Book 2014

Market Microstructure and Nonlinear Dynamics

Keeping Financial Crisis in Context

Editors:

ISBN: 978-3-319-05211-3 (Print) 978-3-319-05212-0 (Online)

Table of contents (11 chapters)

  1. Front Matter

    Pages i-xii

  2. No Access

    Chapter

    Pages 1-24

    Market Fragmentation and Market Quality: The European Experience

  3. No Access

    Chapter

    Pages 25-50

    Pre-trade Transparency and the Information Content of the Limit Order Book

  4. No Access

    Chapter

    Pages 51-93

    Trading Mechanisms in Financial Markets: A Comparison Between Auction and Dealership Markets

  5. No Access

    Chapter

    Pages 95-127

    News Trader, Liquidity and Transaction Cost

  6. No Access

    Chapter

    Pages 129-153

    What Moves Euro-Bund Futures Contracts on Eurex? Surprises!

  7. No Access

    Chapter

    Pages 155-188

    Individual Investors’ Trading Activities and Price Volatility

  8. No Access

    Chapter

    Pages 189-203

    Finance and Growth Causality: Empirical Evidence for Emerging Europe

  9. No Access

    Chapter

    Pages 205-234

    Anticipated Macroeconomic Fundamentals, Sovereign Spreads and Regime-Switching: The Case of the Euro Area

  10. No Access

    Chapter

    Pages 235-271

    Impact of Anti-crisis Measures on the Volatility of the Stock Market Stress Index in the Euro Zone

  11. No Access

    Chapter

    Pages 273-291

    Shift-Volatility Transmission in East Asian Equity Markets: New Indicators

  12. No Access

    Chapter

    Pages 293-308

    Transaction Costs and Nonlinear Modelling of Real Exchange Rate Deviations from Purchasing Power Parity: Evidence from the MENA Region

  13. Back Matter

    Pages 309-315