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Browsing SOB - Scholarly Publications by Author "Ben Sita, Bernard"

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Browsing SOB - Scholarly Publications by Author "Ben Sita, Bernard"

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  • Autocorrelation of the trade process 
    Ben Sita, Bernard (2016-12-15)
    This study investigates how duration-based trading intensity modifies the first-order autocorrelation and the transitory variance of the trade process. Because prices are conditional expected values, a structural model in ...
  • Causality-in-variance of prices of oil products 
    Ben Sita, Bernard; Abosedra, Salah (2016-12-15)
    This paper investigates causality-in-variance between the price of crude oil and the prices of refined oil products using US data. The cross-correlation function is applied on both normal and abnormal squared standardized ...
  • An Empirical Study of the Mixture of Time and Movements in Prices 
    Ben Sita, Bernard (Swedish School of Economics and Business Administration, 2017-07-21)
    This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, ...
  • Estimating the beta-return relationship by considering the sign and the magnitude of daily returns 
    Ben Sita, Bernard (2017-07-20)
    We test the beta-return relationship under the working assumption that beta is realized under constrained but innovative trading environments. Specifically, we estimate a residual beta risk as the difference between a ...
  • Evidence on managerial entrenchment effects on firm value 
    Ben Sita, Bernard; Dah, Abdallah M.; Hallak, Waddah (2016-05-19)
    We investigate managerial entrenchment effects on firm value. Conditioning investment and Research and Development (R&D) spending on a managerial entrenchment indicator, we find that under managerial entrenchment investment ...
  • Measuring the Oil Risk Effect on Industry Volatility Shocks 
    Ben Sita, Bernard (2017-07-21)
    I examine the information sequential hypothesis in complementary oil markets. Unlike the underreaction hypothesis suggested as an explanation to the lagged negative oil effect of financial return, a sequential information ...
  • Oil Products and the Volatility Index: Bivariate Volatility Relationships Within a T-GARCH Model 
    Ben Sita, Bernard (2017-07-25)
    I provide, in this paper, evidence on the contribution of crude oil excess volatility to the volatility index. Crude oil leads the volatility index by 16 basis points (BP) 6 months ahead of time. This leadership is reversal ...
  • The role of time in price discovery 
    Ben Sita, Bernard; Westerholm, P. Westerholm (2017-05-23)
    In this paper we investigate the price effects of trading intensity. Extending on the Madhavan et al. (1997) model, we split the intensity effect into liquidity and information effects. We provide a measure of market ...
  • The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects 
    Ben Sita, Bernard; Westerholm, P. Joakim (2016-12-15)
    In this paper, we investigate the information content of trading intensity applying the Madhavan, Richardson and Roomans (1997) structural model to express trading intensity as trading momentum in duration and volume. Using ...
  • Short and Long-run Budgetary Relationships 
    Ben Sita, Bernard; Dah, Abdallah; Abosedra, Salah (2016-05-19)
    We empirically estimate the short- and the long-run effects of fiscal policy on the Lebanese economy. Such estimates should be valuable in shaping the administrative reforms of the budgetary process in Lebanon where the ...
  • The Sources of Variance in the Helsinki Stock Exchange 
    Ben Sita, Bernard (2017-07-21)
    We investigate the relationship between the fundamental and the transitory variance. We study how the transitory variance deviates from the fundamental variance. We use the Gonzalo and Granger (1995) permanent-temporary ...
  • Test of the clustering hypothesis in the Helsinki Exchanges 
    Ben Sita, Bernard (Swedish School of Economics and Business Administration, 2017-07-20)
    This paper investigates the clustering pattern in the Finnish stock market. Using trading volume and time as factors capturing the clustering pattern in the market, the Keim and Madhavan (1996) and the Engle and Russell ...
  • US energy policies and variance in the GCC stock markets 
    Ben Sita, Bernard; Haidar, Ranim (2016-12-15)
    We investigate the impact of bills about energy policy, introduced and discussed in the US Congress, on the conditional variance process of the five largest Gulf Cooperation Council (GCC) stock markets. Using an augmented ...
  • Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets 
    Ben Sita, Bernard; Abdallah, Wissam (2016-12-15)
    We investigate how idiosyncratic and systematic effects impact the volatility risk of U.K. cross-listed stocks. Under the hypothesis that more stock followers enhance information effects on volatility, we examine whether ...
  • Volatility links between US industries 
    Ben Sita, Bernard (2016-12-15)
    This article investigates volatility linkages across 30 US industries in terms of volatility leadership impact and interdependence dynamics. The volatility spillover index of Diebold and Yilmaz (2009 Diebold, F. X. and ...
  • Volatility patterns of the constituents of FTSE100 in the aftermath of the U.K. Brexit referendum 
    Ben Sita, Bernard (2017-07-20)
    I investigate how sentiment contributed to the build-up of volatility of the constituents of the FTSE100 in the aftermath of the ”yes” to the UK Brexit referendum of Thursday June 23, 2016. Sentiment is estimated as the ...
  • Volatility spillovers 
    Ben Sita, Bernard; Abosedra, Salah (2016-12-15)
    This paper provides evidence on the lead, the contemporaneous and the lagged transmission mechanism of extreme shocks across energy products. Our findings reveal a weak leadership of crude oil in guiding hedgers against ...

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