Suchergebnisse

AbstractWe evaluate a stock‐specific circuit breaker implemented in several European stock exchanges, which consists of a short‐lived call auction triggered by intraday stock‐specific price limits. It differs from U.S. trading halts in that it is short‐lived and nondiscretionary, and a trading mechanism (continuous or discrete) is always going. It differs from daily price limits in that trade prices are not restricted once the limit is hit. Intraday price ranges are smaller and adjusted to the recent volatility, so that limit hits are more frequent. We contribute to the debate about circuit breakers by enlarging the span of these mechanisms studied.

In this paper, we extend the existing empirical evidence on the relationship between the state of the limit order book (LOB) and order choice. Our contribution is twofold: first, we propose a sequential ordered probit (SOP) model which allows studying patient and impatient traders' choices separately; second, we consider two pieces of LOB information, the best quotes and the book beyond the best quotes. We find that both pieces of LOB information explain the degree of patience of an incoming trader and, afterwards, its order choice. Nonetheless, the best quotes concentrate most of the explanatory power of the LOB. The shape of the book beyond the best quotes is crucial in explaining the aggressiveness of patient (limit order) traders, while impatient (market order) traders base their decisions primarily on the best quotes. Patient traders' choices depend more on the state of the LOB on the same side of the market, while impatient traders mostly look at the state of the LOB on the opposite side. The aggressiveness of both types of traders augments with the inside spread. However, patient (impatient) traders submit more (less) aggressive limit (market) orders when the depth of the own (opposite) best quote and the length of the own (opposite) side of the book increase. We also find that higher depth away from the best ask (bid) quote may signal that this quote is "too low (high)", causing incoming impatient buyers (sellers) to be more aggressive and incoming patient sellers (buyers) to be more conservative.

The relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both in the short-run and in the long-run, with the EUA's market being the leader.

This article starts from the assumption that a low percentage of interpretive journalism would affect adversely the quality of political information and could foster citizens' apathy towards politics. Its purpose is to analyse the presence of interpretive journalism in media's coverage of political news in Spain and to compare it with the one of 13 European countries, the United States and Israel. The results show that political news in Spanish media contains less interpretive journalism than in the other countries; it follows the tendency of occidental journalism to incorporate interpretation into informative texts; it is characterized by a tendency to include comments; and it contains more pieces of news with interpretive elements in commercial media than in public media. ; Este artículo parte de la hipótesis de que un bajo porcentaje de periodismo interpretativo perjudicaría la calidad de la información política y podría fomentar la apatía ciudadana hacia la política. Su objetivo es analizar la presencia de periodismo interpretativo en la cobertura mediática de información política en España y compararla con la de 13 países europeos, Estados Unidos e Israel. Los resultados revelan que la información política de los medios españoles contiene menos periodismo interpretativo que en el resto de países; sigue la tendencia del periodismo occidental a incorporar interpretación a los textos informativos; se caracteriza por una tendencia a incluir opiniones; y contiene más noticias con elementos interpretativos en los medios comerciales que en los públicos.