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  1. International price discovery in the presence of microstructure noise
    Autor*in: Grammig, Joachim G.; Peter, Franziska J.
    Erschienen: 30 May 2008
    Verlag:  Center for Financial Studies, Frankfurt, Main

    This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for information shares,... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 108 (2008.50)
    Fernleihe:
    keine Fernleihe

     

    This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for information shares, previous studies applying the Cholesky decomposition within the Hasbrouck (1995) framework had to rely on high frequency data. However, due to the considerable amount of microstructure noise inherent in return data at very high frequencies, these estimators are distorted. We offer a modified approach that identifies unique information shares based on distributional assumptions and thereby enables us to control for microstructure noise. Our results indicate that the role of the U.S. market in the price discovery process of Canadian interlisted stocks has been underestimated so far. Moreover, we suggest that rather than stock specific factors, market characteristics determine information shares. -- International Cross-Listings ; Market Microstructure Noise ; Price Discovery

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/43237
    Schriftenreihe: CFS working paper ; 2008,50
    Schlagworte: Börsenkurs; Preiskonvergenz; Noise Trading; Marktmikrostruktur; Kanada; USA
    Umfang: Online-Ressource (21, VI S.), graph. Darst.
  2. Is BEST really better?
    internalization of orders in an open limit order book
    Autor*in: Grammig, Joachim G.; Theissen, Erik
    Erschienen: 2011
    Verlag:  Center for Financial Studies, Frankfurt, Main

    This paper studies the market quality of an internalization system which is designed as part of an open limit order book (the Xetra system operated by Deutsche Börse AG). The internalization sys-tem (Xetra BEST) guarantees a price improvement over... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 108 (2011,3)
    Fernleihe:
    keine Fernleihe

     

    This paper studies the market quality of an internalization system which is designed as part of an open limit order book (the Xetra system operated by Deutsche Börse AG). The internalization sys-tem (Xetra BEST) guarantees a price improvement over the inside spread in the Xetra order book. We develop a structural model of this unique dual market environment and show that, while adverse selection costs of internalized trades are significantly lower than those of regular order book trades, the realized spreads (the revenue earned by the suppliers of liquidity) is significantly larger. The cost savings of the internalizer are larger than the mandatory price improvement. This suggests that internalization can be profitable both for the customer and the internalizer. -- Internalization ; Execution Quality ; Adverse Selection Costs

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/57356
    Schriftenreihe: CFS working paper ; 2011/03
    Schlagworte: Wertpapierhandel; Elektronisches Handelssystem; Aktienmarkt; Geld-Brief-Spanne; Adverse Selektion; Theorie; Deutschland
    Umfang: Online-Ressource (PDF-Datei: 33 S., 453,51 KB)