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Foreign Exchange Market Interventions: New Empirical Views of Emerging Markets

Brause, Alexander F. - 2010

Ergebnisse dieser Studien führten in den letzten Jahren zu der weitverbreiteten Meinung, dass Interventionen am Devisenmarkt kein … über Notenbankinterventionen am Devisenmarkt näher zu bringen und neue Aspekte in Bezug auf Emerging Markets zu diskutieren …. Der Kernpunkt befasst sich mit der Frage, warum Notenbanken in Emerging Markets am Devisenmarkt intervenieren und ob diese …

Persistent link: https://www.econbiz.de/10009433706

Measuring Liquidity Costs in Agricultural Futures Markets

Frank, Julieta; Garcia, Philip - 2007

Estimation of liquidity costs in agricultural futures markets is challenging because bid-askspreads are usually not observed. Spread estimators that use transaction data are available,but little agreement exists on their relative accuracy and performance. We evaluate fourconventional and a...

Persistent link: https://www.econbiz.de/10009443338

Electronic vs. Open Outcry: Side-by-Side Trading of KCBT Wheat Futures

Shah, Samarth; Brorsen, B. Wade - 2011

This study compares liquidity costs of electronic and open-outcry wheat futures contractstraded side-by-side on the Kansas City Board of Trade. Liquidity costs are considerablylower in the electronic market. Liquidity costs in the electronic market are still considerablylower after eliminating...

Persistent link: https://www.econbiz.de/10009444296

Liquidity Costs in Futures Options Markets

Shah, Samarth; Brorsen, B. Wade; Anderson, Kim B. - 2009

The major finding is that liquidity costs in futures options market are two to three times higher thanliquidity costs in the futures market. Liquidity cost is one potential factor to consider when choosingbetween hedging with a futures contract or with an option contract. While there is...

Persistent link: https://www.econbiz.de/10009446393

Transition to electronic trading of Kansas City Board of Trade wheat futures

Shah, Samarth; Brorsen, B. Wade - 2010

This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market than in the open outcry market. A new approach is used to...

Persistent link: https://www.econbiz.de/10009446522

Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets

Nguyen, N D - 2010

This thesis aims to investigate the influence of earnings news on stock liquidity and the relationship between information asymmetry cost component and Post Earnings Announcement Drift in different equity markets. The scope of this research includes 1821 firms from three leading countries in...

Persistent link: https://www.econbiz.de/10009465568

Two Essays on Oil Futures Markets

Adeinat, Iman - 2011

The first chapter of this dissertation estimates the relative contributions of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes...

Persistent link: https://www.econbiz.de/10009451067

Stock and index futures trading behaviour of individual and institutional investors

Goodfellow, Christiane - 2008

Diese Dissertation liefert empirische Evidenz zum Investitionsverhalten von Privatanlegern. Es wird oft angenommen, dass Privatanleger schlechter informiert sind und deshalb weniger rational handeln als institutionelle Investoren. Die empirischen Befunde sind jedoch gemischt. Während der...

Persistent link: https://www.econbiz.de/10009454732

Theoretical and Practical Aspects of Algorithmic Trading

Fränkle, Jan - 2010

At today's stock markets, most of the trading volume is traded electronically. Thus, also many market participants execute their order flow automatically with the help of trading algorithms. Hence, several important aspects concerning algorithmic trading are discussed. One of the main topics of...

Persistent link: https://www.econbiz.de/10009434653

Model Uncertainty and Liquidity

Routledge, Bryan R; Zin, Stanley E. - 2009

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets like the market for mortgage backed securities or credit...

Persistent link: https://www.econbiz.de/10009441008

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