In the event of a clearing member's default, and as part of its default management process, a central counterparty (CCP) will need to hedge the defaulter's portfolio and to close-out its positions. However, the CCP may not be able to do this without incurring additional losses if the market is...

Using timestamped orders and trades data from the Stock Exchange of Thailand, we studyhow different market participants - retail investors, domestic and foreign institutions - influence priceformation for different liquidity levels. We find that trading participants contribute heterogeneously...