We investigate the impact of the French 2012 financial transaction tax on trading activity, volatility, and price efficiency measured by first-order autocorrelation. We extend empirical research by analysing anticipation and reallocation effects. In addition, we consider measures for long-run...

In this work we simulate algorithmic trading (AT) in asset markets to clarify its impact. Our markets consist of human and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage strategies. Our specific contributions are: (1)...

We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In...

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Purpose – The purpose of this paper is to explore the impact of institutional trading on the market quality during the financial crisis and short sale ban. Design/methodology/approach – The following methods was applied to discuss the total impact on market quality and efficiency of short...

To reduce market volatility observed at the close of trading and to enhance the fairness of the closing price, the Taiwan Stock Exchange (TSE) changed the way it executed its closing transactions by instituting a five-minute closing call auction. This paper examines the effectiveness of this new...

Three handling experiments with 4 treatments each (i.e., control, newspaper wrap, alum, alum with newspaper wrap) were conducted to verify the benefits of alum spray and newspaper wrapping in reducing soft rot incidence in cabbage (cv. Rareball). The cabbages were packed in polyethylene bags and...

This paper deals with the market structure at the opening of the trading day and its influence on subsequent trading. We compare a single continuous double auction and two complement markets with different call auction designs as opening mechanisms in a unified experimental framework. The call...

Dealers in over-the-counter securities form networks to mitigate search frictions. The audit trail for municipal bonds shows the dealer network has a core-periphery structure. Central dealers are more efficient at matching buyers and sellers than peripheral dealers, which shortens intermediation...

This study investigates the determinants of liquidity and execution probability in an exchange operated dark pool. We analyse a unique set of data collated from the Australian Securities Exchange (ASX) that allows the identification of trades and orders in its Centre Point dark pool. This study...