This working paper was written by Kalok Chan (Chinese University of Hong Kong Business School), F.Y. Eric Lam (Independent Researcher)*, Giorgio Valente (Hong Kong Institute for Monetary and Financial Research) and Siyuan Wu (Chinese University of Hong Kong Business School).Trading venues have...

The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...

Russian financial markets continued to see their turnover expand in 2017, led by the firmest growth in over-the-counter (OTC) segments. However, the bias towards speculative trading primarily in FX assets was, as before, characteristic of the turnover structure. Financial market's money and FX...

The demand for cash balances of financial intermediaries that establish contractual liabilities with credit-sensitive customers is characterized. As stated by Merton, the success of the business activities of such firms crucially depends on their credit quality, and hence, they are obliged to...

Over the past week (from April 3 to April 9), a ‘rebound' was observed in the oil and gas markets that had to do with the expectations of an agreement being reached on oil production cut in the OPEC+ format, alongside hopes for passing negative peaks in coronavirus statistics in the USA. The...

The Russian equity market in 2018 came to be more profitable and stable than many other emerging markets, but it continued to lag behind competitors in terms of returns to investors and investment risk indicators. There were more problems that came from non-residents outflow

We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements. Nine of the 20 announcements that move markets show evidence of substantial informed trading before the official release time. Prices begin to move in the “correct” direction...

In distilling a vast literature spanning the rational — irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more complete, and more heavily influenced by sophisticated...

We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...

I present a model that provides a theoretical solution to the Lucas Puzzle using Financial Efficiency, which is a time-varying component of TFP. The model predicts that a financially underdeveloped economy is to benefit from financial integration through FDI capital inflow only if it experiences...