Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Christophe Majois"'
Publikováno v:
Review of Derivatives Research, Vol. 15, no.3, p. 257-281 (2012)
This report sheds new light on the liquidity dynamics of the Credit Default Swaps (CDS) market in Europe around the Subprime crisis. Based on an original dataset of 94 European companies from 2005 to 2009, we use a panel regression analysis to study
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9f2371aef6da73602bd475e88c6466ce
https://doi.org/10.1007/s11147-012-9076-y
https://doi.org/10.1007/s11147-012-9076-y
Autor:
Christophe Majois
Publikováno v:
Economics Letters. 107:304-309
This paper analyzes the behavior of players in experimental double auction markets. We show that the “diagonal effect”, a well-known phenomenon observed in real markets, also shows up in experimental markets and is mainly due to order splitting.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4e7163a5de388318adc977f89d26db49
https://doi.org/10.1016/j.econlet.2010.02.019
https://doi.org/10.1016/j.econlet.2010.02.019
Autor:
Christophe Majois
Publikováno v:
Finance. 29:5-56
Cet article propose une revue exhaustive de la litterature en microstructure des marches traitant de la relation entre transparence et qualite des marches. Nous abordons les contributions theoriques, empiriques et experimentales, en nous focalisant s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::427770979bc1a1578174ea73f85b050a
https://doi.org/10.3917/fina.292.0005
https://doi.org/10.3917/fina.292.0005
Publikováno v:
International Review of Financial Analysis
International Review of Financial Analysis, 2015, 42, pp.183--198. ⟨10.1016/j.irfa.2015.06.007⟩
International Review of Financial Analysis, Elsevier, 2015, 42, pp.183--198. ⟨10.1016/j.irfa.2015.06.007⟩
International Review of Financial Analysis, 2015, 42, pp.183--198. ⟨10.1016/j.irfa.2015.06.007⟩
International Review of Financial Analysis, Elsevier, 2015, 42, pp.183--198. ⟨10.1016/j.irfa.2015.06.007⟩
International audience; Using a rich dataset of orders and trades for a sample of stocks listed on four Euronext markets, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fe89b004f785dfdf261e8dd7ee126b07
https://hal.science/hal-01667400
https://hal.science/hal-01667400
Autor:
Catherine D'Hondt, Christophe Majois
Publikováno v:
SSRN Electronic Journal.
Using a rich dataset of orders and trades for a sample of stocks listed on the four European markets of NYSE Euronext, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f0899045070b5d49a137a3c97368ac8
https://doi.org/10.2139/ssrn.1785443
https://doi.org/10.2139/ssrn.1785443
Autor:
Christophe Majois
Publikováno v:
SSRN Electronic Journal.
In this paper, we show that the methodology used to assess the impact of a change in design on market liquidity provides results that should be interpreted with lots of prudence. Focusing on the switch to anonymity on Euronext Paris in April 2001, we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5b4e45a59002f55245d8a2402874e439
https://doi.org/10.2139/ssrn.1008753
https://doi.org/10.2139/ssrn.1008753
Autor:
Rudy De Winne, Christophe Majois
Publikováno v:
Brussels Economic Review / Cahiers économiques de Bruxelles
Brussels economic review, 46 (4
Brussels economic review, 46 (4
This paper checks the relevance of alternative spread decomposition models in an order-driven environment. Using intraday data from Euronext Brussels, we compute estimates of the bid-ask spread components provided by eight models. Our results support
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::922efa928902fd9c62c2c6cd940c8746
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/11889
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/11889