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The price effects of innovative security design
Célérier, Claire; Liao, Gordon; Vallée, Boris - 2021
This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding strike decreases. A similar...
Persistent link: https://www.econbiz.de/10012886191
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The effects of uncertainty on market liquidity : evidence from hurricane Sandy
Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim - 2018
We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …
Persistent link: https://www.econbiz.de/10011844658
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - 2010
supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …
Persistent link: https://www.econbiz.de/10010303739
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Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
Petukhina, Alla A.; Reule, Raphael C. G.; Härdle, … - 2019
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well...
Persistent link: https://www.econbiz.de/10012433234
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The impact of the French Tobin tax
Becchetti, L.; Ferrari, M.; Trenta, U. - In: Journal of Financial Stability 15 (2014) C, pp. 127-148
We analyze the impact of the introduction of the French Tobin tax on the turnover and measures of the liquidity and … inconclusive effects on liquidity when the latter is evaluated under the two dimensions of the estimated bid–ask spread and the …
Persistent link: https://www.econbiz.de/10011116607
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010
supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …
Persistent link: https://www.econbiz.de/10010958491
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - In: Journal of Financial Economics 114 (2014) 3, pp. 405-423
liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically …
Persistent link: https://www.econbiz.de/10011076295
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BV-VPIN : Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets
Low, Rand Kwong Yew - 2016
other informational advantages. High levels of order flow toxicity can culminate in market makers providing liquidity at a … market liquidity and precede precipitous drops in asset prices. Bulk Volume VPIN (BV-VPIN) is one way of measuring the …
Persistent link: https://www.econbiz.de/10012989660
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Realized Volatility and Liquidity in the Indonesia Stock Exchange
Fleureta, Risca - 2013
This study is conducted to shed more lights on the relationship between volatility and liquidity in the Indonesia Stock … volatility, measured by realized volatility, and liquidity, measured by high-low spread estimator. We found inconsistent … relationship between liquidity and volatility in the IDX. Further, we also found that the liquidity is important in the asset …
Persistent link: https://www.econbiz.de/10013086433
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DeFi liquidations : Volatility and liquidity
Sasi-Brodesky, Ana - 2023
indirectly indicate that liquidators require market liquidity to carry out large liquidations and affect market conditions while …
Persistent link: https://www.econbiz.de/10014435967