After a brief period during the financial crisis when countries appeared to be lurching towards economic nationalism, the international community has reaffirmed its commitment to open markets that are regulated in balanced ways that promote innovation while discouraging abuse. Hence, it remains...

The European Union has had a uniform legal framework to combat market abuse since 2003. These provisions are to be reformed. In October 2011, the European Commission presented proposals for a Regulation on Insider Dealing and Market Manipulation and a Directive on Criminal Sanctions. This paper...

The introduction of the Securities Financing Transactions Regulation into EU law provides a unique opportunity to obtain an in-depth understanding of repo markets. Based on the transaction-level data reported under the regulation, this paper presents an overview and key facts about the euro area...

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...

Using a recent pilot program as an exogenous shock to hidden liquidity, we show that hidden liquidity has significant effects on various measures of market quality and order submission strategies after controlling for market volatility and other stock attributes. Spreads, depths, trading volume,...