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Market quality and short-selling ban during the COVID-19 pandemic : a high-frequency data approach

Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29

volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and … disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm …

Persistent link: https://www.econbiz.de/10013370457

Market impacts of the 2020 short selling bans

Spolaore, Alessandro; Le Moign, Caroline - 2024

Persistent link: https://www.econbiz.de/10015051260

Analysis of market quality before and during short-selling bans

Alves, Carlos; Mendes, Victor; Silva, Paulo Pereira da - In: Research in international business and finance 37 (2016), pp. 252-268

Persistent link: https://www.econbiz.de/10011595204

Single stock circuit breakers on the London Stock Exchange : do they improve subsequent market quality?

Brugler, James; Linton, Oliver - 2014

This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...

Persistent link: https://www.econbiz.de/10010245302

Shorting at close range : a tale of two types

Comerton-Forde, Carole; Jones, Charles M.; Putniņš, … - In: Journal of financial economics 121 (2016) 3, pp. 546-568

Persistent link: https://www.econbiz.de/10011590861

Pseudo market-makers, market quality and the minimum tick size

Lepone, Andrew; Wong, Jin Boon - In: International review of economics & finance : IREF 47 (2017), pp. 88-100

Persistent link: https://www.econbiz.de/10011740107

Short sales restrictions and market quality : evidence from Korea

Eom, Yunsung; Hahn, Jaehoon; Sohn, Wook - In: Journal of behavioral and experimental finance 30 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012814893

Securities Transaction Tax in France : impact on market quality and inter-market price coordination

Gomber, Peter; Haferkorn, Martin; Zimmermann, Kai - 2014

of the effects of the STT, introduced in France in 2012, on liquidity demand, liquidity supply, volatility and inter … volatility can be observed. …

Persistent link: https://www.econbiz.de/10010231705

The papers I can't write

Schultz, Paul H. - In: The financial review : the official publication of the … 59 (2024) 1, pp. 5-8

Persistent link: https://www.econbiz.de/10014483128

High-frequency trading : review of the literature and regulatory initiatives around the world

Chung, Kee H.; Lee, Albert J. - In: Asia-Pacific journal of financial studies 45 (2016) 1, pp. 7-33

Persistent link: https://www.econbiz.de/10011483634