We examine the non-linearity between financial development and economic growth in China. Specifically, we use a threshold model to investigate whether provinces with high level of personal income can exploit financial development efficiently. Empirical analysis, using cross-provincial data from...

We investigate the relation between the number of informed traders in a financial asset and the estimated adverse selection cost of trading in that asset, lambda, after controlling for the effects of previously identified determinants of market liquidity. As a proxy for informed traders, we use...

This paper examines China's influence on the volatility of crude oil prices in the international markets. Using data from 1997-2007, we find that China has little impact on the volatility of the world crude oil markets. On the contrary, our evidence shows that the crude oil price innovations in...

This article examines causality in volatility spillover (causality-in-variance) for the six major European government bond markets. Using tests of temporal causality and directed acyclic graphs, we find evidence of contemporaneous causality-in-variance, indicating that volatility spillover in...

In the context of futures markets, we study whether brokers allocate more favorable trades to their own accounts, and less favorable trades to their customers. We find that, within a thirty minute trading bracket, brokers on average buy at a lower price and sell at a higher price for their own...

This paper finds that marketmaking practices of dual traders are pit-specific. In the S&P 500 futures pit, the authors estimate that, because of a lower price impact, customers of dual traders pay eighteen cents less per contract on their trades, compared with customers of pure brokers....

In the context of dual trading restrictions, we examine whether aggregate liquidity measures are appropriate indicators of trader welfare in multiple dealer markets. Consistent with our theoretical results, we show empirically that dual trading restrictions did not affect market liquidity...