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The market impact puzzle

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494214

Tail expectation and imperfect competition in limit order book markets

Baruch, Shmuel; Glosten, Lawrence R. - In: Journal of economic theory 183 (2019), pp. 661-697

Persistent link: https://www.econbiz.de/10012131384

Institutional presence in secondary bank bond markets : how does it affect liquidity and volatility?

Oprică, Silviu; Weistroffer, Christian P. - 2019

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …

Persistent link: https://www.econbiz.de/10012009073

Napoleon, Bourses, and Growth in Latin America

Levine, Ross - Inter-American Development Bank - 1997

The value of equity market transactions in emerging economies soared from about 2 percent of the world total in 1986 to 12 percent in 1996. This boom was accompanied by an explosion of international capital flows, especially flows into developing country stock markets. Moreover, while equity...

Persistent link: https://www.econbiz.de/10010944093