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The Impact of Market Fragmentation on the Liquidity of European Stock Exchanges
Fioravanti, Simone Francesco - 2013
Exchanges and shows that competition among exchange platforms does not have a negative effect on the level of liquidity of …
Persistent link: https://www.econbiz.de/10013089059
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The Impact of New Execution Venues on European Equity Markets’ Liquidity - The Case of Chi-X
Chlistalla, Michael - 2009
well as on consolidated liquidity of French blue chip equities, newly tradable on Chi-X. Our findings suggest that owing to … this new competition the home market's liquidity has enhanced. This is apparently due to the battle for order flow which … results in narrower spreads and increased market depth. These results imply that overall liquidity in a virtually consolidated …
Persistent link: https://www.econbiz.de/10013156365
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COVID-19 Pandemic and Liquidity Commonality
Suardi, Sandy; Xu, Caihong; Zhou, Z. Ivy - 2022
This paper shows how the US, UK, Germany and China are financially connected through their stock market liquidity in … the COVID-19 pandemic. Using high frequency data on transaction costs, we identify a decrease in stock market liquidity … and an increase in liquidity commonality amongst these countries after the World Health Organisation (WHO) declared the …
Persistent link: https://www.econbiz.de/10013294929
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Price discovery, causality and volatility spillovers in European Union allowances phase II : a high frequency analysis
Rittler, Daniel - 2009
This paper deals with the modeling of the relationship of European Union Allowance spot- and futures-prices within the second commitment period of the European Union Emission Trading Scheme. Based on high frequency data, we analyze causality in the first and the second conditional moments. To...
Persistent link: https://www.econbiz.de/10003902551
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Price formation and liquidity provision in short-term fixed income markets
D'Souza, Chris (contributor); Lo, Ingrid (contributor);  … - 2007
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The...
Persistent link: https://www.econbiz.de/10003462952
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Trade-throughs in European cross-traded equities after transaction costs : empirical evidence for the EURO STOXX 50
Ende, Bartholomäus; Lutat, Marco - 2010
The new regulatory environment triggered by MiFID has resulted in a transformed competitive landscape and increased fragmentation among execution venues in Europe. One key component of MiFID is best execution, i.e. investment firms are obliged to achieve the best result for customer orders on a...
Persistent link: https://www.econbiz.de/10008698015
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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...
Persistent link: https://www.econbiz.de/10003582754
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The European Commission and EUA prices : a high-frequency analysis of the EC's decisions on second NAPs
Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - 2009
This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...
Persistent link: https://www.econbiz.de/10003875267
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An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …. -- Credit Default Swap Spreads ; Corporate Bond Spreads ; Liquidity …
Persistent link: https://www.econbiz.de/10003963752
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The impact of the financial crisis on transatlantic information flows : an intraday analysis
Dimpfl, Thomas; Peter, Franziska Julia - 2014
We use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial...
Persistent link: https://www.econbiz.de/10010240602