We test the invariance-of-bet hypothesis from Kyle and Obizhaeva (2016) for one of the largest order-driven equity markets: the Tokyo Stock Exchange (TSE). The pooled regression coefficients of the log of the number of trades on the log of trading activities range from 0.586 to 0.679, close to...

Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies...

We test the invariance-of-bet hypothesis from Kyle and Obizhaeva (2016) for the Tokyo Stock Exchange. The pooled regression coefficients of log of the number of trades on log of trading activities range from 0.586 to 0.679, close to the theoretical value of two-thirds predicted by the...

During the Flash Crash on May 6, 2010, a short period of high stock market volatility, some stock prices declined to $0.01, while others increased to $100,000. Examining Intermarket Sweep Orders (ISO) before, on, and after May 6, we find that ISO use is substantially higher on May 6. For those...

In setting a minimum tick size, exchanges balance the competing objectives of lowering transaction costs and encouraging liquidity provision by minimizing stepping-ahead risk. We examine the trade-off between these two types of costs by examining the proportion of time that the quoted spread...

Using synchronous transactions data for IBM from the New York, Pacific, and Midwest Stock Exchanges, we estimate an error correction model to investigate whether each of the exchanges is contributing to price discovery. Johansen's test yields two cointegrating vectors, which together verify the...