We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

In response to the sharp decline in prices of financial stocks in the fall of 2008, regulators in a number of countries banned short selling of particular stocks and industries. Evidence suggests that these bans did little to stop the slide in stock prices, but significantly increased costs of...

This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...

We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel limit order and trade book data with...

In this paper, I identify a novel channel through which political beliefs affect investor behavior. Instead of considering differences of opinion between Republicans and Democrats, I analyze nonpartisan evaluations of the executive using Gallup's presidential approval ratings. I find that large...

I study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. The analysis exploits a unique dataset, which allows comparing environments with and without high-frequency competition, and contains an exogenous event - a tick size reform...

We construct the network of U.S. firms implied by social media. We identify connections between firms and use these to construct a network that we call The Social Internetwork. The Social Internetwork describes deep, non-obvious links between firms that subsume product-supplier, industry, or...

We study the macrofinancial linkage of stock market and financial system stability in Indonesia. Three stock market-based measures are proposed and are tested to search for possible empirical link from observed stock prices (stock market mispricing), combination of observed price and fundamental...

We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

We exploit China's great stock market crash in 2015 to study the effects of government stock purchases. The Chinese government purchased stocks to stabilize the market through state-owned financial institutions collectively called the “National Team”. We find that the intervention led to...