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Volatility Control Mechanisms : The International Experience and the Evidence from Hong Kong

Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan - 2022

University of Hong Kong Business School).Trading venues have adopted volatility interruption measures to protect investors from … extreme price gyrations and disorderly markets. Among such measures, Volatility Control Mechanisms (VCMs) are implemented …

Persistent link: https://www.econbiz.de/10013492074

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Liquidity in the German stock market

Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …

Persistent link: https://www.econbiz.de/10012020325

Liquidity in the German stock market

Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - In: Schmalenbach business review : sbr 71 (2019) 4, pp. 443-473

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The market impact puzzle

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494214

Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market

Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220

Persistent link: https://www.econbiz.de/10012033008

Macroeconomic news announcements and price discovery : evidence from Canadian-U.S. cross-listed firms

Frijns, Bart; Indriawan, Ivan; Tourani Rad, Alireza - In: Journal of empirical finance 32 (2015), pp. 35-48

Persistent link: https://www.econbiz.de/10011556775

Predicting future price volatility : empirical evidence from an emerging limit order market

Jain, Pawan; Jiang, Christine X. - In: Pacific-Basin finance journal 27 (2014), pp. 72-93

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International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares

Otsubo, Yoichi - In: Journal of empirical finance 25 (2014), pp. 36-51

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Ultra-fast activity and intraday market quality

Cartea, Álvaro; Payne, Richard; Penalva, José; Tapia, … - In: Journal of banking & finance 99 (2019), pp. 157-181

Persistent link: https://www.econbiz.de/10012162376

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