Showing 1 - 10 of 75
We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-or-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means...
Persistent link: https://www.econbiz.de/10012936541
We show that broker identities are important for price formation. We use the removal of broker identities by the ASX on November 28th 2005 as a natural experiment and compare the information signal of broker identities before and after its removal. We find that broker identities have significant...
Persistent link: https://www.econbiz.de/10012916669
This paper examines the feedback effect between trading in financial markets and bank loan contracting. We find that banks charge higher loan rates for borrowers with higher short selling activities. This result is robust to various identification tests and robustness checks. We further find...
Persistent link: https://www.econbiz.de/10012852327
We find a positive relation between the amount of pension deficits and the cost of bank loans. The effect of pension deficits on the costs of bank loans is driven by financial constraints, information asymmetry problems, and higher pension investment risk. Banks tighten lending terms for firms...
Persistent link: https://www.econbiz.de/10012923945
We study high-frequency trading (HFT) activities and their consequent price impacts on the ASX around RBA announcement. RBA announcement provides an ideal setting for studying the speed advantage of high-frequency traders (HFTs), as the announcement has significant impact on stock prices and...
Persistent link: https://www.econbiz.de/10012894509
As a consequence of recent technological advances and the proliferation of algorithmic and high frequency trading, the cost of trading in financial markets has irrevocably changed. One important change relates to how trading affects prices; known as price impact. Price impact represents the...
Persistent link: https://www.econbiz.de/10013032055
We investigate the impact of market transparency on the interaction between fast traders and uninformed (retail) order flow. Using the switch to an anonymous trading platform on the Australian Securities Exchange as an exogenous shock to market transparency, we find that the informational...
Persistent link: https://www.econbiz.de/10013312956
As a consequence of recent technological advances and the proliferation of high-frequency trading and other forms of algorithmic trading, the cost of trading in financial markets has irrevocably changed. One important change relates to how trading affects prices; this is known as price impact....
Persistent link: https://www.econbiz.de/10013029638
This study investigates individual and institutional investors' behaviour around firm specific news announcements. We find that individual investors and institutional investors have positive and significant abnormal volume on announcement days and significantly less abnormal volume on days...
Persistent link: https://www.econbiz.de/10013101446
This study investigates the influence of information asymmetry on the cross-sectional variation of volume-return relation in the context of Australian stock market. In particular, this paper extends current research by incorporating informed traders' trade-size preference as well as its impact...
Persistent link: https://www.econbiz.de/10013068964