Showing 1 - 9 of 9
This paper investigates the effect of order placement by retail and institutional traders on transient share price volatility on the Australian Stock Exchange (ASX). Using Vector Auto-Regressive models, we find retail traders are attracted to volatile markets but their trading does not increase...
Persistent link: https://www.econbiz.de/10013156827
We examine how trading by institutional traders affects those by insiders. Using data at the trade level, we find insiders complete their trades faster when institutions trade on the same side in the stock. The effect of institutional activity on insider trading is more pronounced when insiders...
Persistent link: https://www.econbiz.de/10013232838
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Using the adoption of the Arrowhead trading platform in January 2010 as an exogenous event, we investigate the effects of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the Tokyo Stock Exchange. After controlling for endogeneity,...
Persistent link: https://www.econbiz.de/10012922108
Using the adoption of the Arrowhead trading platform in January 2010 as an exogenous event, we investigate the effects of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the Tokyo Stock Exchange. After controlling for endogeneity,...
Persistent link: https://www.econbiz.de/10012938466
This paper examines the effects of pre-trade opacity on market liquidity in the presence of market fragmentation. In the laboratory, we create a fragmented market by allowing trading on two venues (i.e., limit order books). By varying the features on one of the venues, we study the treatment...
Persistent link: https://www.econbiz.de/10012826540
Persistent link: https://www.econbiz.de/10012117677
This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high...
Persistent link: https://www.econbiz.de/10015366202
Persistent link: https://www.econbiz.de/10014466099