Commonality in liquidity across options and stock futures markets
نویسندگان
چکیده
منابع مشابه
The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
In investigating the effects of algorithmic trading on stock market liquidity and commonality in liquidity in different market conditions in an electronic limit order market, we find algorithmic trading increases stock liquidity by narrowing quoted and effective bid–ask spreads. Furthermore, algorithmic trading decreases commonality in liquidity; this finding is robust across a variety of liqui...
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Foucault [Journal of Financial Markets, 2, 99–134, 1999] provides a theoretical basis for how stock price volatility influences the aggressiveness of limit order traders. I investigate volatility discovery across stock limit order book and options markets using a broad panel of NYSE‐listed stocks from November 2007 to January 2008 and find strong evidence that, as predicted, the aggressiveness ...
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This paper extends previous research on commonality in liquidity to pure limit order markets. Using data over three months on the order book of 19 stocks traded at the Swiss Stock Exchange (SWX), we perform a principals components analysis and find evidence of the existence of three to four common factors. The fraction of the variation in liquidity explained by these common factors is higher th...
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nowadays, the significant increase in the banks' non- performing loans is one of the main disturbances for authorities because of its bad effects on the macroeconomic index in our country such as increasing credit risk, liquidity risk and finally bankruptcy risk. social gap in welfare programs, deviation in monetary policies, etc. are the other bad results of this phenomenon. meanwhile, du...
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2020
ISSN: 1544-6123
DOI: 10.1016/j.frl.2019.01.008