Non-Fundamental Information and Market-Makers' Behavior During the NASDAQ Preopening Session
نویسندگان
چکیده
منابع مشابه
The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period
W exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq market. We specify a model that accommodates fluctuations in both risk levels and market prices of different sources of risk, and we estimate the model using the time-series returns and option prices on the Nasdaq 100 tracki...
متن کاملSymposium on market microstructure: Focus on Nasdaq
This special issue of the Journal of Financial Economics includes six articles that analyze the market microstructure of Nasdaq in various ways. The question of the costs of trading on Nasdaq has become contentious in both the academic and legal/regulatory arenas since the Christie and Schultz (1994) article first noted that many actively traded Nasdaq stocks were almost never quoted on odd eig...
متن کاملA Nasdaq Market Simulation: Draft in Progress
Isaac Saias, and others for their valuable comments and suggestions. We thank Paula Lozar for editing help. We acknowledge Nasdaq's financial support in working on this project. Usual disclaimer applies.
متن کاملThe Competitiveness of the London Market: A Study of Trading Behavior of Market Makers
This study examines trading activities of market makers for 25 FTSE-100 component stocks to assess the competitiveness of the London Stock Exchange (LSE). The results show that market makers can obtain relatively large shares of public order flows through posting competitive prices with significant quote depths. Market share leaders do not rely on preferenced trading in securing public order fl...
متن کاملEquilibrium Discovery and Preopening Mechanisms in an Experimental Market
We experimentally analyze equilibrium discovery in i) a pure call auction, ii) a call auction preceded by a nonbinding preopening period, and iii) a call auction preceded by a binding preopening period. We examine whether a preopening period can facilitate coordination on the Pareto dominant equilibrium. During the nonbinding preopening period, traders tend to place manipulative orders. After o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2312375