affects market efficiency, liquidity and arbitrage opportunities. The study examines trading behaviors of large and small …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return … positions by the two main trader classes in the market, namely hedgers and speculators. As positions become extreme, approaching … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital …, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that …

, indicating that speculators may dominate arbitrageurs. While spreads have narrowed as the market has matured, liquidity and … speculators and of informed trading in Taiwan's futures market using intraday data during the five-day pre-expiration period. We … demonstrate that liquidity, volatility, and informed trading are each significantly positively related to spread magnitude …

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …

When a financial crisis breaks out, speculators typically get the blame whereas fundamentalists are presented as the …: short-term speculators and long-term fundamentalists, both sharing the same information set. In this framework, excess … few speculators than with many speculators. Regulators should therefore be aware that efforts to limit speculation might …

When a financial crisis breaks out, speculators typically get the blame whereas fundamentalists are presented as the …: short-term speculators and long-term fundamentalists, both sharing the same information set. In this framework, excess … a few speculators than with many speculators. Regulators should therefore be aware that efforts to limit rational …