Three Essays On Fairness Liquidity And Efficiency In Modern Financial Markets PDF Download
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Author | : Jiang Zhang |
Publisher | : |
Total Pages | : 0 |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Three Essays on Fairness, Liquidity, and Efficiency in Modern Financial Markets Book in PDF, ePub and Kindle
This dissertation research comprises three essays. In the first essay, we study the impact of high-frequency trading on market fairness and efficiency. The implementation of the Arrowhead Renewal on the Tokyo Stock Exchange (TSE) in 2015 reduced latency from 1 millisecond to less than 0.5 milliseconds and led to an increase in high-frequency tradingas proxied by the cancel-to-trade ratioof 34%, We find that the number of incidents of marking-the-close declined by 17%, indicating that market fairness improves. We find that for high-tick-size and high-market-capitalization stocks market efficiency improves, but for low-tick-size and low-market-capitalization stocks, it does not. In the second essay, we test the implications of competing theories on liquidity dynamics during extreme price movements (EPMs). Our findings indicate that market makers strategically allow for price pressures and earn compensation from pricing errors. As a result, liquidity provision intensifies towards the end of an average EPM. This goes counter to a widespread concern that market-making constraints cause the deterioration of liquidity as EPMs develop. Finally, we demonstrate that limit order book dynamics during EPMs are in line with a socially beneficial equilibrium. In the third essay, we revisit the tax-loss selling hypothesis as a potential explanation of the well-known January effect in securities markets. We expand the empirical evidence from municipal bond closed-end funds by extending the sample period by almost 20 years and adding exchange-traded funds to the sample. Our updated sample covers the recent growth of municipal bond ETFs and a significant increase in municipal bond trading volume and liquidity. Both developments reduce arbitrage costs and thus are expected to increase tax-loss selling in the funds and increase the transmission of price effects to the underlying bonds. We find that the January effect of municipal bond closed-end funds becomes stronger in more recent years, and show evidence that largely supports the tax-loss hypothesis. We also find some evidence indicating a smaller discrepancy between the abnormal returns of the funds and underlying bonds..
Author | : Fabian Ackermann |
Publisher | : |
Total Pages | : 143 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Three Essays on the Efficiency of Selected Financial Markets Book in PDF, ePub and Kindle
Author | : Gökhan Cebiroglu |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Three Essays on Hidden Liquidity in Financial Markets Book in PDF, ePub and Kindle
Author | : Pankaj K. Jain |
Publisher | : |
Total Pages | : 324 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Three Essays on Financial Market Design, Liquidity and Long Term Equity Returns Book in PDF, ePub and Kindle
Author | : OECD |
Publisher | : OECD Publishing |
Total Pages | : 94 |
Release | : 2021-05-20 |
Genre | : |
ISBN | : 9264852395 |
Download OECD Sovereign Borrowing Outlook 2021 Book in PDF, ePub and Kindle
This edition of the OECD Sovereign Borrowing Outlook reviews developments in response to the COVID-19 pandemic for government borrowing needs, funding conditions and funding strategies in the OECD area.
Author | : Mr.Mumtaz Hussain |
Publisher | : International Monetary Fund |
Total Pages | : 35 |
Release | : 2015-06-02 |
Genre | : Business & Economics |
ISBN | : 1513565621 |
Download An Overview of Islamic Finance Book in PDF, ePub and Kindle
Islamic finance has started to grow in international finance across the globe, with some concentration in few countries. Nearly 20 percent annual growth of Islamic finance in recent years seems to point to its resilience and broad appeal, partly owing to principles that govern Islamic financial activities, including equity, participation, and ownership. In theory, Islamic finance is resilient to shocks because of its emphasis on risk sharing, limits on excessive risk taking, and strong link to real activities. Empirical evidence on the stability of Islamic banks, however, is so far mixed. While these banks face similar risks as conventional banks do, they are also exposed to idiosyncratic risks, necessitating a tailoring of current risk management practices. The macroeconomic policy implications of the rapid expansion of Islamic finance are far reaching and need careful considerations.
Author | : Markus Konrad Brunnermeier |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Download The fundamental principles of financial regulation Book in PDF, ePub and Kindle
Author | : George M. Frankfurter |
Publisher | : World Scientific |
Total Pages | : 238 |
Release | : 2007 |
Genre | : Business & Economics |
ISBN | : 9812707913 |
Download Theory and Reality in Financial Economics Book in PDF, ePub and Kindle
A collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. This book argues that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face.
Author | : Merritt B. Fox |
Publisher | : |
Total Pages | : 476 |
Release | : 2018 |
Genre | : Securities |
ISBN | : 9781982966850 |
Download Securities Market Issues for the 21st Century Book in PDF, ePub and Kindle
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.