Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is one factor of destabilization in the financial markets, as illustrated recently...

We consider a non necessarily complete financial market with one bond and one risky asset, whose price process is modelled by a suitably integrable, strictly positive, càdlàg process $S$ over $[0, T]$. Every option price is defined as the conditional expectation under a given equivalent (true)...

Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with a minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is viewed as one factor of destabilization in the financial markets, as...

Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with a minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is viewed as one factor of destabilization in the financial markets, as...

Our study investigates by which channels IPO underpricing impacts post-listing liquidity. Using a sample of IPOs undertaken on Euronext with diverse mechanisms, we show that when ownership structure is not influenced by initial underpricing, this underpricing still has a positive impact on...

This article provides new insights into market competition between traditional exchanges and alternative trading systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity of a traditional dealer market (DM) by comparing data...

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...

The purpose of the regulated interruptions of quotation on Stock exchange markets is to reduce asymmetries of information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the French stock exchange market for the values included in the...

This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating...