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Forgery, market liquidity, and demat trading: Evidence from the national stock exchange in India
Aney, Madhav S.; Banerji, Sanjay - 2024
We analyse the impact of the introduction of a new technology on the National Stock Exchange in India that allowed … illiquid. We present evidence that suggests that the primary channel for the increase in liquidity was the elimination of the …
Persistent link: https://www.econbiz.de/10014538723
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Computerized and High-Frequency Trading
Goldstein, Michael A. - 2014
The use of computers to execute trades, often with very low latency, has increased over time, resulting in a variety of computer algorithms executing electronically targeted trading strategies at high speed. We describe the evolution of increasingly fast automated trading over the past decade...
Persistent link: https://www.econbiz.de/10013060754
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Liquidity dynamics of banks in emerging market economies
Mashamba, Tafirei - In: Journal of central banking theory and practice 11 (2022) 1, pp. 179-206
This study examines the liquidity dynamics of banks in emerging market economies. Using annual data of 91 commercial … banks from 11 countries, the study established that banks in emerging markets have target liquidity ratios they pursue and … liquidity dynamics by banks in emerging market economies. …
Persistent link: https://www.econbiz.de/10012805980
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Tick size change and market quality in the U.S. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - 2019
the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid …
Persistent link: https://www.econbiz.de/10012000042
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An International Trend in Market Design : Endogenous Effects of Limit Order Book Transparency on Volatility, Spreads, Depth and Volume
Pham, Thu Phuong; Westerholm, P. Joakim - 2020
Following other leading international securities markets, the Tokyo stock exchange [TSE] has adopted a publicly displayed but anonymous limit order book, and we ask: how is market quality affected? Accounting for fixed effects and endogeneity, we find increased volatility and higher order book...
Persistent link: https://www.econbiz.de/10014153455
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Do Exchange-Contracted Market Makers Improve Market Quality for Liquid Stocks?
Zhang, Dong - 2016
This paper studies the impact of contracted market makers by investigating the liquidity provider scheme in Sweden. The … results show that the stocks become more liquid after the introduction of the contracted market makers. The liquidity … scheme and function as contracted market makers, whose trading behavior contribute to documented liquidity improvement. After …
Persistent link: https://www.econbiz.de/10012988465
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Liquidity Resilience in the UK Gilt Futures Market : Evidence from the Order Book
Fullwood, Jonathan - 2018
We analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity … favour of resilience. We further show that this resilience does not come at the expense of a negative liquidity trend. These … liquidity in the UK long gilt futures market …
Persistent link: https://www.econbiz.de/10012913735
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Price impact of aggressive liquidity provision
Gençay, Ramazan; Mahmoodzadeh, Soheil; Rojček, Jakub; … - 2016
This paper analyzes brief episodes of high-intensity quotes turnover and revision-"bursts" in quotes-in the U.S. equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price impact associated with these market makers...
Persistent link: https://www.econbiz.de/10011516027
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Information-Based Trading and the Bid-Ask Spread
Chung, Kee H. - 2010
We analyze the equilibrium spread when the transaction size of informed traders is elastic in the value of private information (α). We show that the pooling equilibrium is likely to be inefficient when trade size is sensitive to α and the inefficient equilibrium can occur before the market...
Persistent link: https://www.econbiz.de/10013138182
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Securities transaction tax-case study of India
Malik, Neha - 2014
Security Transaction Tax (STT) was introduced in the Indian capital market in 2004. It is a tax on transaction of equities as well as their derivatives. Despite the reduction in STT over the years, it constitutes a large percentage (next only to brokerage fee) of the total cost of trading. The...
Persistent link: https://www.econbiz.de/10010354157