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Transparency and Price Discovery : Evidence from the Taiwan Stock Exchange

Chien, Cheng-Yi - 2012

This paper analyzes the impact of pre-trade transparency on price discovery. On January 1, 2003, the Taiwan Stock … opportunity to examine the impact of transparency on price discovery. The sample involves 500 stocks listed on the Taiwan Stock …

Persistent link: https://www.econbiz.de/10013106861

Does Cross-Border Equity Trading Destabilize the Stock Market : Evidence from Chinese Stock Markets

Bian, Jiangze - 2020

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...

Persistent link: https://www.econbiz.de/10012838619

Do Exchange-Contracted Market Makers Improve Market Quality for Liquid Stocks?

Zhang, Dong - 2016

This paper studies the impact of contracted market makers by investigating the liquidity provider scheme in Sweden. The results show that the stocks become more liquid after the introduction of the contracted market makers. The liquidity improvement is explained by reduced order processing cost...

Persistent link: https://www.econbiz.de/10012988465

Information Asymmetry, Price Discovery, and the Chinese B-Share Discount Puzzle

Doukas, John A. - 2014

This paper addresses the information asymmetry between Chinese local A-share and foreign B-share markets and its impact on the B-share discount puzzle, contingent upon the regulatory reforms of the Chinese stock market liberalization in 2001 and 2002. In contrast with the widespread belief that...

Persistent link: https://www.econbiz.de/10013060063

Competition among high-frequency traders, and market quality

Breckenfelder, Johannes - 2019

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...

Persistent link: https://www.econbiz.de/10012016546

The impacts of day trading activity on market quality : evidence from the policy change on the Taiwan stock market

Yang, Tun-Ya; Huang, Si-Yuan; Tsai, Wei-Che; Weng, Pei-Shih - In: Journal of derivatives and quantitative studies 28 (2020) 4, pp. 191-207

This paper aims to investigate the impact of day trading on market quality on the Taiwan stock market with the … stock market in Taiwan officially approved selected stocks for day trading for all investors. Within the sample period, the … trading to deal with the possible endogenous problem and the main findings remain consistent. Since early 2014, the Taiwan …

Persistent link: https://www.econbiz.de/10012592723

Price Discovery and Convergence in Fragmented Securities Markets

Clapham, Benjamin - 2016

This paper studies price discovery and price convergence in securities trading within a fragmented market environment where stocks are traded on multiple venues. Although alternative venues currently increase their market share, trading on these venues instantly dries out in case the dominant...

Persistent link: https://www.econbiz.de/10013004588

Price Impact of Block Trades : The Curious Case of Downstairs Trading in the EU Emissions Futures Market

Ibikunle, Gbenga - 2016

Using high-frequency data from the European Climate Exchange (ECX), we examine the determinants of price impact of €21 billion-worth of block trades during 2008-2011 in the European carbon market. We find that wider bid-ask spreads and volatility are characterised by smaller price impact....

Persistent link: https://www.econbiz.de/10013008462

Foreign Investors, Private Information, and Price Discovery

Cai, Jun - 2020

We examine the relation between intra-day price discovery and proxies for financial openness and investor accessibility using a sample of intra-day price and quote data of 1,504 stocks from 23 emerging markets. We measure price discovery by weighted price contribution across segments of the...

Persistent link: https://www.econbiz.de/10012857522

Market Microstructure and the Risks of High-Frequency Trading

Aldridge, Irene - 2013

The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...

Persistent link: https://www.econbiz.de/10013079007

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