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Author : Xin Zhao
Publisher :
ISBN 13 :
Total Pages : 174 pages
Book Rating : 4.:/5 (574 download)
Download or read book Two Essays in Market Microstructure written by Xin Zhao and published by . This book was released on 2004 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neela Mohan N. Gollapudi
Publisher :
ISBN 13 :
Total Pages : 408 pages
Book Rating : 4.:/5 (477 download)
Download or read book Two Essays on Market Microstructure written by Neela Mohan N. Gollapudi and published by . This book was released on 1999 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bidisha Chakrabarty
Publisher :
ISBN 13 :
Total Pages : 226 pages
Book Rating : 4.:/5 (574 download)
Download or read book Two Essays on Market Microstructure written by Bidisha Chakrabarty and published by . This book was released on 2004 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Keith Jakob
Publisher :
ISBN 13 :
Total Pages : 172 pages
Book Rating : 4.:/5 (449 download)
Download or read book Two Essays in Empirical Market Microstructure written by Keith Jakob and published by . This book was released on 2000 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains two empirical market-microstructure essays. Both incorporate information from the TORQ database but are otherwise unrelated and deal with separate issues in the finance literature. The first essay empirically examines an existing asymmetric information model from the microstructure literature. The second essay examines the order arrival process around dividends.
Author :
Publisher :
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.:/5 (931 download)
Download or read book Two Essays on Option Market Microstructure written by and published by . This book was released on 2009 with total page 130 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 : Yan Du
Publisher :
ISBN 13 : 9781109833607
Total Pages : 101 pages
Book Rating : 4.8/5 (336 download)
Download or read book Two Essays on Equity Market Microstructure written by Yan Du and published by . This book was released on 2006 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays in the area of equity market microstructure using transaction level data. The first essay examines the event of closing cross in NASDAQ on April 2004. It investigates the choice of participating in closing cross, its impacts on intraday liquidity, volatility, and market quality. It is observed that large cap stocks favor closing cross more than other stocks and closing cross mitigates volatility and order imbalance in NASDAQ. Closing cross does not draw additional volume to either NASDAQ or ECNs; however, it helps NASDAQ to gain proportionally more volume from ECNs around market close. In addition, the gap in transaction costs between NASDAQ and ECNs narrows down after the introduction of closing cross, particularly for medium and large cap stocks. Only small cap stocks experience lowered intraday volatility. Moreover, there is evidence of market quality deterioration. The second essay unfolds the intraday impact of price limits on the magnet effect and the momentum effect. Using Korea Stock Exchange's high frequency trading data and limit order book, we confirm the presence of the magnet effect by demonstrating accelerated trading activities during the 30-minute period prior to limit hits. We introduce quasi limit hits in the Korea Stock Exchange and pseudo limit hits in NASDAQ to distinguish the magnet effect from intraday momentum effect. This paper concludes that the magnet effect is led by the existence of price limits; dictated by the width of price limit band; and is not confined to a particular group of stocks.
Author : Sean Lew
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (862 download)
Download or read book Essays on Market Microstructure written by Sean Lew and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contains three essays on market microstructure. Chapter 1 studies how endogenous information acquisition affects financial markets by modelling potentially informed traders who optimally acquire variable information at increasing cost. Prices affect the informed trading by providing incentives for acquiring information. Endogenous information acquisition explains the stylised facts that informed trading and transaction volume spike after informational events and fall over time. My model also tells a cautionary tale for interpreting measures of informed trading. Three common empirical proxies derived under the exogenous assumption (spreads, Easley O'Hara's PIN and blockholder interest) do not agree with each other in my setup. Chapter 2 develops a more general framework with endogenous information acquisition which I use to examine the behaviour of an optimal monopolistic market maker. Unlike a competitive market maker, he sets prices to increase information revelation which is valuable to him. I characterise market information structure by whether narrower or wider spreads increase the information revealed by trades. An optimal monopolistic market maker may behave differently from the standard exogenous information benchmark. He may set narrower spreads in early periods. On average, spreads may widen over time. The different results arise from the interaction of a monopolistic market maker with endogenous information acquisition. Chapter 3 studies the impact of confidential treatment requests made by institutional investors to the Securities and Exchange Commission (SEC) to delay disclosure of their holdings. The SEC requires the manager to present a coherent on-going trading program in his request for confidential treatment. If granted, he is restricted to trade in a manner consistent with his reported forecast in the subsequent period. Under the restriction, the manager earns higher expected profits by applying for confidential treatment only if his probability of success exceeds a threshold. The model predicts that the price impact of a disclosed trade due to a confidential treatment request denial is greater than that of a disclosed trade where there is no request.
Author : Michael Brolley
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays in Market Microstructure written by Michael Brolley and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qin Wang
Publisher :
ISBN 13 : 9781109127584
Total Pages : 99 pages
Book Rating : 4.1/5 (275 download)
Download or read book Essays in Market Microstructure written by Qin Wang and published by . This book was released on 2000 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shmuel Baruch
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (247 download)
Download or read book Essays in Market Microstructure written by Shmuel Baruch and published by . This book was released on 1998 with total page 68 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 : 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 : Masahiro Yamada
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (835 download)
Download or read book Essays on Market Microstructure written by Masahiro Yamada and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Amitabh Arora
Publisher :
ISBN 13 :
Total Pages : 116 pages
Book Rating : 4.:/5 (248 download)
Download or read book Three Essays in Market Microstructure written by Amitabh Arora and published by . This book was released on 1997 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles-albert Lehalle
Publisher : World Scientific
ISBN 13 : 9813231149
Total Pages : 366 pages
Book Rating : 4.8/5 (132 download)
Download or read book Market Microstructure In Practice (Second Edition) written by Charles-albert Lehalle and published by World Scientific. This book was released on 2018-01-18 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the'Flash Crash' of 2010 are also analyzed in depth.Using a quantitative viewpoint, this book explains how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further independently.This book is written by practitioners and theoretical experts and covers practical aspects (like the optimal infrastructure needed to trade electronically in modern markets) and abstract analyses (like the use on entropy measurements to understand the progress of market fragmentation).As market microstructure is a recent academic field, students will benefit from the book's overview of the current state of microstructure and will use the Appendix to understand important methodologies. Policy makers and regulators will use this book to access theoretical analyses on real cases. For readers who are practitioners, this book delivers data analysis and basic processes like the designs of Smart Order Routing and trade scheduling algorithms.In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure.Further, this edition includes pages on Dark Pools, Circuit Breakers and added information outside of Equity Trading, because MiFID 2 is likely to push fixed income markets towards more electronification. The authors explore what is to be expected from this change in microstructure. The appendix has also been augmented to include the propagator models (for intraday price impact), a simple version of Kyle's model (1985) for daily market impact, and a more sophisticated optimal trading framework, to support the design of trading algorithms.
Author : Victoria Saporta
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (595 download)
Download or read book Essays on Market Microstructure written by Victoria Saporta and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
