Two Essays In Market Microstructure
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Two Essays In Market Microstructure
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Author : Xin Zhao
language : en
Publisher:
Release Date : 2004
Two Essays In Market Microstructure written by Xin Zhao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Two Essays On Market Microstructure
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Author : Neela Mohan N. Gollapudi
language : en
Publisher:
Release Date : 1999
Two Essays On Market Microstructure written by Neela Mohan N. Gollapudi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Two Essays On Market Microstructure
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Author : Bidisha Chakrabarty
language : en
Publisher:
Release Date : 2004
Two Essays On Market Microstructure written by Bidisha Chakrabarty and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Two Essays In Empirical Market Microstructure
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Author : Keith Jakob
language : en
Publisher:
Release Date : 2000
Two Essays In Empirical Market Microstructure written by Keith Jakob and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Stock exchanges categories.
This dissertation contains two empirical market-microstructure essays. Both incorporate information from the TORQ database but are otherwise unrelated and deal with separate issues in the finance literature. The first essay empirically examines an existing asymmetric information model from the microstructure literature. The second essay examines the order arrival process around dividends.
One Essay On Market Microstructure And Two Essays On Corporate Finance And Financial Institutions
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Author : Jianning Huang
language : en
Publisher:
Release Date : 2020
One Essay On Market Microstructure And Two Essays On Corporate Finance And Financial Institutions written by Jianning Huang 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 one essay on market microstructure and two essays on corporate finance and financial institutions. In the first essay, I examine the effects of a speed bump on market quality and exchange competition. After a long period of facilitating faster trading, exchanges are now trying to slow down trading with speed bumps. I study how this market-design innovation affects traders reaction times, the market quality of stocks, and the operators of competing exchanges. Post speed bump, I find slower reaction times to order book events and reduced order detection and back-running. Reduction in quote-to-trade ratio and flickering quotes improves market quality. Exchanges without planned speed bumps lose market share, with reduced return on their share price, enterprise value, and investment in high-speed assets. Their stocks become attractive for short sellers. In the second essay, I investigate the governance role of banks by examining lenders monitoring effect on borrowers tax planning. I posit that lenders monitoring has an impact on borrowers tax planning on the two ends of the continuum of tax planning strategies. I show that firms with a larger portion of loan shares held by lead lenders, with loans led by reputable lenders and with a single-lending relationship have lower effective tax rates and less egregious tax aggressiveness. I also document that borrowers with loan sales that weaken lenders monitoring incentives tend to have higher effective tax rates and more egregious tax aggressiveness. Moreover, our results on tax aggressiveness are stronger for firms with more intense shareholder-debtholder conflict. In the third essay, I use the China setting to study the determinants and impact of equity pledges by large shareholders. I find that the likelihood of equity pledges increases with recent stock returns and firm financial constraints. The market reacts positively to equity pledge announcements, especially when the lender is a securities firm. Moreover, firms whose shares are pledged subsequently improve operating performance and manage earnings less. Collectively, our results are consistent with equity pledges being used as a commitment device by large shareholders not to expropriate from minority shareholders and ultimately benefits outside shareholders..
Two Essays On Option Market Microstructure
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Author :
language : en
Publisher:
Release Date : 2009
Two Essays On Option Market Microstructure written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Essays In Market Microstructure
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Author : Michael Brolley
language : en
Publisher:
Release Date : 2015
Essays In Market Microstructure written by Michael Brolley 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.
Two Essays On Equity Market Microstructure
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Author : Yan Du
language : en
Publisher:
Release Date : 2006
Two Essays On Equity Market Microstructure written by Yan Du and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Stock exchanges categories.
This dissertation consists of two essays in the area of equity market microstructure using transaction level data. The first essay examines the event of closing cross in NASDAQ on April 2004. It investigates the choice of participating in closing cross, its impacts on intraday liquidity, volatility, and market quality. It is observed that large cap stocks favor closing cross more than other stocks and closing cross mitigates volatility and order imbalance in NASDAQ. Closing cross does not draw additional volume to either NASDAQ or ECNs; however, it helps NASDAQ to gain proportionally more volume from ECNs around market close. In addition, the gap in transaction costs between NASDAQ and ECNs narrows down after the introduction of closing cross, particularly for medium and large cap stocks. Only small cap stocks experience lowered intraday volatility. Moreover, there is evidence of market quality deterioration. The second essay unfolds the intraday impact of price limits on the magnet effect and the momentum effect. Using Korea Stock Exchange's high frequency trading data and limit order book, we confirm the presence of the magnet effect by demonstrating accelerated trading activities during the 30-minute period prior to limit hits. We introduce quasi limit hits in the Korea Stock Exchange and pseudo limit hits in NASDAQ to distinguish the magnet effect from intraday momentum effect. This paper concludes that the magnet effect is led by the existence of price limits; dictated by the width of price limit band; and is not confined to a particular group of stocks.
Essays On Market Microstructure
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Author : Sean Lew
language : en
Publisher:
Release Date : 2012
Essays On Market Microstructure written by Sean Lew and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
This thesis contains three essays on market microstructure. Chapter 1 studies how endogenous information acquisition affects financial markets by modelling potentially informed traders who optimally acquire variable information at increasing cost. Prices affect the informed trading by providing incentives for acquiring information. Endogenous information acquisition explains the stylised facts that informed trading and transaction volume spike after informational events and fall over time. My model also tells a cautionary tale for interpreting measures of informed trading. Three common empirical proxies derived under the exogenous assumption (spreads, Easley O'Hara's PIN and blockholder interest) do not agree with each other in my setup. Chapter 2 develops a more general framework with endogenous information acquisition which I use to examine the behaviour of an optimal monopolistic market maker. Unlike a competitive market maker, he sets prices to increase information revelation which is valuable to him. I characterise market information structure by whether narrower or wider spreads increase the information revealed by trades. An optimal monopolistic market maker may behave differently from the standard exogenous information benchmark. He may set narrower spreads in early periods. On average, spreads may widen over time. The different results arise from the interaction of a monopolistic market maker with endogenous information acquisition. Chapter 3 studies the impact of confidential treatment requests made by institutional investors to the Securities and Exchange Commission (SEC) to delay disclosure of their holdings. The SEC requires the manager to present a coherent on-going trading program in his request for confidential treatment. If granted, he is restricted to trade in a manner consistent with his reported forecast in the subsequent period. Under the restriction, the manager earns higher expected profits by applying for confidential treatment only if his probability of success exceeds a threshold. The model predicts that the price impact of a disclosed trade due to a confidential treatment request denial is greater than that of a disclosed trade where there is no request.
Three Essays On Market Microstructure And Financial Econometrics
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Author : Yi Xue
language : en
Publisher:
Release Date : 2009
Three Essays On Market Microstructure And Financial Econometrics written by Yi Xue and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Econometrics categories.
This thesis consists of three essays that study three interdependent topics: microstructure foundation of volatility clustering, inefficiency of information diffusion and jump detection in high frequency financial time series data. Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. The first essay forms Chapter 1 which presents a market microstructure model that is able to generate volatility clustering with hyperbolic autocorrelations through traders with multiple trading frequencies using Bayesian information updating in an incomplete market. The model illustrates that signal extraction, which is induced by multiple trading frequency, can increase the persistence of the volatility of returns. Furthermore, it is shown that the local temporal memory of the underlying time series of returns and their volatility varies greatly with the number of traders in the market. The second essay, Chapter 2, presents a market microstructure model showing that an increasing number of information hierarchies among informed competitive traders leads to a slower information diffusion rate and informational inefficiency. The model illustrates that informed traders may prefer trading with each other rather than with noise traders in the presence of the information hierarchies. Furthermore, it is shown that momentum can be generated from the trend following behavior pattern of noise traders. I propose a new nonparametric test based on wavelets to detect jump arrivals in high frequency financial time series data, in the third essay, Chapter 3. It is demonstrated that the test is robust for different specifications of price processes and the presence of market microstructure noise and it has good size and power. Further, I examine the multi-scale jump dynamics in U.S. equity markets and the findings are as follows. First, the jump dynamics of equities are entirely different across different time scales. Second, although arrival densities of positive jumps and negative jumps are symmetric across different time scales, the magnitude of jumps is distributed asymmetrically at high frequencies. Third, only twenty percent of jumps occur in the trading session from 9:30AM to 4:00PM, suggesting that jumps are largely determined by news rather than liquidity shocks.