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Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets
Oehler, Andreas; Heilmann, Klaus; Läger, Volker - 2001
This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity … liquidity of the trading mechanisms. For both success factors of real stock exchanges our results show a strong tendency that …
Persistent link: https://www.econbiz.de/10010296586
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Market Liquidity and Price Efficiency : A Field Experiment
Brown, Alasdair - 2017
We conduct a field experiment to see if market liquidity has a causal effect on price efficiency and, if so, why. We … randomly provide liquidity in certain horse race betting markets, and not in others. We find that prices in treated markets are …
Persistent link: https://www.econbiz.de/10012969323
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Liquidity and Market Efficiency in the World’s Largest Carbon Market
Ibikunle, Gbenga - 2016
-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and … trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading …
Persistent link: https://www.econbiz.de/10013008319
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Predictability in securities price formation: differences between developed and emerging markets
Camilleri, Silvio John; Vassallo, Semiramis; Bai, Ye - In: Journal of capital markets studies 4 (2020) 2, pp. 146-166
Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...
Persistent link: https://www.econbiz.de/10012395371
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Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets
Oehler, Andreas; Heilmann, Klaus; Läger, Volker - University of Bamberg, Chair of Finance - 2001
This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity … liquidity of the trading mechanisms. For both success factors of real stock exchanges our results show a strong tendency that …
Persistent link: https://www.econbiz.de/10009211011
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Another look at trading costs and short-term reversal profits
de Groot, Wilma; Huij, Joop; Zhou, Weili - In: Journal of Banking & Finance 36 (2012) 2, pp. 371-382
Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once trading costs are taken into account. We show that the impact of trading costs on the strategies’ profitability can largely be attributed to excessively trading in small cap...
Persistent link: https://www.econbiz.de/10010577945
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Liquidity provision and stock return predictability
Hendershott, Terrence; Seasholes, Mark S. - In: Journal of Banking & Finance 45 (2014) C, pp. 140-151
This paper examines the trading behavior of two groups of liquidity providers (specialists and competing market makers … market-wide measure of liquidity. A double sort using past trades of specialists and competing market makers produces a long …-short portfolio that earns 88 basis points per week (act as complements). Finally, we identify a “chain” of liquidity provision …
Persistent link: https://www.econbiz.de/10011065626
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To disclose or not to disclose : transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014 - This version: May 5, 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …
Persistent link: https://www.econbiz.de/10010361830
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
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Stock Liquidity and Default Risk
Brogaard, Jonathan - 2019
This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission … decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the … highest default risk experience the largest improvements. We find two mechanisms through which stock liquidity reduces firm …
Persistent link: https://www.econbiz.de/10012904049