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An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange

Niemeyer, Jonas; Sandås, Patrik - Economics Institute for Research (SIR), … - 1995

This paper describes and analyzes the trading structure at the Stockholm Stock Exchange. In the empirical part, we report stylized facts based on intraday transaction and order book data, focusing on the intraday behavior of returns, trading activity, order palcement and bid/ask spread, on the...

Persistent link: https://www.econbiz.de/10005207181

Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2014

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

Persistent link: https://www.econbiz.de/10010420296

Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?

Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017

between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …

Persistent link: https://www.econbiz.de/10011932893

A Challenger to the Limit Order Book: The NYSE Specialist

Buti, Sabrina - Institute for Financial Research (SIFR) - 2007

inevitable?". While the order book enables traders to compete to supply anonymous liquidity, the specialist system enables one to … liquidity from the specialist. This, however, creates an adverse selection problem on the limit order book. Market liquidity and …

Persistent link: https://www.econbiz.de/10005651577

Understanding the limit order book: Conditioning on trade informativeness

Beltran, Héléna; Grammig, Joachim; Menkveld, Albert J. - 2005

orders. However, a high level of liquidity supply is committed up to an economically significant trade size volume, even when …

Persistent link: https://www.econbiz.de/10010308696

The relative contribution of ask and bid quotes to price discovery

Pascual, Roberto; Pascual-Fuster, Bartolomé - In: Journal of Financial Markets 20 (2014) C, pp. 129-150

Using 2000–2010 data for 84 stocks listed in the Spanish Stock Exchange (SSE) and 2009–2010 data for 240 stocks listed in the New York Stock Exchange (NYSE), we provide robust evidence of daily asymmetries in the contribution of ask and bid quotes to price discovery. Asymmetries happen in...

Persistent link: https://www.econbiz.de/10010906571

Trading fees and intermarket competition

Payaides, Marios; Rindi, Barbara; Werner, Ingrid M. - 2018

Regulators, exchanges, and politicians are considering reining in maker-taker pricing, which is used as a competitive tool by trading venues to acquire order flow. Examining the 2013 reduction in trading fees operated by BATS on its European venues, we document significant effects on market...

Persistent link: https://www.econbiz.de/10011963249

Stock market and its liquidity : evidence from ARDL bound testing approach in the Indian context

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi; Basu, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12

resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional …This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures … liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the …

Persistent link: https://www.econbiz.de/10012023365

How does liquidity react to stress periods in a limit order market?

Beltran Lopez, Helena; Durré, Alain; Giot, Pierre - 2004

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

Persistent link: https://www.econbiz.de/10011626249

Vulnerable asset management? : the case of mutual funds

Fricke, Christoph; Fricke, Daniel - 2017

funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …

Persistent link: https://www.econbiz.de/10011740280