Similar Search Results

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017

between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …

Persistent link: https://www.econbiz.de/10011697233

OTC discount

Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2019

We study price dispersion and venue choice in the interdealer market for German sovereign bonds, where an exchange and over-the-counter segments coexist. We show that 85% of OTC traded prices are favorable with respect to exchange quotes, indicating the prevalence of an OTC discount. This...

Persistent link: https://www.econbiz.de/10012125222

High-frequency trading in the Bund futures market

Schlepper, Kathi - 2016

evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find …

Persistent link: https://www.econbiz.de/10011483067

Optimal trade execution under endogenous order flow

Chen, Ying; Hoang Hai Tran; Horst, Ulrich - 2023

We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk...

Persistent link: https://www.econbiz.de/10014476807

Securities lending and information acquisition

Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

Persistent link: https://www.econbiz.de/10014501098

What is the value of retail order flow?

Hoffmann, Peter; Jank, Stephan - 2024

This paper uses regulatory data to assess the value of retail order flow in the German equity market. To this end, we examine the performance of specialized retail market makers (RMMs) that internalize a large share of retail activity via affiliated trading venues. We show that retail market...

Persistent link: https://www.econbiz.de/10015048481

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10010471006

How do investors' expectations drive asset prices?

Lüders, Erik; Peisl, Bernhard - 2001

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

Persistent link: https://www.econbiz.de/10013428399

How central is central counterparty clearing? : a deep dive into a European repo market during the crisis

Ebner, André; Fecht, Falko; Schulz, Alexander - 2016

different monetary policy interventions. Overall, we find high excess liquidity being associated with lower private liquidity … liquidity risk across banks within this market varies substantially with the general market conditions. …

Persistent link: https://www.econbiz.de/10011483061

The price impact of CDS trading

Gündüz, Yalın; Nasev, Julia; Gehde-Trapp, Monika - 2013

In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...

Persistent link: https://www.econbiz.de/10009751104