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The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market

Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...

Persistent link: https://www.econbiz.de/10010303693

Pre-open call auction and price discovery: Evidence from India

Rajesh, Acharya H.; Gaikwad, Vishal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-11

Premier stock exchanges in India, viz. National Stock Exchange of India and Bombay Stock Exchange, introduced call auction in the pre-open session from 18 October 2010. This paper analyzes the impact of introduction of pre-open call auction on price discovery at the open. Empirical analysis is...

Persistent link: https://www.econbiz.de/10011559132

A non-normal framework for price discovery: The Independent Component based Information Shares measure

Zema, Sebastiano Michele - 2023

I propose a new measure of price discovery, which I will refer to as the Independent Component based Information Share (IC-IS). This measure constitutes a variant of the widespread Information Share, with the main difference being it does not suffer the same identification issues. Under the...

Persistent link: https://www.econbiz.de/10014541819

Price discovery and the accuracy of consolidated data feeds in the U.S. equity markets

Tivnan, Brian F.; Slater, David; Thompson, James R.; … - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-17

Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor-the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor (SIP), we focus here on...

Persistent link: https://www.econbiz.de/10012611057

Intraday Price Discovery in Fragmented Markets

Ozturk, Sait; van der Wel, Michel; van Dijk, Dick - 2014

For many assets, trading is fragmented across multiple exchanges. Price discovery measures summarize the informativeness of trading on each venue for discovering the asset's true underlying value. We explore intraday variation in price discovery using a structural model with time-varying...

Persistent link: https://www.econbiz.de/10010377216

Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes

van der Wel, Michel; Menkveld, Albert; Sarkar, Asani - 2009

We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...

Persistent link: https://www.econbiz.de/10010326072

Price and trading response to public information

Grothe, Magdalena - 2010

In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade on it. In contrast, several models assuming heterogeneous investors show that public news releases are directly followed by high trading volume. Empirical evidence on this...

Persistent link: https://www.econbiz.de/10011605223

Which information should entrepreneurs on German crowdinvesting-platforms disclose?

Mäschle, Oliver - 2012

The disclosure requirements for firms issuing equity on German crowdinvestingplatforms are quite lax at the moment. This paper states that this loose requirement policy is not optimal in the presence of competition among platforms. First, a simple three-staged theoretical model is derived to...

Persistent link: https://www.econbiz.de/10010319286

Rationing of excessive demand on crowdinvesting-platforms

Mäschle, Oliver - 2012

On crowdinvesting-platforms, non-publicly traded companies can offer equity to private investors. Currently, platforms like Crowdcube.com in Great Britain or Seedmatch.de in Germany are using a mechanism for the allocation of available shares best described by the phrase first come, first...

Persistent link: https://www.econbiz.de/10010319292

Profits and Speculation in Intra-Day Foreign Exchange Trading

Mende, Alexander; Menkhoff, Lukas - 2006

This study examines profits and speculation in the USD/EUR trading of a bank in Germany over a four-month period …. Dealing activity at the bank generates profits but speculation does not seem to contribute to this. We find that speculative … reveals that there is hardly any room for revenues from speculation. …

Persistent link: https://www.econbiz.de/10010262956

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