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Splitting orders in overlapping markets: a study of cross-listed stocks
Menkveld, Albert J. - Faculteit der Economische Wetenschappen en … - 2006
Securities are increasingly traded through multiple venues. Chowdhry and Nanda (1991) show that sophisticated investors benefit by splitting orders across markets at the cast of local investors who only trade through one venue. If trading hours do not perfectly overlap, we can test for...
Persistent link: https://www.econbiz.de/10010782198
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Splitting orders in overlapping markets: a study of cross-listed stocks
Menkveld, Albert J. - VU University Amsterdam, Faculty of Economics, Business … - 2006
Securities are increasingly traded through multiple venues. Chowdhry and Nanda (1991) show that sophisticated investors benefit by splitting orders across markets at the cast of local investors who only trade through one venue. If trading hours do not perfectly overlap, we can test for...
Persistent link: https://www.econbiz.de/10005510245
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The cost of clearing fragmentation
Benos, Evangelos; Huang, Wenqian; Menkveld, Albert J.; … - 2019
Persistent link: https://www.econbiz.de/10012201069
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The cost of clearing fragmentation
Benos, Evangelos; Huang, Wenqian; Menkveld, Albert J.; … - 2019
Persistent link: https://www.econbiz.de/10012168738
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Shades of darkness : a pecking order of trading venues
Menkveld, Albert J.; Yueshen, Bart Zhou; Zhu, Haoxiang - In: Journal of financial economics 124 (2017) 3, pp. 503-534
Persistent link: https://www.econbiz.de/10011751481
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Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2003
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard "variance ratio'' approach,...
Persistent link: https://www.econbiz.de/10011256044
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Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard variance ratio'' approach,...
Persistent link: https://www.econbiz.de/10010324874
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Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2003
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to the standard "variance ratio'' approach,...
Persistent link: https://www.econbiz.de/10005137175
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Round-the-clock price discovery for cross-listed stocks : US-Dutch evidence
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003
U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard variance ratio'' approach,...
Persistent link: https://www.econbiz.de/10011333901
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The strategic determination of the supply of liquid assets
Geromichalos, Athanasios; Herrenbrueck, Lucas - 2016
determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …
Persistent link: https://www.econbiz.de/10011478980