As of April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We study the effect of this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis is based on a model of limit order trading in which...

We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...

Using a rich dataset of orders and trades for a sample of stocks listed on the four European markets of NYSE Euronext, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow and liquidity. We show that commonality in order...

The introduction of the European Markets in Financial Instruments Directive (MiFID) ended the quasi-monopoly of national exchanges in equity trading across Europe and many new trading platforms emerged. European trading venues are neither formally linked by technology nor does regulation enforce...

We analyse the extent to which prices in the sovereign credit default swap (CDS) and bond markets reflect the same information on credit risk in the context of the European Monetary Union. The empirical analysis is based on the theoretical equivalence relation that should hold between the CDS...

Since the implementation of the European Markets in Financial Instruments Directive (MiFID), multilateral trading facilities (MTF) have broken down the quasi-monopoly which has been traditionally held by national exchanges across Europe. To date, incumbent exchanges and various MTFs fiercely...

After the governance crisis of 2001-2003 and the regulatory response through the Sarbanes-Oxley Act and the European corporate governance codes, the financial crisis has revealed persistent governance problems in financial institutions relating to executives, non-executives and shareholders. For...

On September 17, 2008, the Securities and Exchange Commission (SEC) issued an emergency order banning the shorting of 797 financial stocks. This paper studies the impact of the short selling ban on the credit derivatives market by investigating credit default swap (CDS) prices during the period...

Using a rich dataset of orders and trades for a sample of stocks listed on the four European markets of NYSE Euronext, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow and liquidity. We show that commonality in order...

In large parts of literature, an increase in correlation coefficients of returns across countries is regarded as evidence for contagion in financial markets. This paper checks this hypothesis in the Credit Default Swaps (CDSs) markets. We construct a sample of 43 CDSs on major U.S. and European...