Stylized facts of intraday precious metals

This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, the number of trades has increased substantially over time for each precious metal, while the bid-ask spread has narrowed over time, indicating an increase in liquidity and price efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid- ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the bid-ask spread is at its low- est when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples

Global Integration of Central and Eastern European Financial Markets: The Role of Economic Sentiments

This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEEC's financial markets. Since the integration of formerly strongly regulated markets into global markets can also lead to an increase of the dependence of the CEECs' domestic market performance from global sentiments, we also investigate the relationship between global economic sentiments and domestic income and share prices. Finally, we test whether the impact of global sentiments and stock prices on domestic variables increases proportionally with the degree of integration. For these purposes, we apply a structural cointegrating VAR (CVAR) framework based upon a restricted autoregressive model which allows us to distinguish between the long-run and the short-run dynamics. For the long run we find evidence supporting relationships between sentiments, income and share prices in case of the Czech Republic. Our results for the short run suggest that economic sentiments in general are strongly influenced by share prices and income but also offer some predictive power with respect to the latter. What is more, global sentiments play an important role in particular for the CEECs' share prices and income. The significance of this link increases with economic integration

Conflicting versus Reinforcing Private Information, Information Aggregation, and the Time Series Properties of Asset Prices

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Accounting Beta in the Extended Version of CAPM

This paper examines whether accounting betas and downside accounting betas have an impact on the average rate of return in a capital market. It also examines whether investors receive a positive risk premium using accounting betas and secondly, if investors receive a positive risk premium for the downside risk. An analysis was undertaken using data from a sample of 27 Polish construction companies currently listed on the Warsaw stock market. The results show that for the Polish construction company sector investors receive a positive risk premium, associated with Accounting Betas and investors receive a positive risk premium for downside risk

Diversification benefits in the smaller European stock markets

This paper examines the diversification benefits available to U.S. and Japanese investors over the period 1974-94 in seven of the smaller European stock markets (SESMs): Austria, Belgium, Greece, Holland, Ireland, Italy, and Spain. With reference to a simplified International CAPM that accommodates both contemporaneous and delayed information flows, we employ correlation, principal components, and cointegration analysis in studying monthly observations from national basket indices. The empirical evidence is conclusive in showing that the SESMs have behaved differently, at least since the October 1987 crash, with stronger contemporaneous interdependencies and integration between them and with the U.S. market. Cointegration analysis found no significant common trend shared between the SESMs and the U.S. and Japanese markets. We conclude that despite the increasing international integration there still exist opportunities for diversification investment in the smaller and less studied European stock markets