This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...

We study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and...

This paper provides several statistics concerning cancellation latency that would be helpful to regulators as they consider policies to establish a minimal quote life. We find that cancellation latency is related to market quality and is not constant. Rather, it varies depending upon the time of...

Using supervisory data from U.S. financial institutions on fraud-related losses in foreign markets, we find that losses in countries with poor governance have lower recovery rates. Our results are robust to accounting for potential endogeneity and reverse causality concerns, among numerous...

International Financial Reporting Standards (IFRS) are the new global accounting standards and have made its way into India. As the country accepts these standards, investors are curious whether change of accounting standards from Indian GAAP (Generally Accepted Accounting Principles) to IFRS...

This paper investigates interconnectedness and contagion effects of the US global financial crisis and the European debt crisis across eight longest-established real estate investment trust markets in the US, Canada, Australia, Japan, Singapore, France, Belgium and Netherlands over the period...

Market makers are key entities providing liquidity to the market. Their activity has influence on transaction costs that are expressed mainly by bid-ask spreads. On unregulated markets a research is quite often cumbersome due to lack of transparent data. The paper presents factors having...

This is the online Appendix to "Multi-Asset Scenario Building for Trend-Following Trading Strategies."We provide additional empirical results to challenge our findings from the main paper. These tests include, among others: long-short trading environment, subsample testing, modified indicator...

Cross-sectional models positively relate firm information disclosure with stock liquidity, but dynamic models in news releases days show an opposite relation. We address this puzzle by studying the effects of information arrival on liquidity and its determinants. We use trade and quote data from...