Showing 1 - 10 of 273
This paper examines the impact of institutional trades on volatility in international stocks across 43 countries. There is a temporary volatility spike during the trade execution period, merely reflecting the price impact costs faced by the institutions. Cross sectional regressions suggest that...
Persistent link: https://www.econbiz.de/10012753903
This study characterizes institutional trading in international stocks from 37 countries during 1997 to 1998 and 2001. We find that the underlying market condition is a major determinant of the price impact and, more importantly, of the asymmetry between price impacts of institutional buy and...
Persistent link: https://www.econbiz.de/10012753904
Using high-frequency data and a carefully constructed 1-1 matched sample of control (non decimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that decimalization has resulted in significantly lower quoted and effective...
Persistent link: https://www.econbiz.de/10012742486
An intermarket sweep order (ISO) is a limit order that automatically executes in a designated market center even if another market center is publishing a better quotation. An investor submitting an ISO must satisfy order protection rules by concurrently submitting orders to the markets with...
Persistent link: https://www.econbiz.de/10011120758
Persistent link: https://www.econbiz.de/10009993995
Two hypotheses have been advanced to explain why spreads on Nasdaq were substantially higher than those on the NYSE in the 1990s - quot;collusionquot; and quot;preferencing and payment for order flow.quot; We present data on all actively traded stocks of relative effective spreads (RES) on these...
Persistent link: https://www.econbiz.de/10012739461
Two hypotheses have been advanced to explain why spreads on NASDAQ were substantially higher than those on the NYSE in the 1990s: quot;collusionquot; and quot;preferencing and payment for order flowquot;. We present data on all actively traded stocks in these markets of relative effective...
Persistent link: https://www.econbiz.de/10012778229
This study examines the impact of Regulation Fair Disclosure (FD) on liquidity, information asymmetry, and institutional and retail investors trading behavior. Our main findings suggest three conclusions. First, Regulation FD has been effective in improving liquidity and in decreasing the level...
Persistent link: https://www.econbiz.de/10012754593
Using synchronous transactions data for IBM from the New York, Pacific and Midwest Stock Exchanges, we estimate an error correction model to investigate whether each of the exchanges is contributing to price discovery. Johansen's multi-variate cointegration test yields two cointegrating vectors...
Persistent link: https://www.econbiz.de/10012788487
During the Flash Crash on May 6, 2010, a short period of high stock market volatility, some stock prices declined to $0.01, while others increased to $100,000. Examining Intermarket Sweep Orders (ISOs) before, on, and after May 6, we find that ISO use is substantially higher on May 6. For those...
Persistent link: https://www.econbiz.de/10011085543