We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE's high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated...

Benchmarks are fundamental elements of financial markets' infrastructure. In this paper, we analyse the effects of the change from the panel-based benchmark assessment under the ISDAFIX regime to the market-based assessment under the ICE Swap Rate regime and the simultaneous start of regulatory...

The paper presents new evidence on the contribution to price discovery of the upstairs market. The ‘component share' and ‘information share' measures are used, supplemented by the probability of informed trading (PIN) analysis. Most discovery arises downstairs, consistent with previous...

The quality of ultra-high frequency quotes submitted to an entrant high-tech market (BATS Chi-X Europe – Chi-X) is compared to those of an established national exchange (London Stock Exchange – LSE). There are intraday variations regarding which platform impounds new information about the...

The cost of executing orders could differ from the cost of trades. We estimate the cost of a fund manager's orders to trade in shares and contracts for differences (CFDs), using data for 2013-15. We compare directly the effective half-spread (EHS) of an order with the EHS that would be inferred...

This paper provides a review of pertinent trading, regulatory and policy issues in the EU-ETS since 2005. We review the first two phases of the scheme and speculate on auctioning related issues in the third phase. Our report documents a number of variables contributing to inefficiencies in Phase...

This general review paper explores the role of institutional investment in EU ETS. We do so by addressing seven questions sequentially, namely: (1) How does the EU ETS work? (2) What drives the value of carbon? (3) What potential diversification benefits arise from investing in carbon? (4) How...

The trading of carbon dioxide (CO2) emission allowances, or permits, has been established in recent years as one of the primary mechanisms for tackling global warming and climate change. The European Union (EU) has taken an important initiative in this direction by establishing in 2003 the first...

We investigate the drivers of firm liquidity in the world's largest emerging economy and around the last global financial crisis cycle. Using data from 654 Shanghai Stock Exchange-listed Chinese firms across 12 industries over the period 2007-2012; we particularly focus on industry and size effects....