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Adverse selection, market access and inter-market competition

Hoffmann, Peter - 2013

We study the role of informed trading in a fragmented financial market under the absence of inter-market price priority …. Due to frictions in traders’ market access, liquidity providers on alternative trading platforms may be exposed to an … higher transaction fees. The empirical analysis of a dataset of trading in French and German stocks suggests that trades on …

Persistent link: https://www.econbiz.de/10011605564

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2017

frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity …

Persistent link: https://www.econbiz.de/10011606065

High Frequency Trading and Fragility

Cespa, Giovanni; Vives, Xavier - 2016

frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders’ liquidity …

Persistent link: https://www.econbiz.de/10011615834

Terrorist Attacks and Financial Markets

Bonekamp, Bas; van Veen, Tom - 2017

This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin(2016) on the stock indices of the...

Persistent link: https://www.econbiz.de/10011615879

How effective are trading pauses?

Hautsch, Nikolaus; Horvath, Akos - 2017

trading pause mechanisms introduced on U.S. stock exchanges after May 2010. We show that the mere existence of such a …-off between the protective role of trading pauses and their adverse effects on market quality. …

Persistent link: https://www.econbiz.de/10011646669

Does gold act as a hedge and a safe haven for China's stock market?

Chen, Ke; Wang, Meng - In: International Journal of Financial Studies 5 (2017) 3, pp. 1-18

This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China's stock markets for analysis. Our...

Persistent link: https://www.econbiz.de/10011996051

Performance of exchange traded funds during the Brexit referendum: An event study

Alkhatib, Akram; Harasheh, Murad - In: International Journal of Financial Studies 6 (2018) 3, pp. 1-12

In today's interrelated economies, financial information travel at speed of light to reach investors around the globe. Global financial markets experience regular shocks that transmit negative waves to other equity markets and different asset classes. Given the unique characteristics of...

Persistent link: https://www.econbiz.de/10011996132

The BoC-BoE sovereign default database revisited: What's new in 2018?

Beers, David; Mavalwalla, Jamshid - 2018

Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada's Credit Rating Assessment Group (CRAG) has developed a comprehensive database of...

Persistent link: https://www.econbiz.de/10012014485

Exchange Competition, Entry, and Welfare

Cespa, Giovanni; Vives, Xavier - 2018

We assess the consequences for market quality and welfare of different entry regimes and exchange pricing policies in a context of limited market participation. To this end we integrate a two-period market microstructure model with an exchange competition model with entry in which exchanges...

Persistent link: https://www.econbiz.de/10012018123

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/10012026516