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Tick size and price reversal after order imbalance
Sirnes, Espen; Minh Thi Hong Dinh - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-13
pressure on the bid or ask side. This suggests that liquidity providers "overreact" to order imbalance (OIB) by initially … this behavior is most common. Specifically, it seems the tick size augments "OIB-reversal". However, if the tick size is …
Persistent link: https://www.econbiz.de/10012508868
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Trading imbalance, liquidity and stock returns : evidence from Brazil
Pereira, Gustavo Magno Lopes; Camilo-da-Silva, Eduardo; … - In: Latin American business review 21 (2020) 2, pp. 173-195
Persistent link: https://www.econbiz.de/10012258474
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The market microstructure of the European climate exchange
Mizrach, Bruce; Otsubo, Yoichi - In: Journal of Banking & Finance 39 (2014) C, pp. 107-116
This paper analyzes the market microstructure of the European Climate Exchange, the largest EU ETS trading venue. The ECX captures 2/3 of the screen traded market in EUA and more than 90% in CER. Volume growth has averaged 277% in EUA between 2005 and 2009 and 724% in CER since 2007. Spreads...
Persistent link: https://www.econbiz.de/10011065713
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The relative contribution of ask and bid quotes to price discovery
Pascual, Roberto; Pascual-Fuster, Bartolomé - In: Journal of Financial Markets 20 (2014) C, pp. 129-150
Using 2000–2010 data for 84 stocks listed in the Spanish Stock Exchange (SSE) and 2009–2010 data for 240 stocks listed in the New York Stock Exchange (NYSE), we provide robust evidence of daily asymmetries in the contribution of ask and bid quotes to price discovery. Asymmetries happen in...
Persistent link: https://www.econbiz.de/10010906571
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Order flow imbalance effects on the German stock market
Hanke, Michael; Weigerding, Michael - In: Business research 8 (2015) 2, pp. 213-238
Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on...
Persistent link: https://www.econbiz.de/10011488149
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The market microstructure of the European climate exchange
Mizrach, Bruce Marshall; Otsubo, Yoichi - In: Journal of banking & finance 39 (2014), pp. 107-116
Persistent link: https://www.econbiz.de/10010340767
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Short-horizon market efficiency, order imbalance, and speculative trading : evidence from the Chinese stock market
Hu, Yingyi - In: Decision making and risk/return optimization in …, (pp. 253-274). 2019
Persistent link: https://www.econbiz.de/10012134804
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Are odd-lot orders informed?
Upson, James; Johnson, B. Hardy, IV - In: The financial review : the official publication of the … 52 (2017) 1, pp. 37-67
Persistent link: https://www.econbiz.de/10011656865
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Are trading imbalances indicative of private information?
Kim, Sukwon Thomas; Stoll, Hans R. - In: Journal of financial markets 20 (2014), pp. 151-174
Persistent link: https://www.econbiz.de/10010442382
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The relative contribution of ask and bid quotes to price discovery
Pascual, Roberto; Pascual-Fuster, Bartolomé - In: Journal of financial markets 20 (2014), pp. 129-150
Persistent link: https://www.econbiz.de/10010442386