Similar Search Results

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017

between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …

Persistent link: https://www.econbiz.de/10011697233

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

High-frequency trading in the Bund futures market

Schlepper, Kathi - 2016

evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …

Persistent link: https://www.econbiz.de/10011483067

Order flow volatility and equity costs of capital

Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1520-1551

Persistent link: https://www.econbiz.de/10012022640

The granular nature of large institutional investors

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - In: Management science : journal of the Institute for … 67 (2021) 11, pp. 6629-6659

Persistent link: https://www.econbiz.de/10012703696

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010405475

Estimating endogenous liquidity using transaction and order book information

Durand, Philippe; Gündüz, Yalın; Thomazeau, Isabelle - 2012

We distinguish exogenous liquidity, which corresponds to the variability of bid-ask spreads for usual …-sized transactions, from endogenous liquidity, which we interpret as the impact of liquidity on market prices when liquidating larger … positions. Endogenous liquidity measures the risk that the realized price of a transaction may be different from the price …

Persistent link: https://www.econbiz.de/10009674768

What can explain momentum? : evidence from decomposition

Guo, Jiaqi; Li, Peng; Li, Youwei - In: Management science : journal of the Institute for … 68 (2022) 8, pp. 6184-6218

Persistent link: https://www.econbiz.de/10013372945

Market depth and order size : an analysis of permanent price effects of DAX futures' trades

Kempf, Alexander; Korn, Olaf - 1998

In this paper we empirically analyze the permanent price impact of trades by investigating the relation between unexpected net order flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network model suggests that the assumption of a linear impact...

Persistent link: https://www.econbiz.de/10013428144