1. Investor sentiment and insurers’ financial stability: do sovereign ratings matter?. (2020). Ye, Zhiwei ; Ullah, Farid ; Shahab, Yasir ; Ahmed, Danish .
   In: The Geneva Papers on Risk and Insurance - Issues and Practice.
   RePEc:pal:gpprii:v:45:y:2020:i:2:d:10.1057_s41288-020-00160-z.

   Full description at Econpapers || Download paper

2. The Chinese and The Big Three Credit Rating Agencies – their impact on stock prices. (2019). Jaworski, Piotr ; Jaworska, Patrycja Chodnicka.
   In: Faculty of Management Working Paper Series.
   RePEc:sgm:fmuwwp:22019.

   Full description at Econpapers || Download paper

3. On the Asymmetries of Sovereign Credit Rating Announcements and Financial Market Development in the European Region. (2019). Khan, Muhammad Asif ; Pervaiz, Khansa ; Li, Chunling ; Olah, Judit ; Ur, Faheem.
   In: Sustainability.
   RePEc:gam:jsusta:v:11:y:2019:i:23:p:6636-:d:290359.

   Full description at Econpapers || Download paper

4. ENVIRONMENTAL PERFORMANCE AND CAPITAL MARKETS--EVIDENCE FROM INDIA. (2019). Gupta, Shreekant ; Dang, Shubham ; Goldar, Bishwanath.
   In: Working papers.
   RePEc:cde:cdewps:303.

   Full description at Econpapers || Download paper

5. Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions. (2013). GUEGAN, Dominique ; Hassani, Bertrand K. ; Zhao, Xin.
   In: Documents de travail du Centre d'Economie de la Sorbonne.
   RePEc:mse:cesdoc:13034.

   Full description at Econpapers || Download paper

6. Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions. (2013). Zhao, Xin ; Hassani, Bertrand ; Guegan, Dominique.
   In: Post-Print.
   RePEc:hal:journl:halshs-00820839.

   Full description at Econpapers || Download paper

7. Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions. (2013). GUEGAN, Dominique ; Hassani, Bertrand ; Zhao, Xin.
   In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
   RePEc:hal:cesptp:halshs-00820839.

   Full description at Econpapers || Download paper

8. Contagion during the Greek sovereign debt crisis. (2013). Mink, Mark ; de Haan, Jakob.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:34:y:2013:i:c:p:102-113.

   Full description at Econpapers || Download paper

9. Ratings Hardwiring and Asset Prices. (2013). Pagratis, Spyros .
   In: Economica.
   RePEc:bla:econom:v:80:y:2013:i:320:p:621-649.

   Full description at Econpapers || Download paper

10. Contagion during the Greek Sovereign Debt Crisis. (2012). Mink, Mark ; de Haan, Jakob.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:335.

    Full description at Econpapers || Download paper

1. Admati, A.R., Pfleiderer, P., 1988. A theory of intraday patterns: Volume and price variability. Review of Financial Studies 1, 3-40.

2. Afonso, A., Furceri, D., Gomes, P., 2012. Sovereign credit ratings and financial markets linkages: Application to European data. Journal of International Money and Finance 31, 606-638.

3. Angrist, J., Pischke, J.-S., 2009. Mostly Harmless Econometrics: An Empiricist’s Companion. Princeton University Press.
   Paper not yet in RePEc: Add citation now
   
4. Baum, C.F., Schaffer, M.E., Stillman, S., 2011. IVREG29: Stata module for extended instrumental variables/2SLS and GMM estimation (v9). Statistical Software Components.
   Paper not yet in RePEc: Add citation now
   

5. Beaver, W.H., Shakespeare, C., Soliman, M.T., 2006. Differential properties in the ratings of certified versus non-certified bond-rating agencies. Journal of Accounting and Economics 42, 303-334.

6. Bekaert, G., Harvey, C.R., Lundblad, C., 2007. Liquidity and expected returns: Lessons from emerging markets. Review of Financial Studies 20, 1783-1831.

7. Bhattacharya , U., 2013. Insider Trading Controversies: A Literature Review. Working Paper.
   Paper not yet in RePEc: Add citation now
   

8. Bhattacharya, U., Daouk, H., Jorgenson, B., Kehr, C.-H., 2000. When an event is not an event: the curious case of an emerging market. Journal of Financial Economics 55, 69-101.

9. Boehmer, E., Musumeci, J., Poulsen, A.B., 1991. Event-study methodology under conditions of eventinduced variance. Journal of Financial Economics 30, 253-272.

10. Brooks, R., Faff, R.W., Hillier, D., Hillier, J., 2004. The national market impact of sovereign rating changes. Journal of Banking and Finance 28, 233-250.

11. Brown, S.J., Warner, J.B., 1980. Measuring security price performance. Journal of Financial Economics 8, 205-258.

12. Brunnermeier, M.K., 2005. Information leakage and market efficiency. Review of Financial Studies 18, 417-457.

13. Chae, J., 2005. Trading Volume, Information Asymmetry, and Timing Information. The Journal of Finance 60, 413-442 Cheng, M., Neamtiu, M., 2009. An empirical analysis of changes in credit rating properties: Timeliness, accuracy and volatility. Journal of Accounting and Economics 47, 108-130.

14. Cieslak, A., Morse, A., Vissing-Jorgensen, A., 2013. The economics of the pre-FOMC stock returns Work-in-progress.
    Paper not yet in RePEc: Add citation now
    

15. Djankov, S., La Porta, R., Lopez-de-Silanes, F., Shleifer, A., 2008. The law and economics of self-dealing. Journal of Financial Economics 88, 430-465.

16. Easterly, W., Levine, R., 2003. Tropics, germs, and crops: how endowments influence economic development. Journal of Monetary Economics 50, 3-39.

17. ESMA, 2013. Credit Rating Agencies: Sovereign Ratings Investigation.
    Paper not yet in RePEc: Add citation now
    
18. EU, 2009. Regulation (EC) No 1060/2009 of the European Parliament and of the Council. Official Journal of the European Union.
    Paper not yet in RePEc: Add citation now
    
19. EU, 2011. Regulation (EC) No 513/2011 of the European Parliament and of the Council. Official Journal of the European Union.
    Paper not yet in RePEc: Add citation now
    

20. Foster, F.D., Viswanathan, S., 1990. A theory of the interday variations in volume, variance, and trading costs in securities markets. Review of Financial Studies 3, 593-624 Gande, A., Parsley, D.C., 2005. News spillovers in the sovereign debt market. Journal of Financial Economics 75, 691-734.

21. Graham, J., Koski, J., Loewenstein, U., 2006. Information Flow and Liquidity Around Anticipated and Unanticipated Dividend Announcements. Journal of Business 79, 2301-2336.

22. Guiso, L., Sapienza, P., Zingales, L., 2008. Trusting the stock market. Journal of Finance 63, 2557-2600.

23. Hand, J.R.M., Holthausen, R.W., Leftwich, R.W., 1992. The Effect of Bond Rating Agency Announcements on Bond and Stock Prices. Journal of Finance 47, 733-752 Hill, P., Faff, R., 2010. The market impact of relative agency activity in the sovereign ratings market.

24. Hirshleifer, D., Subrahmanyam, A., Titman, S., 1994. Security analysis and trading patterns when some investors receive information before others. The Journal of Finance 49, 1665-1698 Holthausen, R.W., Leftwich, R.W., 1986. The effect of bond rating changes on common stock prices. Journal of Financial Economics 17, 57-89.

25. IOSCO, 2004. Code of Conduct Fundamentals for Credit Rating Agencies.
    Paper not yet in RePEc: Add citation now
    

26. Jarrell, G.A., Poulsen, A.B., 1989. Stock trading before the announcement of tender offers: Insider trading or market anticipation? Journal of Law, Economics and Organizations 8, 225–248.

27. Kaminsky, G., Schmukler, S.L., 2002. Emerging market instability: do sovereign ratings affect country risk and stock returns? The World Bank Economic Review 16, 171-195.

28. Khwaja, A.I., Mian, A., 2005. Unchecked intermediaries: Price manipulation in an emerging stock market. Journal of Financial Economics 78, 203-241.

29. Kolari, J.W., Pynnonen, S., 2010. Event study testing with cross-sectional correlation of abnormal returns. Review of Financial Studies 23, 3996-4025.

30. Kothari, S., Warner, J., 2007. Econometrics of Event Studies. Handbook of Corporate Finance: Empirical Corporate Finance. B. Espen Eckbo. Elsevier/North-Holland.
    Paper not yet in RePEc: Add citation now
    
31. Kroft, S., 2012. Congress: Trading stock on inside information? http://www.cbsnews.com/news/congresstrading -stock-on-inside-information.
    Paper not yet in RePEc: Add citation now
    

32. Kyle, A., 1985. Continuous auctions and insider trading. Econometrica 53, 1315–1336.

33. Lesmond, D., Ogden, J., Trzcinka, C., 1999. A new estimate of transaction costs. Review of Financial Studies 12, 1113-1141.

34. Low, A., 2009. Managerial risk-taking behavior and equity-based compensation. Journal of Financial Economics 92, 470-490.

35. Lucca, D.O., Moench, E., The Pre-FOMC Announcement Drift. Journal of Finance, Forthcoming. Martell, R., 2005. The effect of sovereign credit rating changes on emerging stock markets. Available at SSRN 686375.

36. Meulbroek, L.K., 1992. An empirical analysis of illegal insider trading. The Journal of Finance 47, 16611699.

37. Rossi, S., 2012. Italy extends rating agencies probe to Fitch. URL http://www.reuters.com/article/2012/01/24/us-italy-fitchidUST.
    Paper not yet in RePEc: Add citation now
    

38. Sanders, R.W., Zdanowicz, J.S., 1992. Target firm abnormal returns and trading volume around the initiation of change in control transactions. Journal of financial and quantitative analysis 27, 109129.

39. SEC, 2003. Testimony concerning rating the rating agencies: The state of transparency and competition.
    Paper not yet in RePEc: Add citation now
    
40. SEC, 2008. Summary Report of Issues Identified in the Commission Staff’s Examinations of Select Credit Rating Agencies. U.S. Securities and Exchange Commission.
    Paper not yet in RePEc: Add citation now
    

41. Staiger, D.O., Stock, J.H., 1997. Instrumental variables regression with weak instruments. Econometrica 65, 557-86.

42. Stambaugh, R.F., Yu, J., Yuan, Y., 2012. The short of it: Investor sentiment and anomalies. Journal of Financial Economics 104, 288-302.

43. Stock, J., Yogo, M., 2005. Testing for Weak Instruments in Linear IV Regression,. In: Andreas D & Stock J (eds.) Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg. Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
    

44. Tetlock, P.C., Saar-Tsechansky, M., Macskassy, S., 2008. More Than Words: Quantifying Language to Measure Firms' Fundamentals. The Journal of Finance 63, 1437-1467.

1. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
   In: Review of Financial Studies.
   RePEc:oup:rfinst:v:22:y:2009:i:11:p:4601-4641.

   Full description at Econpapers || Download paper

2. Where is the Market? Evidence from Cross-Listings in the U.S.. (2006). Zechner, Josef ; Pagano, Marco ; Halling, Michael ; Randl, Otto .
   In: CSEF Working Papers.
   RePEc:sef:csefwp:129.

   Full description at Econpapers || Download paper

3. The Impact of the Suspension of Opening and Closing Call. (2005). Green, Christopher ; Camilleri, Silvio.
   In: Finance.
   RePEc:wpa:wuwpfi:0506006.

   Full description at Econpapers || Download paper

4. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:11444.

   Full description at Econpapers || Download paper

5. Foreign Direct Investment vs. Foreiegn Portfolio Investment. (2005). Razin, Assaf ; Goldstein, Itay.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:11047.

   Full description at Econpapers || Download paper

6. Valutation, Liquidity and Risk in Government Bond Markets. (2005). von Thadden, Ernst-Ludwig ; Pagano, Marco ; Favero, Carlo.
   In: Working Papers.
   RePEc:igi:igierp:281.

   Full description at Econpapers || Download paper

7. Explaining cross-border large-value payment flows: evidence from TARGET and EURO 1 data. (2005). Secola, Stefania ; Rosati, Simonetta .
   In: Working Paper Series.
   RePEc:ecb:ecbwps:2005443.

   Full description at Econpapers || Download paper

8. Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?. (2005). King, Michael ; Padalko, Maksym.
   In: Staff Working Papers.
   RePEc:bca:bocawp:05-3.

   Full description at Econpapers || Download paper

9. The Impact of the Suspension of Opening and Closing Call. (2004). Green, Christopher ; Camilleri, Silvio.
   In: Finance.
   RePEc:wpa:wuwpfi:0411012.

   Full description at Econpapers || Download paper

10. A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange. (2004). Ekinci, Cumhur.
    In: Finance.
    RePEc:wpa:wuwpfi:0305006.

    Full description at Econpapers || Download paper

11. Cancellation and Uncertainty Aversion on Limit Order Books. (2004). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:045.

    Full description at Econpapers || Download paper

12. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. (2004). Kamstra, Mark ; Donaldson, Glen.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2004-6.

    Full description at Econpapers || Download paper

13. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:579.

    Full description at Econpapers || Download paper

14. Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas. (2004). Heinen, Andréas ; Rengifo, Erick .
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:755.

    Full description at Econpapers || Download paper

15. The Effects of Economic News on Bond Market Liquidity. (2004). D'Souza, Chris ; Gaa, Charles.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-16.

    Full description at Econpapers || Download paper

16. Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media. (2003). Schuster, Thomas.
    In: Finance.
    RePEc:wpa:wuwpfi:0307014.

    Full description at Econpapers || Download paper

17. Futures trading activity and stock price volatility: some extensions. (2003). Song, Frank ; Chatrath, A. ; Adrangi, B..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:655-664.

    Full description at Econpapers || Download paper

18. The role of information in Hong Kong individual stock futures trading. (2003). McKenzie, M. D. ; Brooks, R. D..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:2:p:123-131.

    Full description at Econpapers || Download paper

19. An Information-Based Trade Off Between Foreign Direct Investment and Foreign Portfolio Investment: Volatility, Transparency, and Welfare. (2003). Razin, Assaf ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9426.

    Full description at Econpapers || Download paper

20. Presión sobre los precios en las revisiones del índice IBEX35. (2003). Gomez Sala, Juan ; Yzaguirre, Jorge.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:27:y:2003:i:3:p:491-531.

    Full description at Econpapers || Download paper

21. Limit Order Book as a Market for Liquidity. (2003). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
    In: Discussion Paper Series.
    RePEc:huj:dispap:dp321.

    Full description at Econpapers || Download paper

22. Dealer Behavior and Trading Systems in Foreign Exchange Markets. (2003). Rime, Dagfinn ; Bjønnes, Geir ; Bjonnes, Geir Hoidal.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0017.

    Full description at Econpapers || Download paper

23. The use of flow analysis in foreign exchange: exploratory evidence. (2003). Menkhoff, Lukas ; Gehrig, Thomas.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-276.

    Full description at Econpapers || Download paper

24. When is inter-transaction time informative?. (2003). Furfine, Craig .
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-03-04.

    Full description at Econpapers || Download paper

25. Transmission of information across international equity markets. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:759.

    Full description at Econpapers || Download paper

26. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:502.

    Full description at Econpapers || Download paper

27. Time-Varying Arrival Rates of Informed and Uninformed Trades. (2002). Wu, Liuren ; Engle, Robert ; Easley, David.
    In: Finance.
    RePEc:wpa:wuwpfi:0207017.

    Full description at Econpapers || Download paper

28. Stealth-Trading: Which Traders Trades Move Stock Prices?. (2002). Chakravarty, Sugato.
    In: Finance.
    RePEc:wpa:wuwpfi:0201003.

    Full description at Econpapers || Download paper

29. Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?. (2002). Chakravarty, Sugato ; Frederick H. deB. Harris, ; Wood, Robert A. ; Frederick H. deB. Harris, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0201003.

    Full description at Econpapers || Download paper

30. Market Liquidity as a Sentiment Indicator. (2002). Stein, Jeremy ; Baker, Malcolm.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8816.

    Full description at Econpapers || Download paper

31. The market for ADRs and the quality of the Brazilian stock market. (2001). Sanvicente, Antonio.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_42.

    Full description at Econpapers || Download paper

32. FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets. (2000). Rime, Dagfinn ; Bjonnes, H..
    In: Memorandum.
    RePEc:hhs:osloec:2000_029.

    Full description at Econpapers || Download paper

33. The role of financial reporting in reducing financial risks in the market. (2000). KOTHARI, S. P..
    In: Conference Series ; [Proceedings].
    RePEc:fip:fedbcp:y:2000:i:jun:p:89-112:n:44.

    Full description at Econpapers || Download paper

34. Durations, Volume and the Prediction of Financial Returns in Transaction Time. (2000). Hafner, Christian.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0599.

    Full description at Econpapers || Download paper

35. Private Information and Trade Timing. (2000). Smith, Lones.
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1012-1018.

    Full description at Econpapers || Download paper

36. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions. (1999). Hautsch, Nikolaus.
    In: Finance.
    RePEc:wpa:wuwpfi:9904002.

    Full description at Econpapers || Download paper

37. LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market. (1999). Wong, Woon ; Copeland, Laurence.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:2:p:123-139.

    Full description at Econpapers || Download paper

38. The Market Microstructure of Central Bank Intervention. (1999). Dominguez, Kathryn.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7337.

    Full description at Econpapers || Download paper

39. Intervention as information: a survey. (1999). Humpage, Owen ; Baillie, Richard ; Osterberg, William P..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:9918.

    Full description at Econpapers || Download paper

40. Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model. (1998). Engle, Robert ; Russell, Jeffrey R..
    In: CRSP working papers.
    RePEc:wop:chispw:470.

    Full description at Econpapers || Download paper

41. An analysis of brokers trading with applications to order flow internalization and off-exchange sales. (1998). Sarkar, Asani ; Chakravarty, Sugato.
    In: Research Paper.
    RePEc:fip:fednrp:9813.

    Full description at Econpapers || Download paper

42. Is There Private Information in the FX Market? The Tokyo Experiment.. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
    In: Research Program in Finance Working Papers.
    RePEc:ucb:calbrf:rpf-270.

    Full description at Econpapers || Download paper

43. Is There Private Information in the FX Market? The Tokyo Experiment. (1997). Melvin, Michael ; Lyons, Richard ; Ito, Takatoshi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5936.

    Full description at Econpapers || Download paper

44. Trading Volume and Autocorrelation: Empirical Evidence from the Stockholm Stock Exchange. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0191.

    Full description at Econpapers || Download paper

45. Is there private information in the FX market? the Tokyo experiment. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
    In: Pacific Basin Working Paper Series.
    RePEc:fip:fedfpb:97-04.

    Full description at Econpapers || Download paper

46. Public Information Arrival, Exchange Rate Volatility, and Quote Frequency. (1996). Melvin, Michael ; Yin, Xixi.
    In: Working Papers.
    RePEc:wop:astewp:9601.

    Full description at Econpapers || Download paper

47. Dynamic Equilibrium and Volatility in Financial Asset Markets. (1996). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5479.

    Full description at Econpapers || Download paper

48. Long-Lived Information and Intraday Patterns. (1995). Back, Kerry ; Pedersen, Hal.
    In: Finance.
    RePEc:wpa:wuwpfi:9507009.

    Full description at Econpapers || Download paper

49. Long-Lived Information and Intraday Patterns. (1995). Back, Kerry ; Pedersen, Hal.
    In: Finance.
    RePEc:wpa:wuwpfi:9507008.

    Full description at Econpapers || Download paper

50. An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange. (1995). Niemeyer, Jonas ; Sands, Patrik .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0044.

    Full description at Econpapers || Download paper

Report date: 2025-02-24 01:25:01 || Missing content? Let us know