We investigate the consequences of different market designs and policies on market quality in high-frequency markets. An extensible theoretical framework is proposed to consider the optimal strategies of different market agents and the market equilibrium under various market conditions. The...

We investigate the consequences of different market designs and policies on market quality in high-frequency markets. An extensible theoretical framework is proposed to consider the optimal strategies of different market agents and the market equilibrium under various market conditions. The...

This paper utilizes China’s interbank deposit system under COVID-19 to examine how interbank network changes with considerable uncertainty surrounding exogenous shock. We investigate the interbank network in China by specifying the core-periphery pattern to disentangle the network development...

We introduce the ambiguity towards risk, defined as the variance of signals, as a source of investors’ uncertainty to supplement risk. When public signals arrive, all traders are informed, but they react diversely. We propose a piecewise optimal demand schedule for ambiguity-averse investors,...

This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains....

The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...

This paper investigates Initial Public Offerings (IPOs) of high-tech firms on the Chinese Growth Enterprise Market (GEM). Almost half of the high tech IPOs on the GEM are set up in pyramid structures. The likelihood of a pyramid structure increases with the size of the IPO firm and state...

Purpose of this paper is to investigate whether HR slack leads to improve firm performance, and what is the impact of HR slack in absolute and in relative terms on firm performance in a developing country. It also examines how ownership types moderate the HR slack-performance relationship. The...