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Order imbalance and commonality : evidence from the options market

Omole, John; Sensoy, Ahmet; Gulay, Guzhan - In: Borsa Istanbul Review 22 (2022) 1, pp. 1-11

Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options....

Persistent link: https://www.econbiz.de/10012817765

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …

Persistent link: https://www.econbiz.de/10013272630

Central counterparties and liquidity provision in cash markets

Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …

Persistent link: https://www.econbiz.de/10012798918

Optimal liquidation using extended trading close for multiple trading days

Zhu, Janchang; Zhang, Leilei; Sun, Xuchu - In: Financial innovation : FIN 10 (2024), pp. 1-33

The extended trading close (ETC) provides institutional investors an opportunity to trade at the closing price after the regular trading session (RTS) and disclosing the order imbalances to other market participants. ETCs exist in the Nasdaq, the SSE STAR, the SZSE ChiNext and the TWSE. To help...

Persistent link: https://www.econbiz.de/10014541683

How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic

Khoa Dang Duong; Man Minh Tran; Diep Van Nguyen; Hoa … - In: Cogent economics & finance 10 (2022) 1, pp. 1-17

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …

Persistent link: https://www.econbiz.de/10013373164

Tick size, liquid stocks and market quality : evidence from a natural experiment in a unique setting

Gülay, Güzhan; Ersan, Yaşar - In: Borsa Istanbul Review 23 (2023) 5, pp. 1037-1057

We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel limit order and trade book data with...

Persistent link: https://www.econbiz.de/10014383529

Illiquidity, duration and momentum profits: evidence from the Korean stock market

Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies : … 29 (2021) 1, pp. 49-72

This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference...

Persistent link: https://www.econbiz.de/10012592791

Order routing decisions for a fragmented market : a review

Mishra, Suchismita; Zhao, Le - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-32

market quality in various dimensions, including liquidity, volatility, and price efficiency. Next, we identify possible …

Persistent link: https://www.econbiz.de/10012796239

Tick size and price reversal after order imbalance

Sirnes, Espen; Minh Thi Hong Dinh - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-13

pressure on the bid or ask side. This suggests that liquidity providers "overreact" to order imbalance (OIB) by initially … binding for much of the trading day, it has the opposite effect of censoring such reversals. In addition, if market liquidity …

Persistent link: https://www.econbiz.de/10012508868

Volatility, trading activity and maximum lot amounts : evidence from Borsa Istanbul

Gülay, Güzhan - In: Borsa Istanbul Review 22 (2022) 3, pp. 409-425

Intraday analyses of volatility-volume relation by decomposing the volume into number of trades and average trade size is measured in Borsa Istanbul equity market. Results confirm that the number of trades has more explanatory power over the short-term volatility comparably parallel with the...

Persistent link: https://www.econbiz.de/10013334755