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A Market-Clearing Role for Inefficiency on a Limit Order Book
Large, Jeremy - Department of Economics, Oxford University - 2006
forecasting problems. Market inefficiency adjusts to induce equal supply and demand for liquidity over time. Consequently, at a …
Persistent link: https://www.econbiz.de/10010605201
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A Market-Clearing Role for Inefficiency on a Limit Order Book
Large, Jeremy - Economics Group, Nuffield College, University of Oxford - 2006
forecasting problems. Market inefficiency adjusts to induce equal supply and demand for liquidity over time. Consequently, at a …
Persistent link: https://www.econbiz.de/10005549190
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The Microstructure of Stock Markets
Biais, Bruno; Glosten, Larry; Spatt, Chester S - C.E.P.R. Discussion Papers - 2002
regulation of competition between liquidity suppliers or exchanges. …
Persistent link: https://www.econbiz.de/10005788974
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Introduction to Market Microstructure
EKINCI, Cumhur - EconWPA - 2004
Persistent link: https://www.econbiz.de/10005134945
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Auction Markets, Dealership Markets and Execution Risk
Pagano, Marco; Roell, Ailsa - European Science Foundation Network in Financial … - 1990
Dealers are suppliers of liquidity; in this respect their role is similar to that played by speculators in auction …
Persistent link: https://www.econbiz.de/10005656113
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Marketmaking in the Laboratory: Does Competition Matter?
Krahnen, Jan Pieter; Weber, Martin - Fachbereich Wirtschaftswissenschaft, Goethe … - 2001
This paper is the first experimental study of the effects of competition and adverse selection on the performance of … results. First, competition among market makers significantly reduces the bid-ask spread, and increases transaction volume …. Second, competition among market makers induces competitive undercutting, yielding net trading losses for market makers as a …
Persistent link: https://www.econbiz.de/10005112797
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Marketmaking in the Laboratory: Does Competition Matter?
Krahnen, Jan; Weber, Martin - In: Experimental Economics 4 (2001) 1, pp. 55-85
This paper is the first experimental study of the effects of competition and adverse selection on the performance of … results. First, competition among market makers significantly reduces the bid-ask spread, and increases transaction volume …. Second, competition among market makers induces competitive undercutting, yielding net trading losses for market makers as a …
Persistent link: https://www.econbiz.de/10005711641
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How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market
Hanousek, Jan; Podpiera, Richard - Center for Economic Research and Graduate Education and … - 2000
The link between informed trading and the bid-ask spread has been the focus of abundant literature and some authors feared that a large amount of informed trading might lead to shutdown of markets. We explore this issue using data from the Czech Republic. Our estimates confirm that the share of...
Persistent link: https://www.econbiz.de/10005086668
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Shareholder wealth effects of stock dividends in a unique environment
Al-Yahyaee, Khamis Hamed - In: Journal of International Financial Markets, … 28 (2014) C, pp. 66-81
We investigate shareholder wealth effects of stock dividends using a unique dataset from Oman in which many market frictions that are used to explain the stock dividend announcement effect are either absent or limited. We find a positive stock market reaction to stock dividend distributions. We...
Persistent link: https://www.econbiz.de/10010729425
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Evolutionary Sequential Trading
Ishii, Ryosuke - In: Economics Bulletin 30 (2010) 1, pp. 192-203
This paper analyzes an Easley and O'Hara (1992) type sequential trading model in an evolutionary setting. We assume that the memory of a market maker is limited, and that traders endogenously choose whether to acquire private information with a fixed cost. We show that the ratio of the informed...
Persistent link: https://www.econbiz.de/10008562867