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Trader positions and marketwide liquidity demand
Onur, Esen; Roberts, John S.; Tuzun, Tugkan - 2017
changes carries important information about liquidity demand in the market. From this distribution of trader position …-changes, we construct a marketwide measure for intraday liquidity demand that does not necessarily depend on aggressive trading …. Using a rich regulatory dataset on S&P 500 E-mini futures and 10-year Treasury futures markets, we show that this liquidity …
Persistent link: https://www.econbiz.de/10011803199
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Price pressure and price discovery in the term structure of interest rates
Mixon, Scott; Tuzun, Tugkan - 2018
We study the price pressure and price discovery effects in the U.S. Treasury market by using a term structure model. Our model decomposes yield curve shifts into two components: a virtually permanent change related to order flow and a transitory, price pressure effect due to dealer inventories....
Persistent link: https://www.econbiz.de/10012016240
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Transparency and collateral : central versus bilateral clearing
Antinolfi, Gaetano; Carapella, Francesca; Carli, Francesco - 2018
Bilateral financial contracts typically require an assessment of counterparty risk. Central clearing of these financial contracts allows market participants to mutualize their counterparty risk, but this insurance may weaken incentives to acquire and to reveal information about such risk. When...
Persistent link: https://www.econbiz.de/10011927083
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Transparency and collateral : the design of CCPs' loss allocation rules
Antinolfi, Gaetano; Carapella, Francesca; Carli, Francesco - 2019
This paper adopts a mechanism design approach to study optimal clearing arrangements for bilateral financial contracts in which an assessment of counterparty risk is crucial for efficiency. The economy is populated by two types of agents: a borrower and lender. The borrower is subject to limited...
Persistent link: https://www.econbiz.de/10012182024
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Collateralized debt networks with lender default
Chang, Jin Wook - 2019
The Lehman Brothers' 2008 bankruptcy spread losses to its counterparties even when Lehman was a lender of cash, because collateral for that lending was tied up in the bankruptcy process. I study the implications of such lender default using a general equilibrium network model featuring...
Persistent link: https://www.econbiz.de/10012388117
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Customer liquidity provision : implications for corporate bond transaction costs
Choi, Jaewon; Huh, Yesol - 2017 - Current draft: October 2017
The convention in calculating trading costs in corporate bond markets is to assume that dealers provide liquidity to … provide liquidity in corporate bond markets, and thus, average bid-ask spreads underestimate trading costs that customers … demanding liquidity pay. Compared with periods before the 2008 financial crisis, substantial amounts of liquidity provision have …
Persistent link: https://www.econbiz.de/10011803677
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Only winners in tough times repeat : hedge fund performance persistence over different market conditions
Sun, Zheng; Wang, Ashley W.; Lu, Zheng - 2016 - This draft: March 2016
We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioned on the level of overall hedge fund sector...
Persistent link: https://www.econbiz.de/10011500226
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016
This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993–2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly...
Persistent link: https://www.econbiz.de/10011500337
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Learning from history : volatility and financial crises
Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2016
We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample predictive power over the incidence of banking...
Persistent link: https://www.econbiz.de/10011578981
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The shift from active to passive investing : potential risks to financial stability?
Anadu, Kenechukwu; Kruttli, Mathias; McCabe, Patrick E.; … - 2018
this shift affects financial stability through its impacts on: (i) funds' liquidity and redemption risks, (ii) asset …-market volatility, (iii) asset-management industry concentration, and (iv) comovement of asset returns and liquidity. Overall, the shift … increased industry concentration, but it has diminished some liquidity and redemption risks. Finally, evidence is mixed on the …
Persistent link: https://www.econbiz.de/10012016127