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Treasury bond illiquidity and global equity returns
Goyenko, Ruslan; Sarkissian, Sergei - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 5/6, pp. 1227-1253
Persistent link: https://www.econbiz.de/10011338941
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A composite indicator of sovereign bond market liquidity in the euro area
Poli, Riccardo; Taboga, Marco - 2021
Persistent link: https://www.econbiz.de/10012887900
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Intraday market making with overnight inventory costs
Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2016
The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...
Persistent link: https://www.econbiz.de/10011568504
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Essays on empirical market microstructure and high frequency data
Bellia, Mario - 2018
Persistent link: https://www.econbiz.de/10011875872
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Seasonal liquidity effects and their determinants on the covered bond market
Weigerding, Michael - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 288-303
Persistent link: https://www.econbiz.de/10012431295
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New insights into liquidity resiliency
O'Sullivan, Conall; Papavassiliou, Vassilios G.; … - In: Journal of international financial markets, … 90 (2024), pp. 1-33
Persistent link: https://www.econbiz.de/10014494689
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Size-adapted bond liquidity measures and their asset pricing implications
Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443
Persistent link: https://www.econbiz.de/10013482286
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Official sector lending strategies during the euro area crisis
Corsetti, Giancarlo; Erce, Aitor; Uy, Timothy - 2017
Persistent link: https://www.econbiz.de/10011731351
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Is market liquidity less resilient after the financial crisis? : evidence for US treasuries
Broto, Carmen; Lamas, Matías - 2019
Persistent link: https://www.econbiz.de/10012114021
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On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009504616