Our study evaluates the return sensitivity of cryptocurrencies to various measures of uncertainty (uncertainty beta). We identify that crypto returns react primarily to financial uncertainty, which is the unforecastable component of multiple financial indicators. However, crypto returns are not...

We study the mandated introduction of a supervised auction for the primary bond market in China. The regulatory intervention significantly reduced the cost of debt for Chinese issuers. We show that the majority of the benefits flow from reduced agency conflict between underwriters and issuers....

Using comprehensive global data, we find that introducing a closing auction in stock markets to set closing prices typically improves liquidity, price efficiency, and market integrity. However, auction design matters -- price stabilization features and randomized closing times make auctions more...

A new market design, an “Automated Market Maker” (AMM), completely automates trade matching and liquidity provision by leveraging decentralized finance technologies including smart contracts. Can AMMs improve the trading of traditional assets? We derive a model of an AMM’s equilibrium...

We infer the forward-looking Bitcoin risk premium from options contracts. Using data from 2018 to 2020, we show that the expected excess returns for Bitcoin are time-varying and significantly higher than in equities or gold, averaging almost 80% per annum. A temporal analysis of the term...

We identify the motivations, characteristics and effects of opening price manipulation using a unique sample of 906 manipulated opening auctions. Detailed order-level data document significant increases in order amendments and cancellations immediately prior to manipulated auctions. Using...

This paper empirically examines the impacts of grid-scale battery storage facilities on the frequency control ancillary services (FCAS) market that is used by energy market operators to maintain the frequency of the system within the normal operating band. Using a staggered introduction of...

The closing call auction is an important feature of modern markets that improves the efficiency of closing prices as a benchmark. We examine the effects of COVID-19 on closing price dislocation – with a specific focus on the role of high-frequency and retail traders on closing price...