We examine market volatility across an automated periodic auction mechanism and a continuous automated auction, using data on five futures contracts traded on the GLOBEX trading system. The analysis is supplemented by a comparison of the periodic market with floor trading. Our data permit...

We ask whether foreign equity ownership affects the stability of share prices in an emerging economy. We address the effect of ownership restrictions exogenously imposed on stock ownership and the impact of introducing or widening foreign ownership through cross-listing. A methodology for...

The use of automated auctions to trade equities, derivatives, bonds and foreign exchange has increased dramatically in recent years. Trading in automated auctions occurs through an electronic limit order book without the need for dealers. Automated auctions offer advantages of speed and...

A key focus of empirical work on limit order markets is the relative importance of individual pieces of information in characterizing order submission and trade execution. We enlarge this focus to include an examination of pricing behavior, using data on index futures trading in a pure...

We ask whether foreign equity ownership increases or decreases the stability of information signals that are absorbed into prices, hence affecting price volatility and the quality of the domestic stock market in an emerging economy. We address both the effect of ownership restrictions...

We ask whether foreign equity ownership increases or decreases the stability of information signals that are absorbed into prices, hence affecting price volatility and the quality of the domestic stock market in an emerging economy. We address both the effect of ownership restrictions...

This paper proposes a new nonparametric estimator for general regression functions with multiple regressors. The method used here is motivated by a remarkable result derived by Kolmogorov (1957) and later tightened by Lorentz (1966). In short, they show that any continuous function of multiple...

In this paper, we consider expectations of the form E[log(y)|x] = a'log(x) as a good starting point for a more general analysis. We show why this naturally leads to the following flexible functional form E[y|x] = f(h(x)), where all functions are estimated by cubic splines. One of the main goals...

Almost all economic data sets are discretized or rounded to some extent. This paper proposes a regression and a density estimator that work especially well when the data is very discrete. The estimators are a weighted average of the data, and the weights are composed of cubic B-splines. Unlike...