The aim of this paper is to identify and analyse the influence of ownership concentration on stock market liquidity in general, and the adverse selection component of the spread in particular for a panel of Tunisian firms from 2001 to 2007. We document that firms with greater insider ownership...

In this article, we study the effects on derivative pricing arising from price impacts by large traders. When a large trader issues a derivative and (partially) hedges his risk by trading in the underlying, he influences both his hedge portfolio and the derivative's payoff. In a Black–Scholes...

This study develops a liquidity-adjusted option pricing model that demonstrates the impact of the liquidity risk on stock prices using a liquidity discount factor. The discount factor relates to both mean-reversion stochastic market liquidity and the sensitivity of stock prices to market...

The paper uses fuzzy measure theory to represent liquidity risk, i.e. the case in which the probability measure used to price contingent claims is not known precisely. This theory enables one to account for different values of long and short positions. Liquidity risk is introduced by...

This paper introduces signaling in a standard market microstructure model so as to explore the economic circumstances under which hype and dump manipulation can be an equilibrium outcome.  We consider a discrete time, multi-period model with stages of signaling and asset trading.  A single...

We analyze in this study investor trading behavior based not on information related assumptions but on the search model of Vayanos and Wang (2007). Our study shows that search cost dictates trading polarization across investors, firm size and time of day. We find that individual investors prefer...

Our study contributes to the literature in two directions. First, we investigate the behaviour of futures prices returns for different energy and agricultural commodities, over the period 1986-2010. Second, we measure the market vulnerability to financial speculation for energy commodities over...

In this study, we analyze investor trading behavior based not on information-related assumptions but on the search model of Vayanos and Wang (2007). Our study shows that search cost dictates trading polarization across investors, firm size, and time of day. We find that individual investors...

This paper studies the effects of four events initiated by the Korea Exchange (KRX) aimed at enhancing pre-trade transparency: two for market opening by single-price call auction, and two for regular trading hours by continuous auction. We select the ten largest stocks, and another ten of the...

Liquidity costs in futures markets are not observed directly because bids and offers occur in an open outcry pit and are not recorded. Traditional estimation of these costs has focused on bidask spreads using transaction prices. However, the bid-ask spread only captures the tightness of the...