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Displaying results 1 to 8 of 8.

  1. The cross-sectional spillovers of single stock circuit breakers
    Author: Brugler, James; Linton, Oliver; Noss, Joseph; Pedace, Lucas
    Published: October 2018
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 759
    Subjects: Circuit breakers; market microstructure; market quality
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. FCPA and market quality in emerging economies
    Author: Dastidar, Krishnendu; Yano, Makoto
    Published: [2020]
    Publisher:  RIETI, [Tokyo, Japan]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: RIETI discussion paper series ; 20-E, 087 (November 2020)
    Subjects: FCPA; market quality; bribe; Cournot
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  3. Into the light
    dark pool trading and intraday market quality on the primary exchange
    Author: Brugler, James
    Published: 2015
    Publisher:  Bank of England, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; 545
    Subjects: Dark pools; dark trading; market quality
    Scope: Online-Ressource (37 S.), graph. Darst.
  4. Position-limit design for the CSI 300 futures markets
    Published: 2014
    Publisher:  Quantitative Finance Research Centre, Univ. of Techn., Sydney

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Research paper / Quantitative Finance Research Centre, University of Technology Sydney ; 349
    Subjects: position limit; stock index futures; agent-based modeling; market quality
    Scope: Online-Ressource (30 S.)
  5. Diving into dark pools
    Author: Buti, Sabrina; Rindi, Barbara; Werner, Ingrid M.
    Published: January 2022
    Publisher:  The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics, [Columbus, Ohio]

    This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in liquid stocks. Nasdaq (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in liquid stocks. Nasdaq (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks controlling for liquidity. For a given stock, dark pool activity is significantly higher on days with high share volume, high depth, low intraday volatility, low order imbalances relative to share volume, and low absolute returns. Results show that increased dark pool activity improves market quality measures such as spreads, depth, and short-term volatility. The relationship between dark pool activity and measures of price-efficiency is more complex

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers series / Charles A. Dice Center for Research in Financial Economics ; WP 2022, 01
    Charles A. Dice Center Working Paper ; No. 2010-10
    Fisher College of Business working paper series ; WP 2022-03,01
    Subjects: Dark pools; dark trading; internalization; fragmentation; market quality; microstructure
    Scope: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  6. The impact of financial transaction taxes on stock markets
    short-run effects, long-run effects, and reallocation of trading activity
    Author: Eichfelder, Sebastian; Noack, Mona; Noth, Felix
    Published: [22. März 2022]
    Publisher:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale), Germany

    We investigate the impact of the French 2012 financial transaction tax on trading activity, volatility, and price efficiency measured by first-order autocorrelation. We extend empirical research by analysing anticipation and reallocation effects. In... more

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    eBook
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We investigate the impact of the French 2012 financial transaction tax on trading activity, volatility, and price efficiency measured by first-order autocorrelation. We extend empirical research by analysing anticipation and reallocation effects. In addition, we consider measures for long-run volatility and first-order autocorrelation that have not been explored yet. We find robust evidence for anticipation effects before the effective date of the French FTT. Controlling for short-run effects, we only find weak evidence for a long-run reduction of trading activity due to the French FTT. Thus, the main impact of the French FTT on trading activity is short-run. We find stronger reactions of low-liquidity treated stocks and a reallocation of trading activity to high-liquidity stocks participating in the Supplemental Liquidity Provider Programme, which is both in line with liquidity clientele effects. Finally, we find weak evidence for a persistent volatility reduction but no indication for a significant FTT impact on price efficiency measured by first-order autocorrelation.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/251589
    Series: IWH discussion papers ; 2022, no. 12 (March 2022)
    Subjects: anticipation effect; financial transaction tax; long-run treatment effect; market quality; short-run treatment effect
    Scope: 1 Online-Ressource (III, 35, 53 Seiten, 3,16 MB), Diagramme
  7. Short selling ban and intraday dynamics
    Author: Crego, Julio A.
    Published: November 2017
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEMFI ; 1715
    Subjects: Short selling; market quality; Hawkes process; aggressiveness
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  8. Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility
    Author: Ibikunle, Gbenga; Rzayev, Khaladdin
    Published: April 2020
    Publisher:  [LSE Financial Markets Group], [London]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Financial Markets Group discussion papers ; no 796
    Subjects: COVID-19; dark pools; volatility; liquidity; informational efficiency; market quality
    Scope: 1 Online-Ressource (circa 55 Seiten)