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Full-Text Articles in Business
The Volatility Implications Of The Chinese Cryptocurrency Ban, Keaton Manwaring
The Volatility Implications Of The Chinese Cryptocurrency Ban, Keaton Manwaring
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this paper, I examine the effect of the May 18th, 2021 Chinese ban of cryptocurrency transactions on the overall volatility of the cryptocurrency market. To do this, I analyze, in both univariate and multivariate settings, range-based volatility in various event windows surrounding the event. I find clear economic and statistical change in volatility in the five days after the ban. In the ten-day period after the ban, there is a moderate economic change in volatility. In the forty-day period after the ban, there is little economic change in volatility. I conclude that the Chinese ban had a …
Is It Risky To Make The World A Better Place: A Study On The Association Between Environmental, Social, And Governance (Esg) Operational Risk Management And Market Derived Volatilities, Kelly L. Johnson
Senior Honors Projects, 2020-current
Investors and firms are increasingly concerned with their Environmental, Social and Governance (ESG) risk exposures. Awareness of firms’ ESG policies by investors has grown substantially over the past five years. This growth led to the creation of company ratings for ESG operational risk exposure from third parties. We will analyze six years of ESG rankings, accounting and return data for S&P 500 firms and test whether ESG risk management ratings are associated with market derived measures of risk.
Retail Trading And Stock Volatility: The Case Of Robinhood, Cooper Jones
Retail Trading And Stock Volatility: The Case Of Robinhood, Cooper Jones
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
We examine the relation between Robinhood usership and stock market volatility. We show that daily fluctuations in Robinhood usership, which is used to proxy retail trading, significantly influence various measures of volatility. These results might suggest that Robinhood users contribute to noise trading as they are generally individuals trading on name recognition, media coverage, popularity, and familiarity of products, rather than on fundamental values. In our empirical approach, we find that the percentage increase in Robinhood usership Granger causes increases in daily stock volatility.
The Effects Of Conventional And Unconventional Monetary Policy On Exchange Rate Volatility, Wan Wei, Susan Pozo
The Effects Of Conventional And Unconventional Monetary Policy On Exchange Rate Volatility, Wan Wei, Susan Pozo
Faculty Publications -School of Business
This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility of six exchange rates, namely Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc against the U.S. dollar. Narrow windows around policy announcements and high frequency second-by-second intraday data are used in the analysis. Results show that the exchange rate volatility increases significantly in the narrow window before and after the announcements under conventional monetary policy regime. The increase in the volatility is even greater during the contemporaneous period under the unconventional regime. Dividing monetary policy announcements into expansionary and non-expansionary …
Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well as respective overall high-frequency based market statistics with respect to temporal aspects. Our results provide mandatory insight into a market, where the grand scale employment of automated trading algorithms and the extremely rapid execution of trades might seem to be a standard based on media reports. Our findings on …