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The impact of dark trading and visible fragmentation on market quality
de Jong, Frank; Degryse, Hans; van Kervel, Vincent - C.E.P.R. Discussion Papers - 2011
paper evaluates the impact of dark trading and fragmentation in visible order books on liquidity. We consider global … liquidity by consolidating the limit order books of all visible trading venues, and local liquidity by considering the … traditional market only. We find that fragmentation in visible order books improves global liquidity, whereas dark trading has a …
Persistent link: https://www.econbiz.de/10009359491
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Liquidity Supply and Demand in Limit Order Markets
Hollifield, Burton; Miller, Robert A.; Sandås, Patrik; … - C.E.P.R. Discussion Papers - 2002
We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market … rate of traders and increases the number of value traders arriving — liquidity supply is more competitive after periods of … arriving — liquidity supply is less competitive when the spread widens. …
Persistent link: https://www.econbiz.de/10005136412
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Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?
Bacchetta, Philippe; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2003
heterogeneity (e.g., liquidity traders). We show that in-formation dispersion leads to magnification and endogenous persistence of …
Persistent link: https://www.econbiz.de/10005662225
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Asymmetric Information in the Stock Market: Economic News and Co-movement
Albuquerque, Rui; Vega, Clara - C.E.P.R. Discussion Papers - 2006
accepted. Finally, public information news in the U.S. is associated with increased liquidity, while the effect in Portugal …
Persistent link: https://www.econbiz.de/10005666949
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Global Private Information in International Equity Markets
Albuquerque, Rui; Bauer, Gregor H; Schneider, Martin - C.E.P.R. Discussion Papers - 2006
This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that 'global' private information helps understand US investors’ trading behaviour and...
Persistent link: https://www.econbiz.de/10005667137
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An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates
Breedon, Francis; Vitale, Paolo - C.E.P.R. Discussion Papers - 2004
proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow … indicate that the strong contemporaneous correlation between order flow and exchange rates is mostly due to liquidity effects …
Persistent link: https://www.econbiz.de/10005791428
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Information and Geography: Evidence from the German Stock Market
Hau, Harald - C.E.P.R. Discussion Papers - 1999
The electronic trading system Xetra of the German Security Exchange provides a unique data source on the equity trades of 451 large traders located in 23 different cities and 8 European countries. We explore informational asymmetries across the trader population: Traders located outside Germany...
Persistent link: https://www.econbiz.de/10005791658
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International Equity Flows and Returns: A Quantitative Equilibrium Approach
Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - C.E.P.R. Discussion Papers - 2005
This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...
Persistent link: https://www.econbiz.de/10005791707
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A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination
Vitale, Paolo - C.E.P.R. Discussion Papers - 2004
framework we see how, according to the rational expectation paradigm of asset pricing, such a relation reflects liquidity and …
Persistent link: https://www.econbiz.de/10005791898
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Stock Price Informativeness, Cross-Listings and Investment Decisions
Foucault, Thierry; Gehrig, Thomas - C.E.P.R. Discussion Papers - 2006
We show that a cross-listing allows a firm to make better investment decisions because it enhances stock price informativeness. This theory of cross-listings yields a rich set of new predictions. In particular, it implies that the sensitivity of investment to stock prices should be larger for...
Persistent link: https://www.econbiz.de/10005791921