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Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation
Man, Kasing; Wang, Junbo; Wu, Chunchi - In: Management Science 59 (2013) 3, pp. 695-714
, though its volume is low. The relative contribution of a trading system to price discovery depends on liquidity, volatility … is large and liquidity is low. These findings provide important implications for the design of electronic markets for …
Persistent link: https://www.econbiz.de/10010990562
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - Tinbergen Instituut - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10011255488
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Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System
Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2011
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...
Persistent link: https://www.econbiz.de/10009221548
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Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System
Caporale, Guglielmo Maria; Girardi, Alessandro - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...
Persistent link: https://www.econbiz.de/10009228758
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - Centro Studi di Economia e Finanza (CSEF) - 2009
liquidity, especially for stocks with small market capitalization, high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10008546020
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - C.E.P.R. Discussion Papers - 2009
liquidity, especially for stocks with small market capitalization, high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10008474510
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Public information arrival: Price discovery and liquidity in electronic limit order markets
Riordan, Ryan; Storkenmaier, Andreas; Wagener, Martin; … - In: Journal of Banking & Finance 37 (2013) 4, pp. 1148-1159
messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an …. Negative messages are associated with higher adverse selection costs than positive or neutral messages. Liquidity increases …
Persistent link: https://www.econbiz.de/10010741767
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Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
Caporale, Guglielmo Maria; Girardi, Alessandro - In: Journal of Banking & Finance 37 (2013) 2, pp. 227-240
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of 27months, we find a greater degree of price leadership of the dominant...
Persistent link: https://www.econbiz.de/10010595300
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Price discovery between regular and mini index futures in the Taiwan Futures Exchange
Wang, Yun-Yi; Chang, Chiung-Chiao; Lee, Wan-Chen - In: International Review of Economics & Finance 27 (2013) C, pp. 224-237
the TAIFEX. Regression analyses show that both relative liquidity and relative changes in liquidity between regular and …
Persistent link: https://www.econbiz.de/10010664335
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - Tinbergen Institute - 2010
Most stock exchange regulators around the world reacted to the 2007-2009 crisis by
Persistent link: https://www.econbiz.de/10008679879