Showing 1 - 10 of 418
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
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
liquidity hypothesis. …
Persistent link: https://www.econbiz.de/10005504665
This paper investigates whether different systems of financial market organization influence the way in which newly created stock markets become more (weak-form) efficient. The author conducts a detailed comparative analysis of stocks listed on the Budapest and Warsaw Stock Exchanges, 1991-98,...
Persistent link: https://www.econbiz.de/10005497754
) temporarily reduces market liquidity. …
Persistent link: https://www.econbiz.de/10005497953
. Our global carry factor across markets delivers strong average returns and, while it is exposed to recession, liquidity …
Persistent link: https://www.econbiz.de/10011083673
This paper argues that the European banking crisis can in part be explained by a “carry trade” behavior of banks. Factor loading estimates from multifactor models relating equity returns to GIPSI (Greece, Ireland, Portugal, Spain and Italy) and German government bond returns suggest that...
Persistent link: https://www.econbiz.de/10011084468
Using event studies we find statistically and economically significant, negative daily abnormal stock market returns prior to sovereign debt rating downgrade announcements. Instrumental variable techniques show that these findings are more pronounced in countries with lower institutional...
Persistent link: https://www.econbiz.de/10011084556
This paper documents how currency speculators trade when international capital flows generate predictable exchange rate movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying exogenous capital flows of index tracking equity...
Persistent link: https://www.econbiz.de/10005034758
between the private value of information, market efficiency, liquidity and exchange rate volatility. Our model is also …
Persistent link: https://www.econbiz.de/10005656205