Heinrich Von Wyss
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Dr.
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Von Wyss
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Heinrich
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heinrich.vonwyss@unisg.ch
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Publication

The Valuation of Derivatives on Carbon Emission Certificates

2013 , Isenegger, Philipp , von Wyss, Rico , Marquardt, Sina

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Publication

Pricing and Performance of Income Deposit Securities

2010 , Blagoev, Alex , von Wyss, Rico

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Outperformance with Technical Analysis? - An Intraday Study on the Swiss Stock Market

2004 , Rekate, Matthias , von Wyss, Rico

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Fragmentation in European Equity Markets and Market Quality - Evidence from the Analysis of Trade-Throughs

2012 , Kohler, Alexander , von Wyss, Rico

The implementation of MiFID has lead to a fragmentation of liquidity in European equity trading. We analyze the long-term effects of MiFID on liquidity with a new sample of Swiss stocks and do not find evidence for a worsening of market quality. In contrast, spread and depth measures indicate a general increase in market quality. Given the non-existence of a consolidated tape in Europe, we examine whether trade-throughs prevent the emergence of a virtually consolidated market. We find evidence that trade-throughs originate from informed traders with a priority of execution speed over price and conclude that the occurrence of trade-throughs does not indicate an inferior market quality.

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Publication

Country versus Sector Diversification after the Introduction of the EMU

2006 , Süss, Stephan , von Wyss, Rico

The introduction of the European monetary union (EMU) led to a convergence of the participating countries in many ways. One particular aspect is the diversification potential among different financial markets. While during the 1990s country effects typically dominated industry effects in magnitude, more recent studies stress the importance of industry diversification when it comes to portfolio construction. We show the increasing correlations among countries' equity market returns and the contemporaneous decrease in sector correlations and confirm the growing importance of industry effects by applying a bootstrapping method. Supported by this finding we implement momentum strategies based on countries and industries, respectively, in order to compare their performance. Due to the better diversification potential, most of the sector models outperform the country frameworks on a risk adjusted basis

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Where does Information Processing in a Fragmented Market Take Place? - Evidence from the Swiss Stock Market after MiFID

2012 , Kohler, Alexander , von Wyss, Rico

The implementation of MiFID lead to fragmentation of trading in European equities. We analyze information processing for a sample of Swiss stocks on the Swiss exchange and on Chi-X, the largest multilateral trading facility. According to Hasbrouck information shares, the determination of a leading market is not conclusively possible. By applying an autoregressive conditional intensity (ACI) model that explicitly takes the asynchronous structure of order arrivals into account, we find strong evidence that Chi-X is the leading market in terms of intensity based information shares.

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Publication

The Comovement of Liquidity Measures in the Stock Market

2005-10-07 , von Wyss, Rico

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