Essays On Modern Financial Markets
DOWNLOAD
Download Essays On Modern Financial Markets PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Essays On Modern Financial Markets book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Essays On Modern Financial Markets
DOWNLOAD
Author : Markus Baldauf
language : en
Publisher:
Release Date : 2015
Essays On Modern Financial Markets written by Markus Baldauf and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Trading in public equity markets has changed drastically over the past decade: it has become largely automated and orders of magnitudes faster, and it has become spread out across many venues. This dissertation investigates how this transformation has affected market outcomes. Chapter 1 investigates the effect of the proliferation of exchanges on the bid-ask spread. The welfare consequences of increased exchange competition are theoretically ambiguous. While com- petition does place downward pressure on the bid-ask spread, this force may be outweighed by increased adverse selection of liquidity providers that stems from additional arbitrage opportunities. We investigate this ambiguity empirically by estimating key parameters of the model using detailed trading data from Australia. The benefits of increased competition are outweighed by the costs of multi-venue arbitrage. Compared to the prevailing duopoly, we predict that the counterfactual spread under a monopoly would be 23 percent lower. Further, market design variations on the continuous limit order book would eliminate profits from cross-venue arbitrage strategies and reduce the spread by 51 percent. Finally, eliminating off-exchange trades, so-called dark trading, would reduce the spread by 11 percent. Chapter 2 studies the effect of trading speed on market outcomes in a setting where information acquisition is endogenous. An increase in trading speed crowds out information acquisition by reducing the gains from trading against mispriced quotes. Thus, faster speeds have two effects on traditional measures of market performance. First, the bid-ask spread declines, since there are fewer informational asymmetries. Second, price efficiency deteriorates, since less information is available to be incorporated into prices. A general tradeoff exists between low spreads and price efficiency. We characterize the frontier of this tradeoff and evaluate several trading mechanisms within this framework. The prevalent limit order book mechanism generally does not induce outcomes on this frontier. We consider two alternatives: first, a small delay added to the processing of all orders except cancellations, and second, frequent batch auctions. Both induce equilibrium outcomes on this frontier. Chapter 3 investigates the consequences of information arrival on market outcomes in an environment where both high-frequency traders and slow traders engage in liquidity provision. To that end, we develop a model that predicts that fast traders achieve a relative increase in profits obtained from liquidity provision following a news event, which they achieve both by (i) trading smaller volumes at mispriced quotes, and (ii) winning the race to supply liquidity at updated quotes. We find strong support for these model predictions using data from NASDAQ and the Toronto Stock Exchange. The identification strategy is based on an unanticipated news event in which the Twitter feed of the Associated Press falsely reported a successful terrorist attack.
Theory And Reality In Financial Economics
DOWNLOAD
Author : George M. Frankfurter
language : en
Publisher: World Scientific
Release Date : 2007
Theory And Reality In Financial Economics written by George M. Frankfurter and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
A collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. This book argues that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face.
Three Essays On Fairness Liquidity And Efficiency In Modern Financial Markets
DOWNLOAD
Author : Jiang Zhang
language : en
Publisher:
Release Date : 2020
Three Essays On Fairness Liquidity And Efficiency In Modern Financial Markets written by Jiang Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This dissertation research comprises three essays. In the first essay, we study the impact of high-frequency trading on market fairness and efficiency. The implementation of the Arrowhead Renewal on the Tokyo Stock Exchange (TSE) in 2015 reduced latency from 1 millisecond to less than 0.5 milliseconds and led to an increase in high-frequency tradingas proxied by the cancel-to-trade ratioof 34%, We find that the number of incidents of marking-the-close declined by 17%, indicating that market fairness improves. We find that for high-tick-size and high-market-capitalization stocks market efficiency improves, but for low-tick-size and low-market-capitalization stocks, it does not. In the second essay, we test the implications of competing theories on liquidity dynamics during extreme price movements (EPMs). Our findings indicate that market makers strategically allow for price pressures and earn compensation from pricing errors. As a result, liquidity provision intensifies towards the end of an average EPM. This goes counter to a widespread concern that market-making constraints cause the deterioration of liquidity as EPMs develop. Finally, we demonstrate that limit order book dynamics during EPMs are in line with a socially beneficial equilibrium. In the third essay, we revisit the tax-loss selling hypothesis as a potential explanation of the well-known January effect in securities markets. We expand the empirical evidence from municipal bond closed-end funds by extending the sample period by almost 20 years and adding exchange-traded funds to the sample. Our updated sample covers the recent growth of municipal bond ETFs and a significant increase in municipal bond trading volume and liquidity. Both developments reduce arbitrage costs and thus are expected to increase tax-loss selling in the funds and increase the transmission of price effects to the underlying bonds. We find that the January effect of municipal bond closed-end funds becomes stronger in more recent years, and show evidence that largely supports the tax-loss hypothesis. We also find some evidence indicating a smaller discrepancy between the abnormal returns of the funds and underlying bonds..
Financial Markets And Incomplete Information
DOWNLOAD
Author : Sudipto Bhattacharya
language : en
Publisher: Rowman & Littlefield Publishers
Release Date : 1989
Financial Markets And Incomplete Information written by Sudipto Bhattacharya and has been published by Rowman & Littlefield Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.
Major themes in theoretical financial economics since 1973 are presented through reprinted articles, each followed by a substantial essay by a leading scholar in the field. These original papers were written expressly for these volumes and provide a critical discussion and overview of the topic. The books thus present a broad spectrum of viewpoints with an emphasis on the work on valuation, economics of uncertainty, and taxation which pertains to the problems of financial markets and corporations.
Money And The Market
DOWNLOAD
Author : Kevin Dowd
language : en
Publisher: Routledge
Release Date : 2013-12-16
Money And The Market written by Kevin Dowd and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-16 with Business & Economics categories.
Kevin Dowd asserts that state intervention into financial and monetary systems has failed, and that we would be better off if financial markets were left to regulate themselves. This collection will appeal to students, researchers and policy makers in the monetary and financial area.
Essays On Financial Market Structure
DOWNLOAD
Author : David Cimon
language : en
Publisher:
Release Date : 2016
Essays On Financial Market Structure written by David Cimon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
In this thesis, I model three innovations in modern financial markets. First, I study conflict of interest in the relation between brokers and investors. Second, I study Exchange Traded Funds, and their impact on their constituent assets. Finally, I study crowdfunding as a means for entrepreneurs to resolve uncertainty regarding demand for their projects. Many investors do not access equity markets directly; instead they rely on a broker who receives their order and submits it to a trading venue. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues. Investors want their orders to be filled with the highest probability, while brokers choose venues in order to maximize their own profits. I construct a model of limit order trading in which brokers serve as an agent for investors who wish to access equity markets. In just over 20 years, exchange traded funds (ETFs) have gone from a new financial innovation to an industry representing over $1.3 trillion CAD in assets under management. With this rapid rise in popularity, questions naturally arise as to whether ETFs affect the markets for the underlying assets from which they are formed. In this chapter I present a static model of informed limit order book trading in which market participants trade in either cash markets or basket securities ETFs. Since its advent less than 10 years ago, crowdfunding has grown to a multi-billion dollar industry. There has been debate over whether crowdfunding has competed with or complemented traditional financing methods such as banks and venture capital. One feature of crowdfunding, is a shifting of the risk from the project from the traditional venues, to these consumers themselves. This chapter examines the role of crowdfunding in the financing process for entrepreneurs, specifically in regards to the resolution of uncertainty regarding demand for their projects.
Essays On Financial Markets And Institutions
DOWNLOAD
Author : Mitchell Berlin
language : en
Publisher:
Release Date : 1991
Essays On Financial Markets And Institutions written by Mitchell Berlin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Finance categories.
Essays On Financial Markets And Strategic Interactions
DOWNLOAD
Author : Marc Otto Nachmann
language : en
Publisher:
Release Date : 1994
Essays On Financial Markets And Strategic Interactions written by Marc Otto Nachmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Capital market categories.
Monetary History Exchange Rates And Financial Markets
DOWNLOAD
Author : Charles Albert Eric Goodhart
language : en
Publisher: Edward Elgar Publishing
Release Date : 2003
Monetary History Exchange Rates And Financial Markets written by Charles Albert Eric Goodhart and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Monetary History, Exchange Rates and Financial Markets is a collection of original papers in honour of Charles Goodhart's outstanding contribution to monetary economics and policy. Its contributors - eminent international academics, central bankers and financial market regulators - provide an insight into an extensive set of issues including: the role of the history of economic thought in modern macroeconomics; Charles Goodhart's contribution to British monetary history; lessons from the crises of financial globalization; customer trades and extreme events in foreign exchange; trading activity, volatility and liquidity in foreign exchange markets; and competition, stability, and financial regulation.
Essays On Financial Markets And Institutions
DOWNLOAD
Author : Phillip J. McKnight
language : en
Publisher:
Release Date : 2006
Essays On Financial Markets And Institutions written by Phillip J. McKnight and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Finance categories.