Narrow search
Showing 1 - 10 of 95,364
Cover Image
Securities transaction tax-case study of India
Malik, Neha - 2014
attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …
Persistent link: https://www.econbiz.de/10010354157
Cover Image
A theory of very short-time price change : security price drivers in times of high-frequency trading
Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34
previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …
Persistent link: https://www.econbiz.de/10013272630
Cover Image
What Drives Intraday Reversal? Illiquidity or Liquidity Oversupply?
Kang, Junqing; Lin, Shen; Xiong, Xiong - 2021
What drives intraday reversal? Previous studies of the U.S. market regard short-term reversal as compensation for liquidity provision. However, in this paper, we find that intraday reversal has no significant dependence on stock liquidity for the Chinese market. Hence, based on a stylized...
Persistent link: https://www.econbiz.de/10013244826
Cover Image
Low-latency trading and price discovery : evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This version: April 2017
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on...
Persistent link: https://www.econbiz.de/10012061992
Cover Image
Short Selling, Trading Activity and Volatility in Corporate Bond Market
Duong, Huu Nhan - 2018
We investigate the impact of short selling activity on trading activity and price volatility in the U.S corporate bond … of opinions. In addition, we find that the positive relation between short selling activity and price volatility becomes …
Persistent link: https://www.econbiz.de/10012912758
Cover Image
Investors’ Financial Attention Frequency and Trading Activity
Cai, Wenwu - 2020
acquire financial information less frequently following periods of low market returns and high market volatility. In addition …
Persistent link: https://www.econbiz.de/10012847896
Cover Image
Spectral Volume Models : High-Frequency Periodicities in Intraday Trading Activities
Wu, Lintong; Zhang, Ruixun; Dai, Yuehao - 2022
We develop spectral volume models to systematically estimate, explain, and exploit the high-frequency periodicity in intraday trading activities using Fourier analysis. The framework consistently recovers periodicities at specific frequencies in three steps, despite their low signal-to-noise...
Persistent link: https://www.econbiz.de/10014239413
Cover Image
High-Frequency Trading in the Bund Futures Market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … 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/10012988629
Cover Image
Volmageddon and the failure of short volatility products
Augustin, Patrick; Cheng, Ing-Haw; Van den Bergen, Ludovic - 2021
stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we …
Persistent link: https://www.econbiz.de/10012585893
Cover Image
Central counterparties and liquidity provision in cash markets
Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26
This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance sheet encumbrance through the use of central counterparties (CCPs). The introduction of the Basel III leverage rule constitutes a shock to market makers’ balance sheets and...
Persistent link: https://www.econbiz.de/10012798918