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order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted … spread less than $0.05, the tick size increase is binding and leads to a significant decrease in liquidity in the limit order … book becomes less resilient – the amount of time required for a deviation in liquidity to return to its long-run mean. For …
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the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid …
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show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and … raised profits to liquidity providers by forty percent. The bulk of the effects occurred for tick-constrained stocks for …
Persistent link: https://www.econbiz.de/10011968847
more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …
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impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …
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quality, liquidity and crash risk, across firms and regulatory regimes. We find that OTC firms that are subject to stricter … regulatory regimes and disclosure requirements have higher market quality (higher liquidity and lower crash risk). Our analysis …
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