Essays On Price Discovery Measure Exchange Traded Funds And Liquidity PDF Download
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| Author | : Syed Galib Sultan |
| Publisher | : |
| Total Pages | : 87 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Essays on Price Discovery Measure, Exchange-traded Funds and Liquidity Book in PDF, ePub and Kindle
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.
| Author | : Chi-Hsiang Huang |
| Publisher | : |
| Total Pages | : 148 |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
Download Essays on Stock Market Liquidity Book in PDF, ePub and Kindle
| Author | : Laura A. Tuttle |
| Publisher | : |
| Total Pages | : |
| Release | : 2004 |
| Genre | : Stocks |
| ISBN | : |
Download Information Flow in a Fragmented Dealer Market Book in PDF, ePub and Kindle
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.
| Author | : Céline Kharma |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Essays on Exchange Traded Funds, Market Quality and Arbitrage Book in PDF, ePub and Kindle
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.
| Author | : Mao Ye |
| Publisher | : |
| Total Pages | : 187 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Price Discovery and Liquidity in a Fragmented Stock Market Book in PDF, ePub and Kindle
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.
| Author | : Jian-Xin Wang |
| Publisher | : |
| Total Pages | : 123 |
| Release | : 1994 |
| Genre | : |
| ISBN | : |
Download Essays on Trading Mechanisms and Price Discovery in Financial Markets Book in PDF, ePub and Kindle
| Author | : Daejin Kim |
| Publisher | : |
| Total Pages | : 135 |
| Release | : 2014 |
| Genre | : Arbitrage |
| ISBN | : |
Download Three Essays on Market Microstructure Book in PDF, ePub and Kindle
| Author | : Ananth Madhavan |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Price Dynamics and Liquidity of Exchange-Traded Funds Book in PDF, ePub and Kindle
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.
| Author | : |
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| Total Pages | : |
| Release | : 1992 |
| Genre | : |
| ISBN | : |
Download Berlusconi Silvio (1936-). Book in PDF, ePub and Kindle
Zeitungsausschnitte (1992-2000).
| Author | : Bernd Schlusche |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Price Formation in Spot and Futures Markets Book in PDF, ePub and Kindle
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.
