scholarly journals The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data

2008 ◽  
Vol 13 (1) ◽  
pp. 40-52 ◽  
Author(s):  
Mardi Dungey ◽  
Charles Goodhart ◽  
Demosthenes Tambakis
Keyword(s):  
Hong Kong ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
The Us ◽  
Treasury Market

Order-based manipulation: evidence from Hong Kong stock market

2013 ◽  
Vol 21 (1) ◽  
pp. 111-118 ◽  
Author(s):  
Chun-Hin Chan ◽  
Alfred Ka Chun Ma
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
High Frequency ◽  
Design Methodology ◽  
High Frequency Data ◽  
Frequency Data ◽  
Content Type ◽  
Level Ii ◽  
Trading Activities ◽  
The Relationship

Purpose – The paper aims to investigate order-based manipulation that consists of order-placing strategies. Design/methodology/approach – Using the bid and ask record provided by Hong Kong Exchanges and Clearing Limited, a Level II dataset, the paper develops a methodology to obtain cancelled orders during regular trading hours. The paper examines the cancelled orders and potential order-based manipulation activities, as well as the corresponding behavior of different groups of stocks. Findings – Empirical results show that the relationship between order cancellation and order-based manipulation is strong and deserves more attention. Originality/value – The methodology can also be used by regulators and authorities to monitor suspicious activities in the market. This paper also suggests that analysis on high-frequency data does improve the understanding of trading activities in the stock market.

scholarly journals The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements

2021 ◽  
Vol 111 (4) ◽  
pp. 1092-1125
Author(s):  
Diego R. Känzig
Keyword(s):  
High Frequency ◽  
High Frequency Data ◽  
Inflation Expectations ◽  
Frequency Data ◽  
Oil Supply ◽  
Us Economy ◽  
News Shock ◽  
The Us ◽  
Negative News ◽  
Macroeconomic Effects

This paper studies how changes in oil supply expectations affect the oil price and the macroeconomy. Using a novel identification design, exploiting institutional features of OPEC and high-frequency data, I identify an oil supply news shock. These shocks have statistically and economically significant effects. Negative news leads to an immediate increase in oil prices, a gradual fall in oil production, and an increase in inventories. This has consequences for the US economy: activity falls, prices and inflation expectations rise, and the dollar depreciates, providing evidence for a strong channel operating through supply expectations. (JEL E31, E32, F31, Q35, Q38, Q43)

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