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High-frequency trading and institutional trading costs
Chen, Marie; Garriott, Corey - 2018
Using bond futures data, we test whether high-frequency trading (HFT) is engaging in back running, a trading strategy that can create costs for financial institutions. We reject the hypothesis of back running and find instead that HFT mildly improves trading costs for institutions. After a rapid...
Persistent link: https://www.econbiz.de/10011797518
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Retail order flow segmentation
Garriott, Corey; Walton, Adrian - 2016
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders. A Hasbrouck (1991) structural vector autoregression shows that the facility increased...
Persistent link: https://www.econbiz.de/10011456111
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Trading on long-term information
Garriott, Corey; Riordan, Ryan - 2020 - Last updated: June 4, 2020
Predatory trading discourages informed investors from gathering information and trading on it. However, using 11 years of equity trading data, we do not find evidence that informed investors are being discouraged. They have roughly constant volumes and profits through the sample. They are...
Persistent link: https://www.econbiz.de/10012243341
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The questionable benefits of mutual clearing agreements for derivatives
Tywoniuk, Magdalena - 2020
Recently, for standard asset classes, the first mutual clearing agreements between Central Coun- terparties (CCPs) have come into existence. There are already global concerns over the unique threats and benefits which arise from these situations, and further concern for an extension of agree-...
Persistent link: https://www.econbiz.de/10012271216
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COVID-19 crisis: lessons learned for future policy research
Fontaine, Jean-Sébastien; Garriott, Corey; Johal, Jesse; … - 2021
Fixed-income markets were disrupted at the beginning of the COVID-19 crisis. As whole industries temporarily shut down, businesses and households ran down their savings or needed credit to survive income losses. As volatility increased, portfolio managers sold securities to manage their...
Persistent link: https://www.econbiz.de/10012436161
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The New Landscape of Financial Markets : Participants and Asset Classes
Mitra, Gautam; Baigurmanova, Dina; Jhunjhunwala, Shrey - 2022
We explain the importance of Market Microstructure in the study of the Financial Markets, and then describe the Market Participants who collectively comprise the Financial Market. After a short history of capital markets, we describe the transition of the trading activities from the physical...
Persistent link: https://www.econbiz.de/10013289584
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Repo Market Frictions and Intermediation in Electronic Bond Markets
Valseth, Siri - 2023
This paper studies the drivers of primary dealers' repo activity and the effect of repo market frictions on bond market liquidity. It separates the two tiers of the bond market, the electronic limit order book (LOB) and the over-the-counter (OTC) market. The results, based on dealer-specific...
Persistent link: https://www.econbiz.de/10014254586
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Financial System Engineering
Utset, Manuel A. - 2014
Financial systems are shaped by conscious design and market forces. The Dodd-Frank Act is, at least in part, a collection of mechanisms to supplement and better channel market incentives. It expands the scope of financial regulation and requires regulators to engage in a full-scale...
Persistent link: https://www.econbiz.de/10014149683
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Financial Experts on the Board and Bank Performance : Evidence from Cooperative Banks
Reeg, Johannes - 2017
financial experts on the board promote pro-cyclical bank performance arises due to their shareholder-proximity or rather due to … using a sample of non-listed (cooperative) banks. Results show that financial experts on the board of cooperative banks do … not promote pro-cyclical bank performance. Contrary, results show evidence that financial experts on the board of …
Persistent link: https://www.econbiz.de/10012967877