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Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …

Persistent link: https://www.econbiz.de/10001629622

Do high-frequency traders anticipate buying and selling pressure?

Hirschey, Nicholas - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3321-3345

Persistent link: https://www.econbiz.de/10012606893

Trading fees and intermarket competition

Payaides, Marios; Rindi, Barbara; Werner, Ingrid M. - 2018

Regulators, exchanges, and politicians are considering reining in maker-taker pricing, which is used as a competitive tool by trading venues to acquire order flow. Examining the 2013 reduction in trading fees operated by BATS on its European venues, we document significant effects on market...

Persistent link: https://www.econbiz.de/10011963249

Chapter 9. Market Microstructure

Stoll, Hans R. - 2003

Market microstructure deals with the purest form of financial intermediation – the trading of a financial asset, such as a stock or a bond. In a trading market, assets are not transformed but are simply transferred from one investor to another. The field of market microstructure studies the...

Persistent link: https://www.econbiz.de/10014023867

Search costs and investor trading activity : evidence from limit order books

Lin, William; Tsai, Shih-chuan; Sun, David S. - In: Emerging markets finance & trade : a journal of the … 48 (2012) 3, pp. 4-30

Persistent link: https://www.econbiz.de/10009682772

Dual traders in fully anonymous stock markets, Iceberg orders, and liquidity provision

Schiereck, Dirk; Voigt, Christian - In: The journal of trading 3 (2008) 4, pp. 24-46

Persistent link: https://www.econbiz.de/10003777831

Order characteristics and the sources of commonality in prices and liquidity

Corwin, Shane Anthony; Lipson, Marc - In: Journal of financial markets 14 (2011) 1, pp. 47-81

Persistent link: https://www.econbiz.de/10009267113

Public information arrival : price discovery and liquidity in electronic limit order markets

Riordan, Ryan; Storkenmaier, Andreas; Wagener, Martin; … - In: Journal of banking & finance 37 (2013) 4, pp. 1148-1159

Persistent link: https://www.econbiz.de/10009716239

Modeling feedback effects with stochastic liquidity

Esser, Angelika (contributor); Mönch, Burkart (contributor) - 2003

We model the interactions between the trading activities of a large investor, the stock price and the market liquidity …. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity … vary due to changes in liquidity. Features of our model are demonstrated using Monte Carlo simulation for different …

Persistent link: https://www.econbiz.de/10002463391

Order flow and liquidity around NYSE trading halts

Corwin, Shane Anthony (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001572460