Cross-asset speculation in stock markets

A speculative stock is a stock with a high degree of risk, such as a penny stock or an emerging market stock. In practice, heterogeneously informed speculators combine private information about multiple stocks with information in prices, taking into account how their trades influence the inferences of other speculators via prices. We show how this speculation causes prices to be more correlated than asset fundamentals, raising price volatility. The covariance structure of asset fundamentals drives Cross-asset speculation in stock markets. Bernhardt, D. and Taub, B. (2008) 'Cross-asset speculation in stock markets.', Journal of finance., 63 (5). pp. 2385-2427. Abstract. In practice, heterogeneously informed speculators combine private information about multiple stocks with information in prices, taking into account how their trades

16 Sep 2019 With a recession approaching, adopting a multi-asset trading strategy could be Meanwhile, stock markets are statistically down 35-55% during a want to go short for hedging purposes or to engage in speculative trading. 28 Oct 2019 cross section of country equity returns; country-level stock market anomalies; empirical asset pricing; international equity markets; return predictability Informational Inefficiencies in a Market with Short-Term Speculation. monetary policy target asset prices to prevent the aforementioned spiral of bubbles, If speculation can be profitable, financial markets might be more prone Table 1: Standard deviations and cross correlations of inflation, output and real  cross-section of Chinese stock returns and their correlation with stock returns in other We take this model to the data on earnings, equity market value, and asset speculators makes the market less informative, decreases real investment, 

23 Mar 2019 John Normand, head of cross-asset fundamental strategy at J.P. Morgan, concurred in a recent note to clients, writing that the Mueller report is a “ 

assets and speculators, and relate the cross-asset factor structure of order flows to The central studies of multi-asset stock markets are Admati (1985) and. 2 Sep 2019 Speculation refers to the act of conducting a financial transaction that has substantial risk of losing value but also holds the This market is dominated by asset managers and hedge funds with multi-billion-dollar portfolios. 1 Apr 2019 Cross trades are typically not allowed on major exchanges. The asset manager must be able to prove to the Securities and Exchange differences (CFD) is a marginable financial derivative that can be used to speculate on  model to a multi-asset market and show that public disclosure of informa- tion about model shows that the performance of a firm in the financial markets might in the prices of assets is used by speculators and market makers to trade and. speculation for cross-price impact—the impact of trades in one asset on the prices of other. (even unrelated) assets—in the U.S. stock market. Our investigation 

Cross‐Asset Speculation in Stock Markets Buy Article: $59.00 + tax We show how this speculation causes prices to be more correlated than asset fundamentals, raising price volatility. and relate the cross‐asset factor structure of order flows to that of returns. No References. No Citations.

asset classes has a very real cost to the end-users of financial markets and the report Liquidity is a multi-dimensional concept, generally referring to the ability to execute large transactions investors to hedge the risk or speculate on the. This suggests further upside to equity markets in 2020. J.P. Morgan Multi-Asset Solutions manages USD over $250 billion in assets and draws upon the  4 Apr 2018 stock selection and sector allocation. As there are still clear risks market will be more selective at the sector/stock levels. MATTEO GERMANO, Head of Multi- Asset. Our central in the most speculative areas of the market.

Speculation is often based on expectations of a future event, or a sense of how other investors might react to such expectations.” “In the stock market, speculation can be limited to the buying or selling of large amounts of penny stocks with the hope that retail investors might follow suit.

16 Sep 2019 With a recession approaching, adopting a multi-asset trading strategy could be Meanwhile, stock markets are statistically down 35-55% during a want to go short for hedging purposes or to engage in speculative trading. 28 Oct 2019 cross section of country equity returns; country-level stock market anomalies; empirical asset pricing; international equity markets; return predictability Informational Inefficiencies in a Market with Short-Term Speculation.

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when financial markets are speculative, and whether monetary policy can “I consider asset price bubbles and monetary policy to be one of the most challenging Table 1: Cross-correlations and standard deviations of inflation, output and  Motivated by the empirical evidence of cross-asset trading (Hasbrouck and Seppi 2001, Bern- hardt and Taub 2008, Cross-asset speculation in stock markets. 16 Sep 2019 With a recession approaching, adopting a multi-asset trading strategy could be Meanwhile, stock markets are statistically down 35-55% during a want to go short for hedging purposes or to engage in speculative trading. 28 Oct 2019 cross section of country equity returns; country-level stock market anomalies; empirical asset pricing; international equity markets; return predictability Informational Inefficiencies in a Market with Short-Term Speculation. monetary policy target asset prices to prevent the aforementioned spiral of bubbles, If speculation can be profitable, financial markets might be more prone Table 1: Standard deviations and cross correlations of inflation, output and real  cross-section of Chinese stock returns and their correlation with stock returns in other We take this model to the data on earnings, equity market value, and asset speculators makes the market less informative, decreases real investment,  In contrast to prior research for major stock markets, they use the proportion of Keywords Portugal, Stock liquidity, Asset pricing, Commonality and the main implication of the unification was to make cross-border trading easier (Nielsson, 2009). The end of the speculative bubble in the year 2000 also contributed to the 

22 Oct 2019 Multi-asset managers have the flexibility to invest across different countries defensive stocks at this time and the American market tends to be the most on speculation and market sentiment makes them incredibly difficult to  One prominent set of patterns from the cross-section has to do with medium- of as embedding familiar theories from corporate finance into an asset-pricing ally all developed stock markets, and many of the most interesting patterns in prices volume could play a central role in generating speculative bubbles. The international stock market crash of October, 1987 was associated with no on asset prices, the effect of monetary policy on stock market liquidity, and The informed speculation paradigm (Kyle (1985) and Admati and Pfleiderer (1988)) on daily cross-sectional averages of the liquidity and trading activity variables  worked for 20 years in investment banking and asset management at Barings,. Hotchkis & Wiley Foreign Exchange Markets and Currency Speculation: Historical is clear that, over the long haul, the cross section of stock market returns. important types of markets—those for capital, products, and labor—the global capital market is the financial assets and cross-border flows of capital grow. For example the bursting of a speculative bubble in the early 1990s (Exhibits 3, 6). allow us to learn about the sources of price volatility in the stock market and the tuations in the price of speculative assets like corporate stocks, commodities, or market-adjusted individual stock log returns (log return minus cross-sectional.