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Author : Yue Jiang
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays on Stock Market Microstructure written by Yue Jiang and published by . This book was released on 2018 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Voigt
Publisher : GRIN Verlag
ISBN 13 : 3640161289
Total Pages : 166 pages
Book Rating : 4.6/5 (41 download)
Download or read book Selected Essays on Market Microstructure written by Christian Voigt and published by GRIN Verlag. This book was released on 2008 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: Doctoral Thesis / Dissertation from the year 2008 in the subject Business economics - Economic Policy, grade: summa cum laude, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 205 entries in the bibliography, language: English, abstract: The aim of this thesis is to contribute to the existing empirical literature by investigating the strategic behavior of informed and uninformed traders under the light of recent developments. We observe their actual current behavior at financial markets and try to assess whether existing theoretical arguments and assumptions are still valid in the world today, or the newly available rich data samples provide new answers to old questions that researchers have not been able to answer before.
Author : Elizabeth R. Odders-White
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (388 download)
Download or read book Essays in Market Microstructure written by Elizabeth R. Odders-White and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the market microstructure literature by examining the validity of an empirical methodology that is widely used not only in the market microstructure literature, but in all areas of finance, and by providing new insight into the way in which New York Stock Exchange specialists determine price schedules for their stocks.
Author :
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (659 download)
Download or read book Essays in Market Microstructure written by and published by . This book was released on 2009 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay investigates whether there is an informational linkage between option trading activities and underlying stock depths. I find that option trading activities and underlying stock depths are informative for predicting each other, indicating that a linkage does exist. I further find that underlying stock depths beyond best prices contain more information than same-side depths at best prices for predicting future option trading activities, which is corroborated by my additional finding that institutional investors are more likely to place underlying stock limit orders less aggressively than individual investors. My findings indicate that standing underlying stock limit orders play an important role in price discovery between options and underlying stock markets. The second essay empirically examines whether specialists face adverse selection and evaluates the performance of the six measures of adverse selection or trade informativeness. I find that specialists face adverse selection. I find that the Glosten-Harris (1988) measure is the most reliable, that the Huang-Stoll (1997) measure is the least reliable, and that the ranking among the George-Kaul-Nimalendran (1991), Lin-Sanger-Booth (1995), PIN (1996), and Hasbrouck (1991b) measures is ambiguous.
Author : Charlie Charoenwong
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (332 download)
Download or read book Essays on Stock Market Microstructure written by Charlie Charoenwong and published by . This book was released on 1994 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George Glenn Baigent
Publisher :
ISBN 13 :
Total Pages : 162 pages
Book Rating : 4.:/5 (391 download)
Download or read book Essays in Market Microstructure written by George Glenn Baigent and published by . This book was released on 1997 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jie Lu
Publisher :
ISBN 13 :
Total Pages : 141 pages
Book Rating : 4.:/5 (559 download)
Download or read book Essays on Behavioral Finance and Market Microstructure written by Jie Lu and published by . This book was released on 2009 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three essays that study behavioral finance and market microstructure. The first essay models a game of individual day traders' interactions in a stock trading chat room and empirically tests the model's conclusions. Trading behaviors are analyzed in an Internet chat room with free entry but secure identity, and traders' interactions are modeled as a dynamic game with informed traders, momentum traders, arbitragers and noise traders. Three empirical predictions are generated in the model's equilibrium. The unique data set consists of stock trading chat room posts of more than 1,000 individual semi-professional day traders and their interactions and transactions are investigated in a time series. All the three predictions from the model's equilibrium are affirmed by empirical tests. The second essay assesses the effects of the entire limit order book and analyzes the market impacts of the quotes in the Shanghai and Shenzhen Stock Exchange in China, where the stock market has a pure order-driven trading mechanism without market makers. Firstly, in the empirical modeling the limit order books, the structural vector autoregressive model of Hasbrouck (1991) is used and extended to incorporate more information beyond the inside quotes. Secondly, the market impact of stocks is also analyzed cross sectionally with market capitalization, tick frequency, turnover, average price, etc. Finally, the market impacts and order imbalance of small trades are distinguished. Small trades, usually linked with individual investors, have proportionally small market impact. Besides, the volume-weighted daily order imbalances of small trades and next-day's and contemporaneous daily returns are negatively related with each other. This is in accordance with the 'pain theory' of the individual traders. The third essay investigates microstructure characteristics of the Credit Default Swap (CDS) market. During the sample period, April 2006 -- March 2008, CDS are traded on the over-the-counter (OTC) market, through brokers' voice-based or electronic-based systems. The study analyzes CDS spread, trade-to-quote ratio, bid-ask spread, the frequency that the orders fall between the quotes, and the relationship between the order imbalance and the daily change of CDS spread.
Author : Nuttawat Visaltanachoti
Publisher :
ISBN 13 :
Total Pages : 180 pages
Book Rating : 4.:/5 (568 download)
Download or read book Essays in Market Microstructure written by Nuttawat Visaltanachoti and published by . This book was released on 2004 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Randi Næs
Publisher :
ISBN 13 : 9788275533096
Total Pages : 183 pages
Book Rating : 4.5/5 (33 download)
Download or read book Essays on the Microstructure of Stock Markets written by Randi Næs and published by . This book was released on 2005 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Randi Naes
Publisher :
ISBN 13 : 9788275533102
Total Pages : 183 pages
Book Rating : 4.5/5 (331 download)
Download or read book Essays on the Microstructure of Stock Markets written by Randi Naes and published by . This book was released on 2005 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jianning Huang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book One Essay On Market Microstructure And Two Essays On Corporate Finance And Financial Institutions written by Jianning Huang and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation research comprises one essay on market microstructure and two essays on corporate finance and financial institutions. In the first essay, I examine the effects of a speed bump on market quality and exchange competition. After a long period of facilitating faster trading, exchanges are now trying to slow down trading with speed bumps. I study how this market-design innovation affects traders reaction times, the market quality of stocks, and the operators of competing exchanges. Post speed bump, I find slower reaction times to order book events and reduced order detection and back-running. Reduction in quote-to-trade ratio and flickering quotes improves market quality. Exchanges without planned speed bumps lose market share, with reduced return on their share price, enterprise value, and investment in high-speed assets. Their stocks become attractive for short sellers. In the second essay, I investigate the governance role of banks by examining lenders monitoring effect on borrowers tax planning. I posit that lenders monitoring has an impact on borrowers tax planning on the two ends of the continuum of tax planning strategies. I show that firms with a larger portion of loan shares held by lead lenders, with loans led by reputable lenders and with a single-lending relationship have lower effective tax rates and less egregious tax aggressiveness. I also document that borrowers with loan sales that weaken lenders monitoring incentives tend to have higher effective tax rates and more egregious tax aggressiveness. Moreover, our results on tax aggressiveness are stronger for firms with more intense shareholder-debtholder conflict. In the third essay, I use the China setting to study the determinants and impact of equity pledges by large shareholders. I find that the likelihood of equity pledges increases with recent stock returns and firm financial constraints. The market reacts positively to equity pledge announcements, especially when the lender is a securities firm. Moreover, firms whose shares are pledged subsequently improve operating performance and manage earnings less. Collectively, our results are consistent with equity pledges being used as a commitment device by large shareholders not to expropriate from minority shareholders and ultimately benefits outside shareholders..
Author : SungKyu Lim
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (114 download)
Download or read book Essays on Market Microstructure and Stock Market Liquidity written by SungKyu Lim and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daejin Kim
Publisher :
ISBN 13 :
Total Pages : 135 pages
Book Rating : 4.:/5 (876 download)
Download or read book Three Essays on Market Microstructure written by Daejin Kim and published by . This book was released on 2014 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Berlusconi Silvio (1936-). written by and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Zeitungsausschnitte (1992-2000).
Author : Richard James Vagnoni
Publisher :
ISBN 13 :
Total Pages : 438 pages
Book Rating : 4.:/5 (561 download)
Download or read book Essays on Market Microstructure Models and Their Estimation written by Richard James Vagnoni and published by . This book was released on 2004 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wenjin Kang
Publisher :
ISBN 13 :
Total Pages : 330 pages
Book Rating : 4.:/5 ( download)
Download or read book Towards a Better Understanding of Liquidity, Trading Behavior, and Stock Returns written by Wenjin Kang and published by . This book was released on 2004 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ms. Yesol Huh
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (847 download)
Download or read book Essays on Empirical Market Microstructure written by Ms. Yesol Huh and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies how automation and structural changes in equity markets have affected various aspects of liquidity. In the first part of the thesis, I study high frequency trading (HFT). I first develop a methodology for measuring HFT activities that uses a statistical model to estimate reaction speed from limit order data. This allows us to separate out and measure HFT activities from that of slower traders. Using these measures, I study HFTs' liquidity provision. In today's markets where high frequency traders (HFTs) act as both liquidity providers and takers, I argue that information asymmetry associated with HFTs' use of public, machine-readable information is important. This particular type of information asymmetry arises because some machines may sometimes access certain information before other machines due to randomness in relative speed. I show that liquidity-providing HFTs supply less liquidity to stocks that suffer more acutely from this information asymmetry problem. My results also show that stocks with low spreads, high beta, and low volatility have a greater information asymmetry of this type. Moreover, when markets become volatile, this information asymmetry problem becomes more severe, and liquidity provision by HFTs decreases. I discuss implications for market-making activity in times of market stress and for HFT regulations. Second part of this thesis studies algorithmic trading, which is a larger set that includes HFTs. Using the introduction of hybrid market in the New York Stock Exchange as a natural experiment, I show that algorithmic trading causes liquidity across stocks to co-move more; hybridization increases the 5-minute liquidity comovement by 30 to 50%. Moreover, the effect is stronger at daily frequencies: hybridization induces a 90% higher daily liquidity comovement. These results are due to both an increase in market liquidity risk and a decrease in idiosyncratic liquidity volatility.
