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Author : Pei-Hwang Wei
Publisher :
ISBN 13 :
Total Pages : 338 pages
Book Rating : 4.:/5 (256 download)
Download or read book Essays on the Components of the Bid-ask Spread written by Pei-Hwang Wei and published by . This book was released on 1989 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tee Ngay Lim
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.:/5 (29 download)
Download or read book Essays on the BID-ASK Spread written by Tee Ngay Lim and published by . This book was released on 1987 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul Leventhal
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (11 download)
Download or read book Three Essays on the Cost Components of the Bid-ask Spread written by Paul Leventhal and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three interrelated essays. The first essay focuses on the adverse selection component of the bid-ask spread. A regime switching model applied to the trading process leads to a parsimonious model of the time-series evolution of the bid-ask spread in which market participants use trade data to answer the following question: Is there currently private information in the market for a given stock? If there is a high probability of private information in the market, this leads contemporaneously to a greater revision in beliefs about the true price. Together with compensation for transactions costs, this leads to a greater revision in transaction price. Using TSE 35 trade and quote data for March and May 1996, the pooled cross-section and time series results support this view. The second essay examines the costs of adverse information and order processing in light of transaction size, type of trader and type of trading method. Specifically, it is found that adverse selection increases with the trade size (consistent with numerous empirical studies relating trade size and the cost components of the bid-ask spread). However, whether the trade was undertaken by the designated market maker, by a principal trader or by an individual belonging to neither of these two categories is also of importance. In addition, we show that trades consummated within the investment dealer's firm have a lower adverse information cost component than trades executed externally. For order processing, it is found that the single most important determinant of cost is whether the transaction is internal or external to the investment dealer firm, with internal trades being more costly. The third essay examines the robustness of the Huang and Stoll (1997) model estimates to the use of different clustering methods and to a minimum quotation increment reduction (MQIR) on the Toronto Stock Exchange. We find that adequate reversal of trade flow is a necessary but not sufficient condition for model performance. We also find that model estimates are quite sensitive to the data clustering method selected. In addition, we show that this model fails to provide adequate cost component estimates of the spread in the post-MQIR period due to a fundamental change in market-maker behavior.
Author : Pu Shen
Publisher :
ISBN 13 :
Total Pages : 210 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays on Bid-ask Spreads, Term Premia and Excess Returns written by Pu Shen and published by . This book was released on 1993 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kristina Bambach
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (124 download)
Download or read book Essays on Volatility and Bid-ask Spreads in Financial Markets written by Kristina Bambach and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Vijay Kumar Chopra
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.:/5 (25 download)
Download or read book Information Asymmetry, Price Changes, Trading Volume and Bid-ask Spreads written by Vijay Kumar Chopra and published by . This book was released on 1990 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Asquith
Publisher :
ISBN 13 :
Total Pages : 378 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on Tender Offers written by Daniel Asquith and published by . This book was released on 1992 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter M. Algert
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.:/5 (33 download)
Download or read book Essays on the Transactions Process for Common Stocks written by Peter M. Algert and published by . This book was released on 1991 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Amy Burnett
Publisher :
ISBN 13 :
Total Pages : 478 pages
Book Rating : 4.:/5 (288 download)
Download or read book An examination of stock splits in two essays written by Amy Burnett and published by . This book was released on 1992 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yu An
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Essays in Over-the-counter Markets written by Yu An and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays, which examine several issues in over-the-counter financial markets. The first essay shows that dealers build socially excessive inventories in order to compete for market share. The distortion in pricing is empirically identified using transaction level data in the U.S. corporate bond market. The second essay shows that the two roles of a dealer, immediacy provision and matchmaking, create a conflict of interest. A direct implication is that bid-ask spread is a misleading measure of immediacy provision. The third essay introduces reducible intermediation chains in order to quantitatively measure search frictions in over-the-counter markets. This allows us to categorize intermediation chains by their primary intermediation incentives. Specifically, the first essay shows that dealers in over-the-counter markets build socially excessive inventories in order to compete for market share and get the associated intermediation rents. Using the TRACE dataset for the U.S. corporate bond market, I find that, excluding the crisis, the incentive to build inventory raises dealers' bid prices for corporate bonds by an average of 5 basis points. During the crisis, this effect was reversed by 23 basis points of implied additional dealer balance-sheet costs. The second essay, co-authored with Zeyu Zheng, shows that the two roles of a dealer, immediacy provision and matchmaking, create a conflict of interest that leads dealers to hold inefficiently high levels of inventory in order to extract additional rents from customers. Because of this, bid-ask spread is a misleading measure of immediacy provision. Our model suggests the use of execution delays as an additional measure of immediacy provision. The third essay, co-authored with Yang Song and Xingtan Zhang, introduces reducible intermediation chains in order to quantitatively measure search frictions in over-the-counter markets. This allows us to categorize intermediation chains by their primary intermediation incentives. Using interdealer trades in the U.S. corporate bond market, we discover new types of intermediation chains that are not formed to mitigate search frictions or to facilitate liquidity provision. Instead, these chains arise when dealers intermediate trades for other dealers in order to unwind positions at a profit.
Author : Cuyler Lawrence Strong
Publisher :
ISBN 13 :
Total Pages : 141 pages
Book Rating : 4.6/5 (985 download)
Download or read book Essays on Single-Stock Futures and Options Markets written by Cuyler Lawrence Strong and published by . This book was released on 2020 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: These two essays demonstrate the important role that derivative markets play in assimilating information into financial markets. In the first essay I use the 2008 short-selling ban to examine the impact of single-stock futures (SSFs) trading on options market quality. I show that there is a substitution effect between options trading and SSFs trading during the ban period. In addition, my results show that SSFs trading had a significant effect in narrowing the bid-ask spreads of options contracts. Moreover, compared to stocks without SSFs, stocks with SSFs were less likely to violate put-call parity during the ban period. My results suggest that SSFs trading helps mitigate the negative effect of the short-selling ban on options market quality documented in the literature.In the second essay I look at information flows through large option trades. The motivation comes from CNBC's "Halftime Report" which regularly covers unusual option activity, i.e., those abnormally large trades, and recommend investors to follow the "smart money". I investigate the impact of the CNBC coverage on underlying stock prices and whether investors can indeed profit by following the "smart money". I document an immediate spike in trading volume and abnormal returns at the time of the CNBC coverage, and evidence that the unusual option trades are informative of stock prices around the coverage. However, I also document a significant reversal in underlying stock prices following the CNBC coverage. Using the same criteria advocated by the CNBC commentators, I identify unusual option activities for a large sample of stocks without CNBC coverage. I confirm that the unusual option trades significantly predict underlying stock returns, but find no evidence of reversal in underlying stock prices. My findings suggest that the CNBC coverage of unusual option activity has a destabilizing effect on underlying stock prices and investors cannot profit by simply following the CNBC reporting on the "smart money".
Author : Stkewart James Mayhew
Publisher :
ISBN 13 :
Total Pages : 180 pages
Book Rating : 4.:/5 (34 download)
Download or read book Essays on Market Microstructure and Options written by Stkewart James Mayhew and published by . This book was released on 1996 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew Heinzman
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (138 download)
Download or read book Essays on Information and Prices written by Andrew Heinzman and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study how information is incorporated into prices. In the first two chapters, I approach this problem by studying the pricing of new products. Retailers face uncertainty about demand for new products, making it challenging to set prices. To learn about demand, retailers rely on information from similar, existing products and demand in similar markets. Thus, retailers have the least knowledge about demand for new products that are not present in any markets and have few substitutes. I show that to address uncertainty retailers launch new products into a subset of markets to learn about demand before introducing a product widely. As retailers gain additional information from similar existing products or prior introductions at other stores, they set prices closer to the optimal level. Additionally, after introducing a new product, retailers continue to learn about demand and refine their pricing strategy. Retailers learn, in part, by sharing information across their network of stores. Information sharing across different geographic regions helps retailers learn about demand if consumers are similar across locations. I find that while information sharing typically leads to prices that are closer to the optimal level, there are cases where information from different geographies has a negative impact on pricing. In my third chapter, I take these themes in a different direction by studying pricing in financial markets from a theoretical perspective. In modern financial markets, investors seeking to profit from new information compete with high frequency traders (HFTs) who invest in the ability to trade quickly. Using a dynamic model, I find that while HFTs' speed advantage improves market liquidity (as indicated by bid-ask spreads), it also slows down the speed at which new information is incorporated into prices. HFTs decrease the profitability of new information by trading ahead of slower investors, prompting investors to trade less to avoid revealing valuable information. As a result, new information takes longer to be incorporated into prices. However, HFTs also improve market liquidity by ensuring that prices better reflect widely known information.
Author : Simon Gervais
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (34 download)
Download or read book Essays on Market Microstructure with Uncertain Information Precision, Optimal Information Sales, and Overconfidence written by Simon Gervais and published by . This book was released on 1997 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jared Frank Egginton
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.:/5 (83 download)
Download or read book Three Essays on Quote Stuffing, Dealer Liquidity and Stub Quoting written by Jared Frank Egginton and published by . This book was released on 2012 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on quote stuffing, dealer provided liquidity, and stub quoting. The first essay examines the impact that intense episodic spikes in quoting activity (frequently referred to as "quote stuffing") has on market conditions. We find that quote stuffing is pervasive with several hundred events occurring each trading day and that over 74% of US exchange traded securities experience at least one episode during 2010. We find that during periods of intense quoting activity stocks experience decreased liquidity, higher trading cost, and increased short term volatility. In the second we examine the role of the NASDAQ market marker over time. Specifically, we study the liquidity providing behavior of NASDAQ market markers in the trading environment in 2010 compared to 2004. We examine the frequency with which market makers are at the inside quote, the market and stock specific factors that influence market maker participation, changes in the number of market makers over time, and the relation between market maker participation and intraday bid-ask spread patterns. We find that the role of NASDAQ market makers declines over time. In 2004, the percentage of the trading day that market makers quote at the inside bid (ask) is 60% (62%) compared to 2010 when NASDAQ dealers quote at the inside bid (ask) just 12% (11%). The number of market makers declines. We also find evidence that the influence market makers have on intraday variations in the bid-ask declines over time. Finally in the third essay, we examine the liquidity providing behavior of NASDAQ market makers surrounding two periods of changing dealer obligation. The first period is the relaxation of Rule 4613 in November of 2007 which required NASDAQ market makers to place two-sided quotes that must be "reasonably related" to the current best bid and offer. This rule change permitted NASDAQ market makers to post quotes far away from the prevailing market (frequently referred to as a "Stub Quote"). The second is the Securities and Exchange Commission ban on stub quoting in December 2010 which requires that market makers quote within a predefined distance from market prices. We find evidence in both the 2007 and 2010 rule change periods that placing restrictions on stub quoting alters market makers liquidity providing behavior. Stub quote restrictions increase the time that market makers quote at the NBBO. We also find evidence that stub quoting restrictions increase the percent of daily volume executed by market makers. However, we find little evidence that stub quoting rules impact the participation of market makers during days with excessive volatility.
Author : Jing Wang
Publisher :
ISBN 13 :
Total Pages : 155 pages
Book Rating : 4.:/5 (922 download)
Download or read book Three Essays on Pricing and Volume Distributions of Cross-listed Stocks written by Jing Wang and published by . This book was released on 2014 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation provides empirical evidences in global cross-listed stocks trading volume and pricing. The first essay documents the global trading volume distribution of cross-listed stocks and examines factors that make a host market competitive in attracting order flows from the counterpart domestic market. The results show that host markets are more successful in attracting trading volume when they have a higher information factor, have lower bid-ask spreads, provide better investor protection and information disclosure, share the common language or legal origin with the counterpart home markets and locate closer to the home market. The second essay investigates the market competitiveness among rival host markets based on a unique sample of global firms simultaneously cross-listed in multiple foreign countries. I present the global cross-listings and trading volume distributions cross host-home markets as well as over time, and provide robust evidences that host markets are more successful in attracting trading volume from other competing markets when they have lower bid-ask spreads, better legal protection, more market liquidity, higher level of financial development, and where the firms with longer listing history. Interesting, I consistently find that host countries with English common law origins are able to attract trading volume while French civil law origin host countries attract less trading activities. The third essay investigates the cross-listed stock price discovery process. I use synchronous trading data and the error correction model to find that prices on the home and the U.S. markets are co-integrated and mutually adjusting. The price adjustment in response to price disparity happens in both the home market and the U.S. (host) market. In most cases, domestic prices are dominant for the price discovery. However, I also observe a statistically significant amount of feedback from the U.S. markets. The greater the competition offered by the U.S. market, represented as larger U.S. proportion of trading volume, more informative U.S. share price, more liquidity, better legal protection and closer to the home market, the more price adjustment from domestic side toward the U.S. price.
