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Liquidity Supply and Demand in Limit Order Markets

Hollifield, Burton; Miller, Robert A.; Sandås, Patrik; … - C.E.P.R. Discussion Papers - 2002

We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market … rate of traders and increases the number of value traders arriving — liquidity supply is more competitive after periods of … arriving — liquidity supply is less competitive when the spread widens. …

Persistent link: https://www.econbiz.de/10005136412

The impact of dark trading and visible fragmentation on market quality

de Jong, Frank; Degryse, Hans; van Kervel, Vincent - C.E.P.R. Discussion Papers - 2011

paper evaluates the impact of dark trading and fragmentation in visible order books on liquidity. We consider global … liquidity by consolidating the limit order books of all visible trading venues, and local liquidity by considering the … traditional market only. We find that fragmentation in visible order books improves global liquidity, whereas dark trading has a …

Persistent link: https://www.econbiz.de/10009359491

A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies

Rockinger, Michael; Urga, Giovanni - C.E.P.R. Discussion Papers - 2000

liquidity hypothesis. …

Persistent link: https://www.econbiz.de/10005504665

Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges

Zalewska, Ania - C.E.P.R. Discussion Papers - 1999

This paper investigates whether different systems of financial market organization influence the way in which newly created stock markets become more (weak-form) efficient. The author conducts a detailed comparative analysis of stocks listed on the Budapest and Warsaw Stock Exchanges, 1991-98,...

Persistent link: https://www.econbiz.de/10005497754

A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates

Payne, Richard; Vitale, Paolo - C.E.P.R. Discussion Papers - 2001

) temporarily reduces market liquidity. …

Persistent link: https://www.econbiz.de/10005497953

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

. Our global carry factor across markets delivers strong average returns and, while it is exposed to recession, liquidity …

Persistent link: https://www.econbiz.de/10011083673

The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks

Acharya, Viral V; Steffen, Sascha - C.E.P.R. Discussion Papers - 2013

This paper argues that the European banking crisis can in part be explained by a “carry trade” behavior of banks. Factor loading estimates from multifactor models relating equity returns to GIPSI (Greece, Ireland, Portugal, Spain and Italy) and German government bond returns suggest that...

Persistent link: https://www.econbiz.de/10011084468

Sovereign Debt Rating Changes and the Stock Market

Michaelides, Alexander; Milidonis, Andreas; Nishiotis, … - C.E.P.R. Discussion Papers - 2012

Using event studies we find statistically and economically significant, negative daily abnormal stock market returns prior to sovereign debt rating downgrade announcements. Instrumental variable techniques show that these findings are more pronounced in countries with lower institutional...

Persistent link: https://www.econbiz.de/10011084556

The Exchange Rate Effect of Multi-Currency Risk Arbitrage

Hau, Harald - C.E.P.R. Discussion Papers - 2009

This paper documents how currency speculators trade when international capital flows generate predictable exchange rate movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying exogenous capital flows of index tracking equity...

Persistent link: https://www.econbiz.de/10005034758

Optimal Informed Trading in the Foreign Exchange Market

Vitale, Paolo - C.E.P.R. Discussion Papers - 2007

between the private value of information, market efficiency, liquidity and exchange rate volatility. Our model is also …

Persistent link: https://www.econbiz.de/10005656205