منابع مشابه
Informed Trading in Stock and Option Markets
We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck’s (1995) “information share” approach. Based on five years of stock and options data for 60 firms, we estimate the option market’s contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock vola...
متن کاملDoes Foreign Trading Destabilize Local Stock Markets?
This paper investigates the impact of foreign trading on short term volatility and on the correlation of local with world returns. I find that trading in general is associated with higher volatility, whether it is trading by foreigners or domestic investors. However, controlling for total trading volume, foreign trading has no impact on volatility in developed countries, and only a marginally s...
متن کاملElectronic Contracting in Online Stock Trading
Who will be the third party registry, the government or private industry? The CA in Japan is established by the Japanese government. And even in US, EFT (Electronic Fund Transfer) which is a method for transferring money automatically by computer during e-commerce transactions is run by the Automated Clearing House which is closely associated with the Federal Reserve Bank of US (Lieberman, 1997...
متن کاملThe 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...
متن کاملAlgorithmic trading in the Iowa electronic markets
The Iowa Electronic Markets are small, real-money financial markets designed to aggregate information about future events. The market microstructure of these markets is studied and a market making model is developed to provide liquidity for one set of securities offered by this exchange. A computer program was created to employ the market making model and profit from the market’s inefficiencies...
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ژورنال
عنوان ژورنال: Journal of Economic Perspectives
سال: 2006
ISSN: 0895-3309
DOI: 10.1257/089533006776526067