7 research outputs found
Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York
Market integration is studied for Dutch stocks cross-listed at the NYSE. Trading starts in Amsterdam and ends in New York with a one-hour overlap. Both markets are not perfectly integrated in that they can be viewed as one market with the well-documented U-shape in volatility, volume and spread. Increased values for the hour of overlap suggest informed trading. Zooming in on this hour, markets are integrated in that price discovery on both sides of the Atlantic reflects the same underlying, new information. Not consistent across all stocks is the origin of this information, Amsterdam, New York or both
Splitting Orders in Fragmented Markets; evidence from cross-listed stocks
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais et al. (2000), a phenomenon increasingly witnessed in modern markets. The key assumption generating the results is that there is at least one liquidity demander exploiting access to all markets by optimally splitting orders across markets. This paper seeks to test this assumnption in a natural experiment involving Dutch stocks that are traded both in Amsterdam and New York. The results confirm the presence of rational, order splitting traders. This explains the increased volume and relatively large and persistent price changes for the overlapping period
Are small firms really sub-optimal?: compensating factor differentials in small dutch manufacturing firms
The advent of a growing share of small firms in modern economies
raises some intriguing questions. The most intriguing question
undoubtedly is why so many smaller firms, which have traditionally
been classified as sub-optimal scale firms, can exist. We suggest that,
through pursuing a strategy of compensating factor differentials, that
is by remunerating and deploying factors of production differently
than their larger counterparts, small firms are able to compensate for
size-inherent cost disadvantages. Using a sample of over seven thousand
Dutch manufacturing firms, we find considerable evidence that
such a strategy of compensating factor differentials is pursued within
a European context. When viewed through a static lens, the existence
of such a strategy, while making small and sub-optimal scale
firms viable, suggests that they impose a net welfare loss on the
economy. However, when viewed through a dynamic lens, the findings
of a positive relationship between firm age and employee compensation
as well as firm age and firm productivity suggest that there
may be at least a tendency for the inefficient firm of today to become
the efficient firm of tomorrow.
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Are Small Firms Really Sub-Optimal
Some new evidence on the determinants of large- and small-firm innovation
Empirical analyses presented by Acs and Audretsch suggest differences in the market structure determinants of innovation between large and small firms in U.S. manufacturing. The evidence they offer is ambiguous. By using data for a different country (The Netherlands), a different measure of innovation and a different aggregation level, we offer new evidence, allowing a revaluation of the findings for the U.S. material. Moreover, the influence of the market structure determinants does not appear to differ between a period of sluggish growth (1983) and one of relatively high growth (1989)
A Pricing Model for American Options with Stochastic Interest Rates
In this paper we introduce a new methodology to price American put options under stochastic interest rates. The method is a combination of an analytic approach and a binomial tree approach. We construct a binomial tree for the forward risk adjusted tree and calculate analytically the expected early exercise value in each point. For American puts with stochastic interest rates the correlation between the stock price process has different influences on the European option values and the early exercise premiums. This results in a nonmonotonic relation between this correlation and the American put option value. Furthermore, there is evidence that the early exercise premium due to stochastic interest rates is much larger than established before by other researchers
Volatility transmission and patterns in Bund futures
We analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. We investigate the transmission of volatility between the exchanges. We find that the lead/lag relations are restricted to a few minutes and do not reveal a dominant leader. We then analyze patterns in intraday volatility. We find that volatility behaves similarly at both exchanges; i.e., it decreases from the opening until early afternoon and increases thereafter. The same pattern is detected in explanatory variables such as traded volume and time-between-trades