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Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája

Havran, Dániel; Erb, Tamás - In: Közgazdasági Szemle (Economic Review - monthly of the … LXII (2015) 3, pp. 229-262

Áttekintő tanulmányunkban arra keressük a választ, hogy mit és miért veszítenek az intézményi pénzügyi piacokon kereskedő szereplők a piaci súrlódások és az egyes piacok sajátos mikrostruktúrája következtében. Egységes elemzési keretben és jelölésrendszerben mutatjuk...

Persistent link: https://www.econbiz.de/10011200132

CDS Auctions

Chernov, Mikhail; Gorbenko, Alexander; Makarov, Igor - C.E.P.R. Discussion Papers - 2011

bonds that are exchanged during the auction. We also document a V-shaped pattern in underpricing during the days surrounding … auction, the extent to which they are underpriced increases, with the smallest underpricing coming on the day of the auction. … analysis, we show that the current auction design may not result in the fair bond price and suggest modifications to the …

Persistent link: https://www.econbiz.de/10009144729

A Good Beginning Makes a Good Market: The Effect of Different Market Opening Structures on Market Quality

Hinterleitner, Gernot; Hornung, Philipp; … - Social- und Wirtschaftswissenschaftliche Fakultät, … - 2012

. We compare a single continuous double auction and two complement markets with different call auction designs as opening … that a call auction not only improves market quality at the beginning of the trading day when com-pared to the stand …-alone continuous double auction, but also causes positive spillover effects on subsequent trading. Concerning the design of the opening …

Persistent link: https://www.econbiz.de/10011098108

Determinants of sales rates at Turkish art auctions

Atukeren, Erdal; Seçkin, Aylin - In: Acta Oeconomica 62 (2012) December, pp. 489-503

79 auctions that took place between January 2005 and February 2008. After controlling for auction house differences …

Persistent link: https://www.econbiz.de/10010822333

MRO bidding in the presence of LTROs: an empirical analysis of the pre-crisis period

Vogel, Edgar - 2014

Using individual data from the Eurosystem’s liquidity providing tenders for the pre-crisis period we investigate banks’ joint bidding behaviour in Main Refinancing Operation (MRO) and Longer Term Refinancing Operations (LTRO). We test whether banks bid at lower rates in MROs before the LTRO...

Persistent link: https://www.econbiz.de/10011605798

Bid-ask price competition with asymmetric information between market makers

CALCAGNO, Riccardo; LOVO, Stefano M. - Center for Operations Research and Econometrics (CORE), … - 1998

We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Bayesian game is proposed in which there is price competition between two market makers with two different information partitions. At each...

Persistent link: https://www.econbiz.de/10005008326

Empirical Analysis of Limit Order Markets

Hollifield, Burton; Miller, Robert; Sandås, Patrik - C.E.P.R. Discussion Papers - 2001

We analyse order placement strategies in a limit order market, using data on the order flow from the Stockholm Stock Exchange. Traders submitting market or limit orders trade off the order price against both the execution probability and the winner’s curse risk associated with different order...

Persistent link: https://www.econbiz.de/10005789036

Do Shareholders vote Strategically? Evidence on the Advisory Role of Annual General Meetings

Maug, Ernst; Rydqvist, Kristian - C.E.P.R. Discussion Papers - 2004

decisions. The structural estimation suggests that strategic voting saves up to 30% of the value at stake in a proposal compared …

Persistent link: https://www.econbiz.de/10005791941

Bid-Ask Price Competition with Asymmetric Information Between Market Makers.

Calcagno, R.; Lovo, S.M. - Center for Operations Research and Econometrics (CORE), … - 1998

We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Byesian game is proposed in which there is price competition between two market makers with two different information partition.

Persistent link: https://www.econbiz.de/10005779489

Price Formation and Asset Allocations of the Electronic Trading System Xetra

Wenzelburger, Jan; Li, Xihao - Society for Computational Economics - SCE - 2004

fundamental trading principles of the Xetra System showing that it is a multi-unit double auction. We formalize the price …

Persistent link: https://www.econbiz.de/10005345323