock Exchange. Berlin. Springer.
    Paper not yet in RePEc: Add citation now
    

31. Shiller, R. (1981), Do stock prices move too much to be justified by subsequent changes in dividends?, American Economic Review, 71:421-436.

32. Shiller, R. (2003), From efficient markets theory to behavioral finance, Journal of Economic Perspectives, 17:83-104.

33. Shleifer, A. (2000), Inefficient Markets. Oxford, Oxford University Press.

34. Stiglitz, J. (1989), Using tax policy to curb speculative short-term trading, Journal of Financial Services Research, 3:101-115.

35. Tobin, J. (1972), Currency Transaction Tax. Princeton, Princeton University Press.
    Paper not yet in RePEc: Add citation now
    

36. Tobin, J. (1978), A proposal for international monetary reform, Eastern Economic Journal, 4:153-159.

37. Westerhoff, F. (2003), Heterogeneous traders and the Tobin tax, Journal of Evolutionary Economics, 13:53-70.

38. Westerhoff, F. (2010), A simple agent-based financial market model: direct interactions and comparisons of trading profits, in Bischi, G. et al. (eds), Nonlinear Dynamics in Economics. Finance and Social Sciences. Berlin, Springer.
    Paper not yet in RePEc: Add citation now
    

39. Westerhoff, F. and Dieci, R. (2006), The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach, Journal of Economic Dynamics and Control, 30:293-322.

40. Westerhoff, F. and Pellizzari, P. (2009), Some effects of transaction taxes under different microstructures, Journal of Economic Behavior and Organization, 72:850863.

1. What triggers stock market jumps?. (2021). Davis, Steven ; bloom, nicholas ; Sammon, Marco ; Baker, Scott R.
   In: CEP Discussion Papers.
   RePEc:cep:cepdps:dp1789.

   Full description at Econpapers || Download paper

2. Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio .
   In: Working Paper Series.
   RePEc:ecb:ecbwps:20161901.

   Full description at Econpapers || Download paper

3. Volume, Volatility and Public News Announcements. (2016). Xue, Yuan ; Li, Jia.
   In: CREATES Research Papers.
   RePEc:aah:create:2016-19.

   Full description at Econpapers || Download paper

4. The world market risk premium and U.S. macroeconomic announcements. (2015). Du, Ding ; Hu, OU.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:58:y:2015:i:c:p:75-97.

   Full description at Econpapers || Download paper

5. Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices. (2013). Tourani-Rad, Alireza ; Frijns, Bart ; Badshah, Ihsan ; TouraniRad, Alireza .
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:33:y:2013:i:6:p:555-572.

   Full description at Econpapers || Download paper

6. The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market. (2013). Marfatia, Hardik ; Kishor, N.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:24:y:2013:i:c:p:1-24.

   Full description at Econpapers || Download paper

7. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
   In: Discussion Papers of DIW Berlin.
   RePEc:diw:diwwpp:dp1302.

   Full description at Econpapers || Download paper

8. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_4264.

   Full description at Econpapers || Download paper

9. The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland. (2012). Neuenkirch, Matthias ; Hayo, Bernd ; Buttner, David .
   In: Empirica.
   RePEc:kap:empiri:v:39:y:2012:i:1:p:19-44.

   Full description at Econpapers || Download paper

10. U.S. Monetary Policy Surprises and International Securitized Real Estate Markets. (2011). Yang, Jian ; Xu, Pisun .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:43:y:2011:i:4:p:459-490.

    Full description at Econpapers || Download paper

11. The Real Exchange Rate, Real Interest Rates, and the Risk Premium. (2011). Engel, Charles.
    In: Working Papers.
    RePEc:hkm:wpaper:272011.

    Full description at Econpapers || Download paper

12. Information aggregation around macroeconomic announcements: Revisions matter. (2011). Gilbert, Thomas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:1:p:114-131.

    Full description at Econpapers || Download paper

13. The reaction of stock returns to unexpected increases in the federal funds rate target. (2011). Tsai, Chun-Li.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y::i:2:p:121-138.

    Full description at Econpapers || Download paper

14. Does the Bund dominate price discovery in Euro bond futures? Examining information shares. (2011). Menkhoff, Lukas ; Fricke, Christoph.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1057-1072.

    Full description at Econpapers || Download paper

15. Simultaneous monetary policy announcements and international stock markets response: An intraday analysis. (2011). Hussain, Syed Mujahid.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:3:p:752-764.

    Full description at Econpapers || Download paper

16. Extreme returns: The case of currencies. (2011). Savaser, Tanseli ; Osler, Carol .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2868-2880.

    Full description at Econpapers || Download paper

17. The effect of macroeconomic news on stock returns: New evidence from newspaper coverage. (2011). Birz, Gene ; Lott, John R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2791-2800.

    Full description at Econpapers || Download paper

18. The impact of macroeconomic news on quote adjustments, noise, and informational volatility. (2011). Veredas, David ; Hautsch, Nikolaus ; Hess, Dieter .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2733-2746.

    Full description at Econpapers || Download paper

19. Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets. (2011). Tamirisa, Natalia ; Nowak, Sylwia ; Jobst, Andreas ; Andritzky, Jochen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2584-2597.

    Full description at Econpapers || Download paper

20. Intraday jumps and US macroeconomic news announcements. (2011). Evans, Kevin P..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2511-2527.

    Full description at Econpapers || Download paper

21. Size, book-to-market ratio and macroeconomic news. (2011). Cenesizoglu, Tolga.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:248-270.

    Full description at Econpapers || Download paper

22. A reduced form framework for modeling volatility of speculative prices based on realized variation measures. (2011). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:176-189.

    Full description at Econpapers || Download paper

23. The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility. (2010). Veredas, David ; Hautsch, Nikolaus ; Hess, Dieter .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2010-005.

    Full description at Econpapers || Download paper

24. News announcements and price discovery in foreign exchange spot and futures markets. (2010). Gau, Yin-Feng ; Chen, Yu-Lun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1628-1636.

    Full description at Econpapers || Download paper

25. The electronic trading systems and bid-ask spreads in the foreign exchange market. (2010). Ding, Liang ; Hiltrop, Jonas .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:4:p:323-345.

    Full description at Econpapers || Download paper

26. Dynamic news effects in high frequency Euro exchange rates. (2010). Evans, Kevin P. ; Speight, Alan E. H., .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:238-258.

    Full description at Econpapers || Download paper

27. Trading activity, realized volatility and jumps. (2010). PETITJEAN, Mikael ; Laurent, Sébastien ; Giot, Pierre.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:1:p:168-175.

    Full description at Econpapers || Download paper

28. Asset Prices, News Shocks and the Current Account. (2010). Straub, Roland ; Fratzscher, Marcel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8080.

    Full description at Econpapers || Download paper

29. The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility. (2009). Laakkonen, Helinä ; Lanne, Markku.
    In: MPRA Paper.
    RePEc:pra:mprapa:23718.

    Full description at Econpapers || Download paper

30. The Determinants of Stock and Bond Return Comovements. (2009). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15260.

    Full description at Econpapers || Download paper

31. Financial crisis, exchange rate and stock market integration. (2009). Yoshida, Yushi.
    In: Discussion Papers.
    RePEc:kyu:dpaper:38.

    Full description at Econpapers || Download paper

32. Global private information in international equity markets. (2009). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:1:p:18-46.

    Full description at Econpapers || Download paper

33. The on-the-run liquidity phenomenon. (2009). Pasquariello, Paolo ; Vega, Clara .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:92:y:2009:i:1:p:1-24.

    Full description at Econpapers || Download paper

34. The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence. (2009). Yang, Jian ; Zhou, Yinggang ; Wang, Zijun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:4:p:670-680.

    Full description at Econpapers || Download paper

35. Real-time effects of central bank intervention in the euro market. (2009). Fatum, Rasmus ; Pedersen, Jesper .
    In: Journal of International Economics.
    RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20.

    Full description at Econpapers || Download paper

36. Empirical evidence on jumps in the term structure of the US Treasury Market. (2009). Smith, L. Vanessa ; Dungey, Mardi ; McKenzie, Michael .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445.

    Full description at Econpapers || Download paper

37. Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news. (2009). Ozatay, Fatih ; Şahinbeyoğlu, Gülbin ; zmen, Erdal ; Sahinbeyoglu, Gulbin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:2:p:526-531.

    Full description at Econpapers || Download paper

38. Asset prices and current account fluctuations in G7 economies. (2009). Straub, Roland ; Fratzscher, Marcel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20091014.

    Full description at Econpapers || Download paper

39. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?. (2009). Kilian, Lutz ; Hicks, Bruce .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7265.

    Full description at Econpapers || Download paper

40. Macroeconomic Volatility and Stock Market Volatility, World-Wide. (2008). Yilmaz, Kamil ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:08-031.

    Full description at Econpapers || Download paper

41. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
    In: Economics Papers.
    RePEc:nuf:econwp:0804.

    Full description at Econpapers || Download paper

42. Macroeconomic Volatility and Stock Market Volatility, Worldwide. (2008). Yilmaz, Kamil ; Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14269.

    Full description at Econpapers || Download paper

43. Efficient Prediction of Excess Returns. (2008). Wright, Jonathan ; Faust, Jon.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14169.

    Full description at Econpapers || Download paper

44. New Shocks, Exchange Rates and Equity Prices. (2008). Rebucci, Alessandro ; Pisani, Massimiliano ; Matsumoto, Akito ; Cova, Pietro.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2008/284.

    Full description at Econpapers || Download paper

45. Information shares in the US Treasury market. (2008). Neely, Christopher ; Mizrach, Bruce.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:7:p:1221-1233.

    Full description at Econpapers || Download paper

46. Macroeconomic cycles and the stock markets reaction to monetary policy. (2008). Kurov, Alexander ; Basistha, Arabinda.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:12:p:2606-2616.

    Full description at Econpapers || Download paper

47. Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices. (2008). Vega, Clara ; Kilian, Lutz.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7015.

    Full description at Econpapers || Download paper

48. The microstructure of the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-052.

    Full description at Econpapers || Download paper

49. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-19.

    Full description at Econpapers || Download paper

50. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures. (2007). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-14.

    Full description at Econpapers || Download paper

Report date: 2025-02-26 08:05:25 || Missing content? Let us know