CROSS-MARKET INFO

Cross-market linkages: How important is information?

Coordinatore	ERASMUS UNIVERSITEIT ROTTERDAM    more  Organization address address: BURGEMEESTER OUDLAAN 50 city: ROTTERDAM postcode: 3062 PA contact info Titolo: Prof. Nome: Marno Cognome: Verbeek Email: send email Telefono: +31-(0)10-4082790 Fax: +31-(0)10-4089017
Nazionalità Coordinatore	Netherlands [NL]
Totale costo	0 €
EC contributo	151˙863 €
Programma	FP7-PEOPLE Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013)
Code Call	FP7-PEOPLE-IEF-2008
Funding Scheme	MC-IEF
Anno di inizio	2009
Periodo (anno-mese-giorno)	2009-09-01   -   2011-08-31

 Partecipanti

#	participant	country	role	EC contrib. [€]
1	ERASMUS UNIVERSITEIT ROTTERDAM  Organization address address: BURGEMEESTER OUDLAAN 50 city: ROTTERDAM postcode: 3062 PA contact info Titolo: Prof. Nome: Marno Cognome: Verbeek Email: send email Telefono: +31-(0)10-4082790 Fax: +31-(0)10-4089017	NL (ROTTERDAM)	coordinator	151˙863.52

Mappa

 Word cloud

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 Obiettivo del progetto (Objective)

'This work focuses on understanding international price discovery mechanisms and the nature of order imbalance (private information) relations between different asset classes. Returns between equity and bond markets are related in the same economy due to active portfolio management. Returns in the same asset class are affected by international price movements and exchange rate fluctuations, due to diversification. Concurrently, research in market microstructure literature posits that the price discovery process occurs via order imbalances for assets. Hence, the returns of international assets are linked across asset classes and countries and are also linked to order flows, that reflect private information. We propose a theoretical model that links order imbalances (private information) and returns in all the asset classes, hence merging the three different strands of the literature, and empirically investigate the relation between equities, bonds and exchange rate order flows.'