Download or read book Market Structure Fragmentation and Market Quality Evidence from Recent Listing Switches written by Li Wei and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Have structural changes in the U.S. equities markets, such as decimalization, the growth of ECNs, and the improvements in order routing technologies altered the advantages of stock exchange relative to decentralized dealer and ECN trading? We examine market quality for companies that recently switch listings from Nasdaq to the NYSE. We find these stocks show significant reductions in return volatilities and price reversals, quoted spreads, and trading costs. The improvements are greater for companies whose pre-switch order flows are more fragmented, consistent with the notion that order flow consolidation improves market quality. Our findings are not influenced by sample selection bias.
Download or read book Electronic vs Floor Based Trading written by Robert A. Schwartz and published by Springer Science & Business Media. This book was released on 2006-06-03 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specialists and floor brokers, in direct contact on the trading floor, are at the heart of operations at the national U.S. equity exchanges. At the other end of the spectrum, electronic trading platforms characterize most other equity markets globally. Why have we not followed the international trend, and should we? Can the unique services offered by the floor be provided as effectively in an electronic environment? Which environment would institutional and retail traders each find most suitable to their special needs? These are some of the questions that will be addressed. In so doing, Electronic vs. Floor Based Trading will provide perspective on the future direction that exchange market structure is likely to follow in the coming years.
Download or read book The SEC s Market Structure Proposal written by United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises and published by . This book was released on 2005 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advances in Investment Analysis and Portfolio Management New Series Vol 6 written by Cheng F. Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2014-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Nature. This book was released on 2022-09-12 with total page 2746 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.
Download or read book Market Structure Fragmentation and Market Quality written by Li Wei and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Price Discovery and the Effects of Fragmentation on Market Quality written by Vassilios G. Papavassiliou and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a novel high-frequency data set, we examine the contribution of Greek trading to the price discovery process of a pair of Cypriot blue-chip, cross-listed stocks during overlapping trading hours. Additionally, we investigate the effects of market fragmentation on the home market's quality, as measured by microstructure-based liquidity measures. Contrary to earlier studies from other markets, our findings show that foreign stock exchanges can act as the leading contributors to price discovery and can concentrate the majority of trading activity and produce the lowest transaction costs. Our results also show that market fragmentation can lead to negative effects on market liquidity.
Download or read book Tiered Market Structures written by Kevin D. Broom and published by . This book was released on 2009 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays examining tiered market structures. We focus on the June 2006 restructuring of the NASDAQ Stock Exchange where the listing environment changed from two to three tiers, creating a top tier with the highest listing standards for any exchange in the world. The first essay examines market quality. Theoretical motivation indicates that different listing and disclosure requirements could result in different levels of information production across tiers, and thus different market quality characteristics. While we do find cross-sectional evidence of market quality differences, we do not find evidence of market quality changes when firms change tiers. Within the NASDAQ trading environment, this result is consistent with a visibility effect, where better (lesser) known stocks are more (less) liquid due to higher levels of investor participation. With the exception of increased effective spreads as firms drop to a lower tier, no other short-term changes in market quality appear to result from firms adhering to new listing standards, when controlling for disclosure standards. The second essay examines any reputation effect resulting from NASDAQ's tiered structure. Theoretical motivation indicates that exchanges choose listing and disclosure standards to maximize the combination of its reputation value and the value of cash flows from listing and trading fees. We find that NASDAQ's 2006 restructuring did not appear to enhance its reputation, either directly or indirectly. The restructuring did not result in any positive announcement effect for NASDAQ firms. Further, we find little evidence to support any announcement effects as firms cross into new tiers. Lastly, we find that the restructuring does not appear to have helped NASDAQ become more competitive in the marketplace for attracting new initial public offerings.
Download or read book Market Making and the Changing Structure of the Securities Industry written by Yakov Amihud and published by Beard Books. This book was released on 2002 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a reprnit of a previously published book. it deals with changes on the U.S. financial market by the Securities Acts Amendment of 1975.
Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 2002 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Does Market Fragmentation Matter written by Anthony Christopher Homan and published by . This book was released on 1995 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fragmentation and Market Quality in European Stock Markets written by Federica Salvadè and published by LAP Lambert Academic Publishing. This book was released on 2011-06-01 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work addresses two questions related to the market fragmentation debate: (i) How does the competition impact on the incumbent market liquidity? And on consolidated liquidity? (ii) Does the competition adversely affect the price discovery? In which market does the price discovery process take place? To this end we study the launch of Chi-x, a Multilateral trading facility, in the Italian market and in the English market.
Download or read book The Market Structure Crisis written by Haim Bodek and published by Createspace Independent Publishing Platform. This book was released on 2015-11-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores various regulatory, legal, and competitive pressures that the U.S. securities industry is facing as a result of the intense regulatory scrutiny of the modern electronic marketplace and the heated public debate stirred by Flash Boys by Michael Lewis. This collection of previously published and unpublished materials includes the following articles and white papers: 1. 20 Predictions for the Future of the Market Structure Crisis - provides an overview of the current market structure crisis and offers forecasts for regulatory, legal, and commercial developments 2. Deconstructing Maker-Taker - analyzes the nature and implications of the maker-taker pricing model and discusses its role in the current market structure 3. Reigniting the Order Type Debate - reviews recent order type-related rule submissions by securities exchange and discusses the nature of "undocumented" order type features and order matching engine practices 4. The Problem of Fragmentation and Potential Solutions - presents various issues related to the "dispersed" trading process, analyzes different order flow allocation mechanisms, such as maker-taker and payment for order flow arrangements, and reviews potential regulatory solutions 5. HFT Regulation and Market Structure Reform - discusses the emergence of HFT regulation, including various proposals concerning restraints on electronic trading, approaches to slowing down or mechanically restraining the trading process, and the elimination of certain shortcuts embedded in the current market structure 6. Leveling the Playing Field: Lit and Dark Trading Venues - reviews recent enforcement actions directed at trading venues, analyzes the doctrine of regulatory immunity, and addresses a variety of other issues relevant for trading venues 7. Protecting Customers and Achieving Best Execution: Issues for Retail and Institutional Brokers - analyzes various concerns relevant for retail and institutional brokers, including the evolving duty of best execution and its extension to other parties, maker-taker and payment for order flow arrangements, and special order types 8. Litigation and the Impact of Enforcement: The Market Structure Perspective - provides as overview of the litigation landscape for market structure-related issues, including private lawsuits directed at major trading venues and brokerage firms, and discusses the significance of enforcement actions 9. Public Comment Letter on Several Order Type-Related Modifications Proposed by the New York Stock Exchange - offers a critique of the proposed functionalities and discusses the phenomenon of post-only intermarket sweep orders 10. The Flash Boys Lawsuit: The End of the Beginning? - discusses the path of the City of Providence v. BATS class action lawsuit, which has been referred to as the "Flash Boys Lawsuit," and analyzes the prospects of private lawsuits in the market structure space Appendix A - Summary of Key Enforcement Actions and Lawsuits Appendix B - Selected Market Structure-Related References
Download or read book The Effect of Listing Switches from a Growth Market to a Main Board written by Jong-Ho Park and published by . This book was released on 2016 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine whether firms switching listings from the Korean growth market (KOSDAQ) to the main board (KOSPI) experienced improved trading-related market quality. We focus on market macrostructure and use a difference-in-difference technique with nearest matching. Contrary to previous research and practitioners' opinions, we find that trading-related market quality mostly deteriorated or remained unchanged following the switch, indicating that the specific market macrostructure of a country matters. Listing switches produce a negative externality by weakening KOSDAQ and thereby impairing funding for innovative new firms, suggesting that policymakers should encourage firms whose characteristics fit the standalone growth market to remain listed there.
Download or read book Dynamics of Drivers of Organizational Change written by Nicole Zimmermann and published by Springer Science & Business Media. This book was released on 2011-06-29 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Often, organizations have difficulties in recognizing the need to change. Nicole Zimmermann investigates the barriers to, but also in particular the drivers of organizational change. From the case-specific as well as from a generic study, a structural model results that is able to explain how environmental and cognitive drivers, inertia and managerial attention interact.
Download or read book The Impact of Dark and Visible Fragmentation on Market Quality written by Hans Degryse and published by . This book was released on 2011 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two important characteristics of current European equity markets are rooted in changes in financial regulation (the Markets in Financial Instruments Directive). The regulation (i) allows new trading venues to emerge, generating a fragmented market place and (ii) allows for a substantial fraction of trading to take place in the dark, outside publicly displayed order books. This paper evaluates the impact on liquidity of fragmentation in visible order books and dark trading for a sample of 52 Dutch stocks. We consider global liquidity by consolidating the entire limit order books of all visible European trading venues, and local liquidity by considering the traditional market only. We find that fragmentation in visible order books improves global liquidity, but dark trading has a detrimental effect. In addition, local liquidity is lowered by fragmentation in visible order books.
Download or read book Market Quality written by Drew Harris and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the combined effect of algorithmic trading and market fragmentation on market quality. Three distinct but inter-related research studies are conducted and the ultimate findings of the thesis are three fold. First, exchange listed companies can use stock splits to manage their tick size and influence the level of algorithmic market making in their security, which can subsequently impact the company's liquidity. Stock splits alter a security's relative tick size. In some cases, this change in relative tick size increases the quoted spread captured by market makers. This extra incentive improves liquidity and reduces transaction costs. Companies that undertake stock splits while already tick constrained increase the profit of market makers at the cost of liquidity takers. Second, the research shows that dark trading contributes very little to the price discovery of a market. Further, regulation that reduces the level of dark trading in a market does not impact the relative competitiveness in price discovery for cross listed assets. Third, the thesis examines the joint impact of fragmentation and algorithmic trading. Findings show that on exchange fragmentation increases market competition and reduced transaction costs, with two side effects: the joint growth of dark fragmentation and algorithmic trading. Dark trading reduces integrity by adding an alternate venue with lesser price impact, while algorithmic trading increases both market efficiency and integrity.
