Two Essays On 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.
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.
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.
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..
Market Microstructure
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Author : Frédéric Abergel
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-14
Market Microstructure written by Frédéric Abergel and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-14 with Business & Economics categories.
The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
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.
Essays On Market Microstructure
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Author : Victoria Saporta
language : en
Publisher:
Release Date : 1997
Essays On Market Microstructure written by Victoria Saporta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.