Intraday Market Liquidity On The Swiss Stock Exchange PDF Download
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| Author | : Angelo Ranaldo |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Intraday Market Liquidity on the Swiss Stock Exchange Book in PDF, ePub and Kindle
This study is an empirical analysis of the intraday market liquidity and volume concentration on the Swiss Stock Exchange. The intraday market liquidity on the Swiss market exhibits a triple-U shaped pattern. An intraday pattern of volume concentration also exists. The empirical evidence shows that the US market influences the Swiss trading day to a remarkable extent. The results also suggest the dynamics of an order-driven market. Disequilibrium between demand and supply conditions are associated with an increase in trading volume and a thinner limit order book. In this market condition, trades engender a wider spread and price volatility.
| Author | : Angelo Ranaldo |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
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| ISBN | : |
Download Transaction Costs on the Swiss Stock Exchange Book in PDF, ePub and Kindle
I analyze the transaction costs on the Swiss Stock Exchange (SWX). Trading costs on the SWX are in line with the NYSE. The bid-ask spread components are examined in relation with market liquidity, trade size and the time of the day. The order processing costs are the largest cost component but the adverse selection and order persistence components are also significant. Adverse selection and processing costs affect to a wider extent less liquid stocks and characterize the afternoon trading. Also, the adverse selection (order processing) component increases (decreases) with trade size.
| Author | : Qun Zhang |
| Publisher | : |
| Total Pages | : |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Determinants of Liquidity in the Swiss Stock Market Book in PDF, ePub and Kindle
| Author | : Marc-André Mittermayer |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2004 |
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| ISBN | : |
Download America and the Swiss Stock Exchange Book in PDF, ePub and Kindle
We want to know whether and in what sense traders on the Swiss Stock Exchange (SWX) are influenced by what happens on Wall Street. According to the results, the SWX reacts strongly when U.S. macroeconomic news relevant to Wall Street is disclosed. Moreover, SWX traders seem to wait with anticipation for the Wall Street opening. And they appear to overreact to what happens on Wall Street, although this overreaction is too weak to imply a profitable trading strategy.
| Author | : Barbara Rockefeller |
| Publisher | : John Wiley & Sons |
| Total Pages | : 321 |
| Release | : 2002-02-28 |
| Genre | : Business & Economics |
| ISBN | : 0471436577 |
Download CNBC 24/7 Trading Book in PDF, ePub and Kindle
"Marshall McLuhan said, 'We have become a global village,' CNBC has helped lead the way in creating a global village for the financial markets. Readers will finish CNBC 24/7 Trading feeling smarter about the markets and really understanding how important it is to be in the information flow." -Mary Meeker, Managing Director, Morgan Stanley Dean Witter "CNBC 24/7 Trading unlocks the mystery of how individual investors can invest and trade everywhere all the time. This book will become the investment bible that levels the playing field between Wall Street and Main Street." -Robert J. Froehlich, Vice Chairman, Kemper Funds Group Managing Director, Scudder Kemper Investments "TD Waterhouse has operations in eight countries, so we see that growth in international investing is accelerating. To be successful investing around the globe, investors need both information and insight. CNBC 24/7 Trading covers what individual investors need to know in a thorough, easy to understand way." -Steve McDonald, CEO, TD Waterhouse From the Foreword "CNBC 24/7 Trading . . . embraces the reality that the markets never stand still . . . this book is a guide to the emerging 24/7 marketplace, a road map to the potential rewards for investors who can grasp that marketplace's opportunities and understand its risks."-Sue Herera "This definitive book on investing in the 24/7 markets provides the comprehensive tools for active investors and market pros alike. Offering information and advice on trading, obtaining research, measuring market volatility, and assessing local market risk, no smart investor should venture without it." -Linda R. Killian, CFA, Principal, Renaissance Capital
| Author | : Angelo Ranaldo |
| Publisher | : |
| Total Pages | : 198 |
| Release | : 2000 |
| Genre | : Aktienmarkt / Aktienoption / Mikrostrukturanalyse / Informationswert / Gesamtwirtschaftliche Liquidität / Schweiz |
| ISBN | : |
Download Intraday Trading Activity on Financial Markets Book in PDF, ePub and Kindle
| Author | : Abdourahmane Sarr |
| Publisher | : International Monetary Fund |
| Total Pages | : 72 |
| Release | : 2002-12 |
| Genre | : Business & Economics |
| ISBN | : |
Download Measuring Liquidity in Financial Markets Book in PDF, ePub and Kindle
This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
| Author | : Ross Levine |
| Publisher | : World Bank Publications |
| Total Pages | : 32 |
| Release | : 1996 |
| Genre | : Aumentoa de la produccion |
| ISBN | : 6101919153 |
Download stock market development and long run growth Book in PDF, ePub and Kindle
| Author | : Cass Cheng Po Lei |
| Publisher | : |
| Total Pages | : 45 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download The Role of Liquidity in Value at Risk - The Case of Hong Kong Book in PDF, ePub and Kindle
This paper extends the conventional Value at Risk (VaR) to incorporate liquidity in intraday time horizon. Our rationale is that the Liquidity Adjusted Intraday VaR (L-VaR) is particularly relevant to day traders who are more interested in intraday market movement that could not be simply represented by a single VaR figure generated from interday data, and whose activities are done in volatile markets where being able to trade promptly is particularly important. Using intraday stock market data in Hong Kong, we show that liquidity can constitute on average 30% of the VaR for small-price stocks. Furthermore, it will be relatively less risky, both in terms of L-VaR and VaR, for day traders to trade in the middle of the trading days. Furthermore, given the importance of derivative securities nowadays, we conjecture that if liquidity is an important component in VaR for stocks, it will also assert significant impact of the derivatives counterpart. We therefore extend the study to highlight this importance by comparing the structure of the bid/ask spread of the Hong Kong options and stock market. We also provide explanation for wider spreads in option markets given different levels of moneyness and time to maturity.
| Author | : Yakov Amihud |
| Publisher | : Now Publishers Inc |
| Total Pages | : 109 |
| Release | : 2006 |
| Genre | : Business & Economics |
| ISBN | : 1933019123 |
Download Liquidity and Asset Prices Book in PDF, ePub and Kindle
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.
