Market Fragmentation, Market Quality and Clientele Effects

Volatile market condition and investor clientele effects on mutual fund flow performance relationship ¬リニ

Article history: Received 11 October 2012 Accepted 6 May 2014 Available online 4 June 2014 We analyze mutual fund flow–performance relationship using a novel sample of Chinese mutual funds that trade in a volatile market environment. Consistent with existing literature, we find that the net flow to a fund is positively related to past fund performance. However, the positive flow–performance rel...

Equity Market Structure Literature Review Part I: Market Fragmentation

Editorial Fragmentation poses challenges for market surveillance

REITs and Market Microstructure: A Comprehensive Analysis of Market Quality

This study analyzes the market quality differences, in terms of liquidity and volatility, between Real Estate Investment Trusts (REITs) and non-REIT common stocks. The 2008 financial crisis has significantly influenced the market quality for REITs. Our findings reveal intraday patterns indicating a lower liquidity, higher volatility, and greater price impact for REITs than nonREITs for pre-cris...

Market Quality and Insider Trading on an Experimental Capital Market

This experimental study is based on an examination by Theissen (2000), who compared single trading mechanisms. In contrast to his work, trading behaviour, market efficiency and market liquidity are also analyzed on an extended market, consisting of a call and a continuous auction in one trading period. In addition, the experimental design incorporates traders with perfect information of the fun...