The purpose of this paper is to find empirical evidence of how italian investors reacted to some exogenous and endogenous events affecting the Italian Stock Exchange (ISE) during durng the summer 2007: the sub-prime crisis, the ISE merger with the London Stock Exchange and the introduction of "Book Profondo". In particular, we try ti shed light on the reaction of some liquidity and volatility indicators, analyzing different time frames and controlling for some firm-specific features (market capitalisation and beta).
M.E. Bontempi, C. Lucarelli, C. Mazzoli, A.G. Quaranta (2009). Reaction of the Italian Stock Exchange to exogenous and endogenous shocks: the eco of the sub-prime crisis and the introduction of "Book Profondo". CHICAGO : MFA.
Reaction of the Italian Stock Exchange to exogenous and endogenous shocks: the eco of the sub-prime crisis and the introduction of "Book Profondo"
BONTEMPI, MARIA ELENA;QUARANTA, ANNA GRAZIA
2009
Abstract
The purpose of this paper is to find empirical evidence of how italian investors reacted to some exogenous and endogenous events affecting the Italian Stock Exchange (ISE) during durng the summer 2007: the sub-prime crisis, the ISE merger with the London Stock Exchange and the introduction of "Book Profondo". In particular, we try ti shed light on the reaction of some liquidity and volatility indicators, analyzing different time frames and controlling for some firm-specific features (market capitalisation and beta).I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
