Night trading and market quality: Evidence from Chinese and US precious metal futures markets
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Futures Markets"
DOI: 10.1002/fut.22147
Abstract: © 2020 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC Given a dominant exchange, how should other exchanges set their trading hours? We examine the introduction of a night session by… read more here.
Keywords: futures markets; trading; night; market ... See more keywords
Return and liquidity response to fraud and sec investigations
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Economics and Finance"
DOI: 10.1007/s12197-018-9445-y
Abstract: This study measures the long-run costs and benefits associated with fraud and securities enforcement actions by examining the changes in market quality of firms that are investigated by the Securities and Exchange Commission for fraud.… read more here.
Keywords: liquidity response; market; market quality; return liquidity ... See more keywords
The effect of exogenous information on voluntary disclosure and market quality
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2020.04.018
Abstract: Abstract We analyze a model in which information may be voluntarily disclosed by a firm and/or by a third party, e.g., financial analysts. Due to its strategic nature, corporate voluntary disclosure is qualitatively different from… read more here.
Keywords: market quality; disclosure; voluntary disclosure; information ... See more keywords
Testing the effect of technical analysis on market quality and order book dynamics
Sign Up to like & getrecommendations! Published in 2018 at "Applied Economics"
DOI: 10.1080/00036846.2018.1529404
Abstract: ABSTRACT We find empirical support for the theoretical finding in agent-based models of limit order book markets that the effect of technical trading on market quality is not positive. When signals occur, technical traders lower… read more here.
Keywords: market quality; order book; order; effect technical ... See more keywords
Algorithmic quoting, trading, and market quality in agricultural commodity futures markets
Sign Up to like & getrecommendations! Published in 2020 at "Applied Economics"
DOI: 10.1080/00036846.2020.1789060
Abstract: ABSTRACT This paper investigates the effect of algorithmic trading activity, as measured by quoting, on the corn, soybean, and live cattle commodity futures market quality. Using the CME’s limit-order-book data and a heteroscedasticity-based identification approach,… read more here.
Keywords: futures markets; trading; market; market quality ... See more keywords
Information Disclosure in Financial Markets
Sign Up to like & getrecommendations! Published in 2017 at "Review of Financial Economics"
DOI: 10.1146/annurev-financial-110716-032355
Abstract: Information disclosure is an essential component of regulation in financial markets. In this article, we provide a cohesive analytical framework to review certain key channels through which disclosure in financial markets affects market quality, information… read more here.
Keywords: information; information disclosure; disclosure; market quality ... See more keywords
Minimum tick size, market quality and costs of trade execution in Vietnam
Sign Up to like & getrecommendations! Published in 2023 at "PLOS ONE"
DOI: 10.1371/journal.pone.0285821
Abstract: The Vietnamese government introduced a change in the minimum tick size for stock trading on 12 September 2016 to improve market quality and reduce trade execution costs. The intended effects of this policy have not… read more here.
Keywords: tick size; size; trade execution; market quality ... See more keywords