Showing 1 - 9 of 9
Drawing from the challenges organizations are faced with today, there is a growing understanding that future market success, and long-term survival of enterprises will increasingly be related to the effectiveness of information technology utilization. This, however, requires to intertwine much...
Persistent link: https://www.econbiz.de/10009545104
Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits like reduced transaction costs, advancements in trading technology, and...
Persistent link: https://www.econbiz.de/10012061046
We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity around volatility interruptions implemented on the...
Persistent link: https://www.econbiz.de/10011790641
We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions on Deutsche Boerse and research whether a volume migration and an...
Persistent link: https://www.econbiz.de/10011790734
We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...
Persistent link: https://www.econbiz.de/10009309591
We analyze how market fragmentation affects market quality of SME and other less actively traded stocks. Compared to large stocks, they are less likely to be traded on multiple venues and show, if at all, low levels of fragmentation. Concerning the impact of fragmentation on market quality, we...
Persistent link: https://www.econbiz.de/10013464048
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