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Liquidity creation and financial instability
Becke, Susanne von der - 2015
Persistent link: https://www.econbiz.de/10011420133
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Algorithmic trading and market quality : international evidence of the impact of errors in colocation dates
Aitken, Michael J.; Cumming, Douglas J.; Zhan, Feng - In: Journal of banking & finance 151 (2023), pp. 1-7
Persistent link: https://www.econbiz.de/10014463062
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The effect of financial crises on stock market liquidity across global markets
Kaya, Halil D.; Engkuchik, Engku Ngah S. - In: Investment management and financial innovations 14 (2017) 2, pp. 38-50
Persistent link: https://www.econbiz.de/10011817449
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Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis
Mayordomo, Sergio - 2012
This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the … that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity … risks increase. However, commonalities do not depend on firm's characteristics. The level of the liquidity commonalities …
Persistent link: https://www.econbiz.de/10013113973
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Rise of the machines : algorithmic trading in the foreign exchange market
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2009
Persistent link: https://www.econbiz.de/10009535470
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Rise of the machines : algorithmic trading in the foreign exchange market
Chaboud, Alain P.; Chiquoine, Benjamin; Hjalmarsson, Erik; … - In: The journal of finance : the journal of the American … 69 (2014) 5, pp. 2045-2084
Persistent link: https://www.econbiz.de/10010489675
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Complex interactions in financial markets
Finger, Karl - 2014
Persistent link: https://www.econbiz.de/10011305495
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High-frequency trading and stock price crash risk around the world
Pyrgiotakis, Emmanouil G.; Verousis, Thanos; Zhang, Mengyu - 2022
In this study, we examine the impact of high-frequency trading (HFT) on stock price crash risk in 24 countries over the period 1990 to 2019. Using a difference-in-differences approach, we find that HFT participation significantly increases stock price crash risk. We attribute this finding to the...
Persistent link: https://www.econbiz.de/10014245020
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Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data
Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57
Persistent link: https://www.econbiz.de/10012127871
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Effects of lit and dark market fragmentation on liquidity
Gresse, Carole - In: Journal of financial markets 35 (2017), pp. 1-20
Persistent link: https://www.econbiz.de/10011820138