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Secondary market trading infrastructure of government securities
Balogh, Csaba; Kóczán, Gergely - 2009
of the bond market similar to that of the equity market. Introduction of the euro in Hungary will fundamentally change …
Persistent link: https://www.econbiz.de/10009354802
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The forint interest rate swap market and the main drivers of swap spreads
Csávás, Csaba; Varga, Lóránt; Balogh, Csaba - 2008
In our paper we present the most important characteristics of the forint interest rate swap market, as well as examine the determinants and the information content of the forint interest rate swap spreads. The turnover of the forint interest rate swap market has grown dynamically in recent...
Persistent link: https://www.econbiz.de/10009354808
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Paying for market liquidity : competition and incentives
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effective spreads, mainly through a reduction in...
Persistent link: https://www.econbiz.de/10011987269
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://www.econbiz.de/10012020325
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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009
We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...
Persistent link: https://www.econbiz.de/10003884519
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The information content of Hungarian sovereign CDS spreads
Varga, Lóránt - 2009
global credit derivatives markets. Our primary goals are to glean some information from the CDS spreads about Hungary … two rates may temporarily deviate from one another due to micro structural factors. Hungary’s credit risk premium is … primarily defined in the Hungarian sovereign CDS market, which means that any new information pertaining to Hungary’s credit …
Persistent link: https://www.econbiz.de/10009354803
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Essays on arbitrage and market liquidity
Tomio, Davide - 2017 - 1st edition
Persistent link: https://www.econbiz.de/10011823803
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Tick size change and market quality in the U.S. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - 2019
This paper studies a recent tick size reduction in the U.S. Treasury securities market and identifies its effects on the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid-ask spread narrows significantly after the change, even for large...
Persistent link: https://www.econbiz.de/10012000042
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Price formation and liquidity provision in short-term fixed income markets
D'Souza, Chris (contributor); Lo, Ingrid (contributor);  … - 2007
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The...
Persistent link: https://www.econbiz.de/10003462952
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Transaction costs, liquidity and expected returns at the Berlin stock exchange, 1892-1913
Burhop, Carsten; Gelman, Sergey - 2010
We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the...
Persistent link: https://www.econbiz.de/10003971233