Download or read book Essays on Price Discovery Measure Exchange traded Funds and Liquidity written by Syed Galib Sultan and published by . This book was released on 2015 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt: Price Discovery is the process by which new information is impounded into asset prices through trading activity. A market is considered to contribute more to price discovery if it is the first to capture new information regarding the fundamental value of an asset. Hasbrouck's (1995) information share (IS) is the most widely used measure for price discovery contribution even though there is a well-documented concern with identification: its dependence on the ordering of the variable in the price vector and its non-uniqueness. In the first chapter, we propose a new measure, "Price Discovery Share" (PDS) that is closely related to IS and resolves the identification problems inherent in the IS method. PDS is motivated by a widely used method in risk management literature called the "risk-budgeting" or additive decomposition of portfolio volatility. Using simulated data based on different structural asset pricing models, we find that PDS measures the structural price discovery contribution more accurately than IS. In the second chapter, we apply Price Discovery Share (PDS) to investigate the "duplication of Exchange-Traded Funds (ETFs)" phenomenon, a recent institutional trend in financial markets. We show that although there are multiple ETFs tracking the S&P 500 index, one specific S&P 500 ETF ('SPY') always contributes more to price discovery than the rest. We also find that PDS, unlike Information Share (IS), is robust to the use of intra-day market price data sampled at different frequencies. In the third chapter, we study the effect of bond Exchange-traded funds (ETFs) and bond mutual funds on the liquidity of U.S. corporate bonds. Depending on the liquidity measure used, we find different statistically significant results. ETF ownership has a positive impact on their underlying corporate bonds liquidity when we only consider bonds that are already bought and held by ETFs. Bond mutual funds ownership is found to play a positive impact on the liquidity of high yield corporate bonds.

Download or read book Essays on Stock Market Liquidity written by Chi-Hsiang Huang and published by . This book was released on 2001 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Information Flow in a Fragmented Dealer Market written by Laura A. Tuttle and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The 1990's were a period of rapid change in the trading of Nasdaq stocks. Advances in network technology improved the market's ability to trade efficiently and disseminate real-time information. Concurrently, regulatory changes mandated inclusion of alternate trading venues in the quote montage, and restricted the manner in which customer limit orders are handled by market makers. This dissertation explores the price formation process in the Nasdaq market, examining how fragmentation and imperfect transparency affects price formation. The first essay, "Price Discovery in Nasdaq Issues", investigates price leadership relationships between Nasdaq market makers and Electronic Communications Networks (ECNs). Using the Hasbrouck information share and Gonzalo-Granger common factor methodologies, I show that ECNs provide more than half of the price discovery for approximately one out of three Nasdaq 100 stocks, although ECNs trades account for less than 33% of any Nasdaq 100 issue's trading activity. The second essay, "Hidden Orders, Trading Costs and Information", explores non-displayed (reserve) depth in Nasdaq market-maker quotes in SuperSOES. While the presence of hidden depth at the inside has no effect on effective half-spreads, the information content of a trade (as measured by the midquote adjustment in the 30 minutes post-trade) is lower when reserve size is quoted, suggesting reserve size signals short-term price movements. Displayed depth does not predict daily returns, but the non-displayed orders of investment banks and wirehouses are indicative of daily price changes. In the final essay, "News or Noise: Is the Price Impact of Island Trades Persistent?", I examine the trades on the Island ECN to discover whether their information impact is transient or permanent. I measure price impact at a number of horizons, allowing for the possibility of price reversals from liquidity motivated trades. Using simple regressions, I show Island trades are more informative than other trades only at short time horizons post-trade; at longer horizons, the price impact of an Island trade is not significantly different from trades in other venues. Island trades can be shown to be more informative at longer horizons only when the experimental design controls for the endogeneity of the trading venue decision.

Download or read book Essays on Exchange Traded Funds Market Quality and Arbitrage written by Céline Kharma and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: My thesis consists of three papers on exchange-traded funds (ETFs), market quality and arbitrage. In these papers, I study (1) the effect of competition between ETFs on market quality, (2) the trading behavior of exchange-traded gold instruments around the London afternoon gold price fixing, and (3) arbitrage opportunities between substitutable gold ETFs. The first paper is co-authored with Sylvain Delalay. We examine the impact of competition between ETFs on measures of market quality of the funds. The surge in new ETF creation has for consequence that groups of competing ETFs are increasingly crowded, and investors can choose from a multitude of similar ETFs. Across all ETFs, results show evidence of improved market quality measures when competition increases within a group. However, we find that competition has a differential impact on ETFs according to their size and performance. For large or well-performing ETFs, increased competition improves market quality, whereas for small or under-performing ETFs, market quality is negatively affected by competition. The gold market was not overlooked by this surge in ETF creation. Within a decade, gold ETFs have acquired a position of importance on the gold market, and the potential to influence more traditional gold instruments. My second paper investigates the trading behavior of exchange-traded gold instruments around the time of the London afternoon gold price fixing. The gold fixing process was reformed in 2015, in response to regulatory demands for greater transparency. An electronic auction replaced the traditional private conference call to determine the benchmark gold price. The transparency of the electronic auction eliminates most of the informational advantage traditionally held by fixing participants. I find evidence of increased trade volume and volatility occurring at the start of the gold fixing process and lasting on average twenty seconds, both in the period prec.

Download or read book Price Discovery and Liquidity in a Fragmented Stock Market written by Mao Ye and published by . This book was released on 2011 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the most striking changes in U.S. equity markets has been the proliferation of trading venues. My dissertation studies the impact of market fragmentation on liquidity and price discovery from three different perspectives. The first section, coauthored with Maureen O'Hara, examines how fragmentation of trading is affecting the quality of trading. We use newly-available trade reporting facilities volumes to measure fragmentation levels in individual stocks, and we use a matched sample to compare execution quality and efficiency of stocks with more and less fragmented trading. We find market fragmentation generally reduces transaction costs, as measured by effective spread and realized spread, and increases execution speeds. Fragmentation does increase short-term volatility, but prices are more efficient in that they are closer to being a random walk. The second section focuses on a particular type of new trading mechanism, crossing network, in which buy and sell orders are passively matched using the price set by the stock exchange. The results show that the crossing network harms price discovery and the relative lack of revealed information most strongly affects stocks with high uncertainty in their fundamental values. I find that an increase in the uncertainty of the fundamental value of the asset increases the transaction costs in both markets, but stocks with higher fundamental value uncertainty are more likely to have higher market shares in the crossing network. The impact of different allocation rules in the crossing network on market outcomes is also examined. The third section tests the theoretical prediction of the second essay. I find that crossing networks have lower effective spread and price impact of trade, but they also have lower execution probability and speed of trade. Non-execution is positive correlated with price impact, decreases in trading volume and increases in volatility. Crossing networks have higher market share for stocks with lower volatility and higher volume. We also find that the underlying assumption in previous literature, that stocks with higher effective spreads have higher reductions in effective spread by trading in crossing networks, is not supported by data.

Download or read book Essays on Trading Mechanisms and Price Discovery in Financial Markets written by Jian-Xin Wang and published by . This book was released on 1994 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Market Microstructure written by Daejin Kim and published by . This book was released on 2014 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Price Dynamics and Liquidity of Exchange Traded Funds written by Ananth Madhavan and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange traded funds (ETFs) have grown substantially in diversity and size in recent years, reflecting a broader shift towards passive, index investing. As a consequence, there is increased interest by practitioners in the pricing and liquidity of ETFs. This paper develops and estimates a model of ETF price dynamics emphasizing the creation/redemption mechanism unique to ETFs. We use the framework to analyze a number of questions concerning price discovery, the dynamics of premiums and discounts, return autocorrelations, performance and tracking relative to benchmark, and transaction costs. We estimate the model for all US-domiciled ETFs in the period 2005-2014, and apply the results to practical issues concerning price efficiency and intrinsic value.

Download or read book Berlusconi Silvio 1936 written by and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Zeitungsausschnitte (1992-2000).

Download or read book Price Formation in Spot and Futures Markets written by Bernd Schlusche and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reconsiders the process of price discovery in spot and futures markets. In our study, we examine the contribution of two derivative products of the German blue chip index DAX: Exchange traded funds and index futures. In order to eliminate noise caused by differences in the microstructure of the markets, we use transaction data only from electronic-trading markets. We apply a linear vector error correction model for our estimations and we use the common factor weights, first proposed by Schwarz and Szakmary (1994), to quantify the contribution of each market to the process of price discovery. Our results indicate that the futures market leads in the process of price discovery. Furthermore, we show that volatility, and not liquidity, as would be conjectured by the transaction-costs hypothesis, is the driving factor for relative price leadership between the two markets.

Download or read book Three Essays on Price Discovery Stock Liquidity and Crash Risk written by Marco Seruset and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.

Download or read book Behavioral Finance written by Lucy F. Ackert and published by South Western Educational Publishing. This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.

Download or read book Exchange Traded Funds in Europe written by Adam Marszk and published by Academic Press. This book was released on 2019-04-01 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-Traded Funds in Europe provides a single point of reference on a diverse set of regional ETF markets, illuminating the roles ETFs can play in risk mitigation and speculation. Combining empirical data with models and case studies, the authors use diffusion models and panel/country-specific regressions-as well as graphical and descriptive analyses- to show how ETFs are more than conventional, passive investments. With new insights on how ETFs can improve market efficiency and how investors can benefit when using them as investment tools, this book reveals the complexity of the world's second largest ETF market and the ways that ETFs are transforming it. Identifies benefits and threats that ETFs bring to European financial markets Combines empirical data with a full, in-depth analysis of the topic and the special characteristics of Europe Examines the diffusion patterns of innovative financial products, the role of ICT, and the consequent effects of ETFs on the underlying European stock markets

Download or read book Essays on Algorithmic Trading written by Markus Gsell and published by Columbia University Press. This book was released on 2010-07-09 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Technological innovations are altering the traditional value chain in securities trading. Hitherto the order handling, i.e. the appropriate implementation of a general trading decision into particular orders, has been a core competence of brokers. Labeled as Algorithmic Trading, the automation of this task recently found its way both into the brokers' portfolio of service offerings as well as to their customers' trading desks. The software performing the order handling thereby constantly monitors the market(s) in real-time and further evaluates historical data to dynamically determine appropriate points in time for trading. Within only a few years, this technology propagated itself among market participants along the entire value chain and has nowadays gained a significant market share on securities markets worldwide. Surprisingly, there has been only little research analyzing the impact of this special type of trading on markets. Markus Gsell's book aims at closing this gap by analyzing the drivers for adoption of this technology, the impact the application of this technology has on markets on a macro level, i.e. how the market outcome is affected, as well as on a micro level, i.e. how the exhibited trading behavior of these automated traders differs from normal traders' behavior.

Download or read book The Empirical Analysis of Liquidity written by Craig Holden and published by Now Publishers. This book was released on 2014-11-28 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.

Download or read book Exchange Traded Funds and the New Dynamics of Investing written by Ananth N. Madhavan and published by Oxford University Press. This book was released on 2016-06-28 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Exchange-Traded Funds and the New Dynamics of Investing, Ananth Madhavan examines the quiet transformation of asset management through the rise of passive or index investing. A closely-related phenomenon is the rise of exchange-traded funds (ETFs). An ETF is an investment vehicle that trades intraday and seeks to replicate the performance of a specific index. ETFs have grown substantially in size, diversity, and market significance in recent years. These trends have generated considerable interest, especially from retail and institutional investors and increasingly from academics, regulators and the press. ETFs have the power to be a disruptive innovation to today's asset management industry because many traditional active managers and hedge funds deliver a significant fraction of their active returns via static exposures to factors like value. Indeed, for the first time ever, assets in global ETFs exceeded $3 trillion in 2015, passing the amount in hedge funds.