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The impact of hidden liquidity in limit order books
Frey, Stefan; Sandås, Patrik - 2008
, greater trading volume, and smaller price impact. Limit and market order submission behavior changes when hidden liquidity is … increased trading volume when hidden liquidity is present are both consistent with liquidity externalities. -- Hidden Liquidity …
Persistent link: https://www.econbiz.de/10003863908
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Has there always been underpricing and long-run underperformance? : IPOs in Germany before World War I
Schlag, Christian; Weigt, Anja - 2000
This paper provides empirical evidence on initial public offerings (IPOs) by investigating the pricing and long-run performance of IPOs using a unique data set collected on the German capital market before World War I. Our findings indicate that underpricing of IPOs has existed, but has...
Persistent link: https://www.econbiz.de/10009767696
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Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni; Foucault, Thierry - 2008
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10003831244
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How effective are trading pauses?
Hautsch, Nikolaus; Horvath, Akos - 2017 - This draft: April 2017
trading pause mechanisms introduced on U.S. stock exchanges after May 2010. We show that the mere existence of such a …-off between the protective role of trading pauses and their adverse effects on market quality. …
Persistent link: https://www.econbiz.de/10011642607
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Limits to arbitrage in markets with stochastic settlement latency
Hautsch, Nikolaus; Scheuch, Christoph; Voigt, Stefan - 2018
Distributed ledger technologies rely on consensus protocols confronting traders with random waiting times until the transfer of ownership is accomplished. This time consuming settlement process exposes arbitrageurs to price risk and imposes limits to arbitrage. We derive theoretical arbitrage...
Persistent link: https://www.econbiz.de/10011944603
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The ambivalent role of high-frequency trading in turbulent market periods
Hautsch, Nikolaus; Noe, Michael; Zhang, S. Sarah - 2017
We show an ambivalent role of high-frequency traders (HFTs) in the Eurex Bund Futures market around high-impact macroeconomic announcements and extreme events. Around macroeconomic announcements, HFTs serve as market makers, post competitive spreads, and earn most of their profits through...
Persistent link: https://www.econbiz.de/10011755770
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Mirror, mirror on the wall, who is transitioning amongst them all?
Hinsche, Isabelle Cathérine; Klump, Rainer - 2023
In order to reach climate neutrality by 2050, the European Union is taking action in the form of extensive sustainability regulations with the aim to push the private sector towards sustainable economic activities. In this context, a new instrument to finance a company's sustainability...
Persistent link: https://www.econbiz.de/10014285512
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Dark trading and financial markets stability
Gonçalves, Jorge; Kräussl, Roman; Levin, Vladimir - 2023
book data and apply panel regression analysis to estimate the effect of M-ELO trading on market stability and liquidity …
Persistent link: https://www.econbiz.de/10013555440
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Mirror, mirror on the wall, who is transitioning amongst them all?
Hinsche, Isabelle Cathérine; Klump, Rainer - 2023
In order to reach climate neutrality by 2050, the European Union is taking action in the form of extensive sustainability regulations with the aim to push the private sector towards sustainable economic activities. In this context, a new instrument to finance a company’s sustainability...
Persistent link: https://www.econbiz.de/10014348583
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Covid, work-from-home, and securities misconduct
Cumming, Douglas J.; Firth, Christopher; Gathergood, John; … - 2021 - This Draft: October 18, 2021
We consider whether traders are more likely to commit securities violations when trading at home, a new form of working … misconduct cases. Work at home is associated with fewer cases of trading misconduct, although no difference in communications … misconduct. The economic significance of working from home on trading misconduct is large for both the treatment and selection …
Persistent link: https://www.econbiz.de/10012693916