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Potterton, Kevin. "Bid-Ask Spreads in a Heterogeneously Informed Market." Scholarship @ Claremont, 2011. http://scholarship.claremont.edu/cmc_theses/274.
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This paper provides a numerical method for demonstrating that bid-ask spreads increase with information asymmetry or the probability of insider trading. These spreads also decrease throughout the trading day. Average daily spreads are a non-monotone function of information asymmetry. This result brings into question empirical results showing that higher levels of inside information lead to higher expected returns.
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Tishchenko, Sergei Ivanovich. "Liquidity and yield spreads of corporate bonds." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1095521304.
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Thesis (Ph. D.)--Ohio State University, 2004.Title from first page of PDF file. Document formatted into pages; contains x, 68 p.; also includes graphics. Includes bibliographical references (p. 46-48).
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Harris, Jeffrey Harold. "The cost components of bid-ask spreads : an intraday analysis." The Ohio State University, 1995. http://rave.ohiolink.edu/etdc/view?acc_num=osu1269528012.
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Danis, Michelle A. "The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options." Thesis, Virginia Tech, 1997. http://hdl.handle.net/10919/36640.
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The purpose of this thesis was to test the hypothesis that multiple-listing of equity options leads to lower bid-ask spreads because of increased competition. This competition can come in two forms, actual or potential, both of which are theorized to have the same effect on spreads.
A model of the determinants of the bid-ask spread was formulated. Separate tests were conducted on 1985 and on 1992 CBOE data. The first test arose from the fact that in 1985, only a certain number of options were multiple-listed, or eligible to be multiple-listed. Spreads for multiple-listed options were conjectured to be below spreads for single-listed options across low levels of volume, and equal to single-listed option spreads at higher levels of volume. The evidence for this was mixed based on several regressions with different functional forms. The second test arose from the fact that in 1992, because of an SEC rule change, all options were eligible to be multiple-listed but still only a few were. Spreads for multiple-listed options were conjectured to be equal to spreads for single-listed options because the single-listed options had the potential to become multiple-listed. Again, the evidence for this was mixed. It appears that the actual and potential competitive effects from multiple-listing had yet to come to fruition as of 1992. Further testing revealed that, on an option-by-option basis, spreads generally rose from 1985 to 1992.Master of Arts
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Runde, Andrew G. "How Insiders and Informational Events Affect Bid-Ask Spreads: A Simulation-Based Approach." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/841.
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This paper will examine the effects of inside information on bid-ask spreads when the probability of insider trading and the likelihood of an informational event occurring varies using a theoretical, simulation-based approach. The results show that bid-ask spreads narrow as the number of time periods increase, regardless of probability of insider trading or the likelihood of an informational event occurring. For a high, given likelihood of an informational event occurring, the highest average spreads were found for lower probabilities of insider trading as time increased. For a high, given probability of insider trading, the highest average spreads were found for lower likelihoods of an informational event occurring as time increased. The variances increased along with the probability of insider trading as well as with the likelihood of an informational event occurring. The maximum average spread settled near 0.25, typically found for a probability of insider trading of 1 and a likelihood of an information event occurring of 0.5. The results verify previous research done by Glosten and Milgrom (1985), Easley, Hvidkjaer and O’Hara (2002) and Potterton (2011). The results also may reconcile the differences between the findings of Easley, Hvidkjaer and O’Hara (2002) and Potterton (2011).
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Orozco, Marisa. "An Examination of Bid-Ask Spreads: How Do Management Forecasts Affect Information Asymmetry?" Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/945.
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This paper examines the effects of disclosures on information asymmetry by studying bid-ask spreads around independent management forecasts and earnings announcements released with forecasts. The findings suggest the disclosure of independent management forecasts increase information asymmetry in the market rather than resolving it. Regulation FD has reduced the overall level of information asymmetry in the market with respect to both earnings announcements and management forecasts although it has a greater effect on management forecasts, post-forecast spreads. Closer analysis reveals that when “good news” forecasts and separated from “bad news” independent management forecasts, good news management forecasts decrease information asymmetry. Since initial tests demonstrated that management forecasts increase information asymmetry, these findings suggests that the magnitude of the effect of bad news management forecasts is greater than that of good news forecasts.
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Mikheev, Sergej [Verfasser]. "Portfolio optimization in arbitrary dimensions in the presence of small bid-ask spreads / Sergej Mikheev." Kiel : Universitätsbibliothek Kiel, 2018. http://d-nb.info/1155760778/34.
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Smith, Michael Jens. "Intra-day bid-ask spreads, trading volume and return volatility : empirical evidence from the London SAQ market." Thesis, University of Reading, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.265986.
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Gerber-Helbling, Silvia A. "An analysis of 'Bid-Ask' spreads considering aspects of risk insurance, degree of competition and market liquidity." Thesis, University of York, 1994. http://etheses.whiterose.ac.uk/10945/.
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Choi, Fun Sang Daniel. "The efficiency of the London Traded Options Market : the implications of volatility, volume, and bid-ask spreads." Thesis, University of Stirling, 1993. http://hdl.handle.net/1893/23411.
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This study is a test of the efficiency of the London Traded Options Market. Because it uses the Black-Scholes Option Pricing Model, it is also a test of option pricing. In the process of examining call option price behaviour it investigates the effects of three empirical factors. First, it investigates the effect of a non-constant share price volatility. Hitherto, there has been no agreed procedure on modelling or forecasting the future share price volatility. This study shows that the GARCH process has the best forecasting accuracy. The ex ante GARCH volatility estimate is then incorporated in the Black-Scholes model. Because the volatility is assumed constant in the Black-Scholes model, the consideration of adapting the GARCH volatility into the model sheds insight on bridging empirical results and theoretical requirements. Second, because the London Traded Options Market is thinly traded the quoted prices may not reflect prices at which trade did or could take place. However, information on call option trading volume may not be available. This study develops and implements an analytical criterion to select the most actively traded call options. The call options selected by this criterion bear the basic characteristics of those frequently traded call options where trading volume is available. Third, this study uses the bid and ask quotations for shares and call options to test the efficiency of the London Traded Options Market. By incorporating the bid-ask spread directly in the establishment of arbitrage portfolios, an accurate assessment of transactions data can be made. The results of incorporating these factors in the test for market efficiency reveal that, despite the identification of mispriced call options, it would not have been possible to exploit the mispricing by setting up arbitrage portfolios. It must therefore be concluded that the London Traded Options Market was trading efficiently over the period of this study.
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Tsorakidis, Nikolaos. "The microstructure of the foreign exchange market : the determinants of bid-ask spreads in the foreign exchange market." Thesis, Aston University, 2010. http://publications.aston.ac.uk/16427/.
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The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered.
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Hill, Amelia Mary. "Three Essays on the Impact of Electronic Screen Trading in Futures Markets." Thesis, The University of Sydney, 2001. http://hdl.handle.net/2123/588.
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This dissertation consists of 3 essays that examine the impact of electronic screen trading in futures markets. The research provides empirical evidence on increasingly significant issues given the rapid global advances in technology used in securities markets. Each essay addresses the scarcity of conclusive research in order to aid researchers, regulators, exchange policy makers and systems builders as they confront issues related to electronic trading systems.
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Hill, Amelia Mary. "Three Essays on the Impact of Electronic Screen Trading in Futures Markets." University of Sydney. Finance, 2001. http://hdl.handle.net/2123/588.
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This dissertation consists of 3 essays that examine the impact of electronic screen trading in futures markets. The research provides empirical evidence on increasingly significant issues given the rapid global advances in technology used in securities markets. Each essay addresses the scarcity of conclusive research in order to aid researchers, regulators, exchange policy makers and systems builders as they confront issues related to electronic trading systems.
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Reed, Sara. "The Effect of the Introduction of a Clearinghouse on Trading Costs: The New York Stock Exchange in the 1890s." Scholarship @ Claremont, 2011. http://scholarship.claremont.edu/cmc_theses/290.
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As one of the oldest and most innovative financial institutions, a clearinghouse efficiently clears and settles payments for equity transactions as well as other securities. However, this paper will only be concerned with common and preferred equity securities. The purpose of a clearinghouse is to reduce counterparty risk. It acts as an intermediary between two parties, so that the risk of one party failing to honor its contractual obligation is diminished. It reduces settlement risk through netting, the process of eliminating offsetting transactions, thus decreasing the amount of cash flow. I examine the impact of the New York Stock Exchange Clearinghouse upon its establishment in May 1892. Specifically, I analyze the clearinghouse’s effect on trading costs for different equity securities, scrutinizing the effects on bid-ask spreads. I find that once a firm joined the NYSE clearinghouse, both its relative and absolute bid-ask spreads are narrowed, representing an overall reduction in spreads of 5.28 percent.
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Knudsen, Kenneth W. "Empirisk undersøgelse af bid-ask-spreadet = Empirical study of the bid-ask spread /." Aarhus : Institut for Økonomi, Aarhus Universitet, 2009. http://mit.econ.au.dk/Library/Specialer/2009/20041126.pdf.
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Niemeyer, Jonas. "Essays on market microstructure : empirical evidence from some Nordic exchanges." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 1994. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-885.
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This dissertation consists of five separate and self-contained essays. They have been written as distinct papers. Although there is a fair amount of overlap and cross-reference in analysis and discussion, the intention is that potential readers should be able to read them separately. Essay 1: An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange.This essay describes and analyzes the trading structure at the Stockholm Stock Exchange. In the empirical part, we report stylized facts based on intraday transaction and order book data, focusing on the intraday behavior of returns, trading activity, order placement and bid/ask spread, on the importance of the tick size and finally on some characteristics of the limit order book. Our main empirical conclusions are that a) the intraday U-shape in trading activity found in earlier U.S. studies on the whole also pertains to the Stockholm Stock Exchange, b) the limit order placement also follows an intraday U-shape, c) there is no distinct intraday pattern in returns, d) the volatility and bid/ask spread seems to be higher at the beginning of the trading day, e) the tick size is economically important, and f) the price impact of an order is a nonlinear function of its quantity, implying price inelastic demand and supply. Essay 2: An Empirical Analysis of the Trading Structure at the Stockholm Options and Forwards Exchange, OM.We first describe and analyze the trading structure at the Stockholm Options and Forward Exchange, OM Stockholm. It is characterized by some interesting market microstructure features, such as a high degree of transparency in a fully computerized trading system and a possibility to submit combination orders. We also present empirically results from tests on the intra- and interday trading volume of the OMX index derivatives, both in terms of number of contracts traded and in terms of number of transactions. There is evidence of a high degree of intraday variation in trading volume and some interday variation. The extension of trading hours of the underlying stocks, during the studied period should, according to modern trade concentration models, affect the distribution of trading across the day. Although no formal test of the models is possible with this data set, we are able to shed some supportive additional light on all of these models. Essay 3: Tick Size, Market Liquidity and Trading Volume: Evidence from the Stockholm Stock Exchange. (This essay was co-authored with Patrik Sandås.)The regulated tick size at a securities exchange puts a lower bound on the bid/ask spread. We use cross-sectional and cross-daily data from the Stockholm Stock Exchange to assess if this lower bound is economically important and if it has any direct effect on market depth and traded volume. We find a) strong support that the tick size is positively correlated to market depth and c) some support that it is negatively related to traded volume. We identify different groups of agents to whom a lower tick size would be beneficial and to whom it would be detrimental. Essay 4: An Analysis of the Lead-Lag Relationship between the OMX Index Forwards and the OMX Cash Index.This essay investigates the intraday lead-lag structure in returns between on the one hand the OMX cash index and on the other hand the OMX index forwards and the OMX synthetic index forwards in Sweden. The data set includes 22 months of data, from December 1991, to September 1993. It is divided into three sub-periods. The main conclusion is that there is a high degree of bidirectional interdependence, with both series Granger causing each other. Using a Sims-test, we find that the forwards as well as synthetic forwards lead the cash index with between fifteen and thirty minutes, while the cash index leads the forwards with about ten to fifteen minutes.. This implies a longer lead from the cash index to the forwards than in previous studies. The large interdependence could possibly be due to higher transaction costs, lower liquidity in the forward market and the specific trading environments used for Swedish securities. Essay 5: Order Flow Dynamics: Evidence from the Helsinki Stock Exchange. (This essay was co-authored with Kaj Hedvall.)This essay investigates the dynamics of the order flow in a limit order book. In contrast to previous studies, our data set from the Helsinki Stock Exchange encompasses the entire order book structure, including the dealer identities. This enables us to focus on the order behavior of individual dealers. We classify the events in the order book and study the structure of subsequent events using contingency tables. In specific, the structure of subsequent events initiated by the same dealer is compared to the overall event structure. We find that order splitting is more frequent than order imitation. Furthermore, if the spread increases as a result of a trade, other dealers quickly restore the spread, by submitting new limit orders. One conclusion is therefore that there exists a body of potential limit orders outside the formal limit order book and that there is a high degree of resiliency in our limit order book market. As a logical consequence, a large dealer strategically splits his order, in order for the market to supply additional liquidity. One interpretation of our results is that a limit order book market can accommodate larger orders than is first apparent by the outstanding limit orders. Another interpretation is that a limit order book structure gives room for informed traders to successively trade on their information. A third interpretation is that prices only slowly incorporate new information.Diss. Stockholm : Handelshögskolan, 1994
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Shaw, Matthew. "Bid-Ask Spread Modelling in the South African Bond Market." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29480.
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Pitsillis and Taylor (2014) calculate bid-ask spread estimates of South African government bonds over a single year, using the models of De Jong and Rindi (2009) and Huang and Stoll (1997). This dissertation tests the effectiveness of both models by comparing the modelled equity spread estimates against the actual equity spread estimates. Furthermore, this dissertation investigates the stability of the De Jong and Rindi (2009) and Huang and Stoll (1997) models in the bond market by extending the spread estimate dataset to run annually over 5 years. The final section of this dissertation proposes a new method of estimating the bond spread through the use of a Kalman filter, as it can be used to leverage information from an onscreen market (albeit a different market) to imply bid-ask spread estimates in an off-screen market. The results indicate that the Huang and Stoll (1997) model consistently outperforms the De Jong and Rindi (2009) model. Furthermore, the yield estimate results of Pitsillis and Taylor (2014) align with the results obtained in this dissertation. The spread estimate results are stable over the 5-year period, indicating a strong provision of liquidity by the Primary Dealers.
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Leventhal, Paul. "Three essays on the cost components of the bid-ask spread." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0018/NQ48306.pdf.
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Oduro, Samuel Dua. "Bayesian econometric modelling of informed trading, bid-ask spread and volatility." Thesis, University of Kent, 2016. https://kar.kent.ac.uk/61094/.
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Recent developments in global financial markets have increased the need for research aimed at the measurement and possible reduction of liquidity risk. In particular, market crashes have been partly blamed on the sudden withdrawal of liquidity in markets and increases in liquidity risk. To this end, it is important to develop better approaches for inferring or quantifying liquidity risk. Liquidity risk caused by some investors trading on their information advantage (informed trading) has been a subject of market microstructure research in the last few decades. Researchers have employed information-based models that use observed or inferred order flow to investigate this problem. The Probability of Informed Trading (PIN) is a measure which uses inferred order flow to quantify the extent information asymmetry. However, a number of computational issues have been reported to effect the estimation of PIN. Using an alternative methodology, we address the numerical problem associated with the estimation of PIN. Varied evidence of a relationship between volume and bid-ask spread has been documented in the extant literature. In particular, theory suggests that bid-ask spread and volume are jointly driven by a common process as both variables measure an aspect of liquidity. The complex relationship between these variables is time-varying since the informed trading component of order flow changes as trading takes place. Thus, volume and bid-ask spread may provide insight on the time-varying composition of economic agents trading an asset. We exploit the nonlinear relationship between traded volume and bid-ask spread to develop a model that can be used to infer informed and uninformed trading components of volume. The structure of the model and estimation methodology enhances the sequential processing and incorporation of past volume and bid-ask spread as conditioning information. The model is applied to two equities that trade on the New York Stock Exchange. Finally, to increase our understanding on the effects of liquidity risk on volatility, we also examine whether separating volume into informed and uninformed components can provide further insight on the relationship between liquidity risk and volatility.
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Groß-Klußmann, Axel. "An econometric analysis of intra-daily stock market liquidity, volatility and news impacts." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2012. http://dx.doi.org/10.18452/16572.
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In dieser Dissertation befassen wir uns mit ökonometrischen Modellen und empirischen Eigenschaften von Intra-Tages (Hochfrequenz-) Aktienmarktdaten. Der Fokus liegt hierbei auf der Analyse des Einflusses, den die Veröffentlichung von Wirtschaftsnachrichten auf die Aktienmarktaktivität hat, der Vorhersage der Geld-Brief-Spanne sowie der Modellierung von Volatilitätsmaßen auf Intra-Tages-Zeitintervallen. Zunächst quantifizieren wir die Marktreaktionen auf Marktneuigkeiten innerhalb eines Handelstages. Zu diesem Zweck benutzen wir linguistisch vorab bearbeitete Unternehmensnachrichtendaten mit Indikatoren über die Relevanz, Neuheit und Richtung dieser Nachrichten. Mit einem VAR Modell für 20-Sekunden Marktdaten der London Stock Exchange weisen wir durch Nachrichten hervorgerufene Marktreaktionen in Aktienkursrenditen, Volatilität, Handelsvolumina und Geld-Brief-Spannen nach. In einer zweiten Analyse führen wir ein long memory autoregressive conditional Poisson (LMACP)-Modell zur Modellierung hoch-persistenter diskreter positivwertiger Zeitreihen ein. Das Modell verwenden wir zur Prognose von Geld-Brief-Spannen, einem zentralen Parameter im Aktienhandel. Wir diskutieren theoretische Eigenschaften des LMACP-Modells und evaluieren rollierende Prognosen von Geld-Brief-Spannen an den NYSE und NASDAQ Börsenplätzen. Wir zeigen, dass Poisson-Zeitreihenmodelle in diesem Kontext signifikant bessere Vorhersagen liefern als ARMA-, ARFIMA-, ACD- und FIACD-Modelle. Zuletzt widmen wir uns der optimalen Messung von Volatilität auf kleinen 20 Sekunden bis 5 Minuten Zeitintervallen. Neben der Verwendung von realized volatility-Ansätzen konstruieren wir Volatilitätsmaße durch Integration von spot volatility-Schätzern, sodass auch Beobachtungen außerhalb der kleinen Zeitintervalle in die Volatilitätsschätzungen eingehen. Ein Vergleich der Ansätze in einer Simulationsstudie zeigt, dass Volatilitätsmaße basierend auf spot volatility-Schätzern den RMSE minimieren.In this thesis we present econometric models and empirical features of intra-daily (high frequency) stock market data. We focus on the measurement of news impacts on stock market activity, forecasts of bid-ask spreads and the modeling of volatility measures on intraday intervals. First, we quantify market reactions to an intraday stock-specific news flow. Using pre-processed data from an automated news analytics tool we analyze relevance, novelty and direction signals and indicators for company-specific news. Employing a high-frequency VAR model based on 20 second data of a cross-section of stocks traded at the London Stock Exchange we find distinct responses in returns, volatility, trading volumes and bid-ask spreads due to news arrivals. In a second analysis we introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. We discuss theoretical properties of LMACP models and evaluate rolling window forecasts of quoted bid-ask spreads for stocks traded at NYSE and NASDAQ. We show that Poisson time series models significantly outperform forecasts from ARMA, ARFIMA, ACD and FIACD models in this context. Finally, we address the problem of measuring volatility on small 20 second to 5 minute intra-daily intervals in an optimal way. In addition to the standard realized volatility approaches we construct volatility measures by integrating spot volatility estimates that include information on observations outside of the intra-daily intervals of interest. Comparing the alternative volatility measures in a simulation study we find that spot volatility-based measures minimize the RMSE in the case of small intervals.
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Chan, Ka Ming Camay. "The profitability of index futures spread arbitrage strategies with bid and ask index quotes." HKBU Institutional Repository, 2001. http://repository.hkbu.edu.hk/etd_ra/337.
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Rianço, Nelson Manuel Sobral. "Modelo com regimes para os preços e a liquidez de acções em bolsa." Master's thesis, Faculdade de Ciências e Tecnologia, 2009. http://hdl.handle.net/10362/4096.
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Dissertação apresentada à Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de mestre em Matemática e Aplicações - Ramo Actuariado, Estatística e Investigação OperacionalLiquidez, nos mercados de acções, pode ser definida por várias quantidades concorrentes directamente observadas. Através da revisão da literatura concluímos que, apesar de um grande número de opiniões e dimensões da liquidez, os mais discutidos são o bid-ask spread (seguidamente designado por BAS) ver [12], [15],[26], [40], [46], [96], [108], [124] e [127] e o volume das transacções em [35], [104],[113], [132] e as suas referências. Uma série de estudos empíricos referenciados nos estudos citados, mostram a influência recíproca da liquidez nos níveis dos preços e dos níveis dos preços nas diversas medidas de liquidez. Iremos reportar neste trabalho, a análise estatística de ambos, o BAS e o volume das transacções, para um grande conjunto de acções estudadas, mostrando que a quantidade que tem melhores propriedades estatísticas que permitem o modelo log-normal é o volume das transacções expressa na moeda local. Propomos um modelo para a evolução do preço das acções em bolsa que incorpora a informação contida nos valores da liquidez expressa na moeda local. O modelo é dado por um sistema de equações diferenciais estocásticas, uma para o preço e outra para a liquidez, têm parâmetros de mudança de regime que mudam de acordo com as transformações dos limiares pelas trajectórias do processo. Por meio de um estudo de simulação, apresentamos algumas das propriedades do modelo e mostramos que permite recuperar algumas das características da evolução de uma acção típica do mercado de acções português.
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Batty, Richard Andrew. "Anomalies on the London Stock Exchange : the influence of the bid-ask spread and nonsynchronous trading." Thesis, Brunel University, 1994. http://bura.brunel.ac.uk/handle/2438/5127.
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This thesis tests for seasonal anornalies and daily predictability on the UK stock market and investigates how mispricing caused by the bid-ask spread, known as the 'touch' and nonsynchronous trading in portfolio returns may explain these anomalies. By using constructed portfolios within a th-ne-series regression framework, I show that seasonality, in the first instance, is prominent in returns around the turn of the week and the turn of the year. However, this seasonal returns behaviour disappears when the touch is accounted for. Indeed, seasonality seerns to occur in the touch rather than returns. Despite this touch explanation, lagged returns remain significant, suggesting return predictability. In fact, when using a price adjustment model returns are predictable across portfolios. This predictability, while to some extent dependent upon firm size and the touch, may be accounted for by nonsynchronous trading. First-order autocorrelation and cross-autocorrelation found in returns proves more indicative of infrequent trading than return predictability. Thus, these results confirm that mismeasurernent in portfolio returns caused by market microstructure and nonsynchronous trading can create false inferences about the extent of stock market anornalies in the UK and subsequently, market efficiency.
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Klimes, Micong. "Liquidity in the German stock market : an analysis using order book data /." Marburg : Tectum, 2007. http://deposit.d-nb.de/cgi-bin/dokserv?id=2987370&prov=M&dok_var=1&dok_ext=htm.
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Serdyuk, Anna. "Cost of trading, effective liquidity measures, and components of the bid-ask spread in the emerging stock market of Ukraine." Thesis, University of Edinburgh, 2010. http://hdl.handle.net/1842/5688.
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The thesis studies aspects of the cost of equity trading in the emerging stock market of Ukraine. The market is quite new (opened in 1997 but started to operate actively only in 2004) and little research on this market has been done so far. The market appears to offer lucrative investment opportunities that attract attention of both Ukrainian and foreign investors but the cost of trading Ukrainian stocks is quite high and can considerably decrease the returns to investors. The empirical part of the thesis is based on the transactions data from the main trade floor in Ukraine, PFTS, for 59 Ukrainian stocks during 2004-2006. The cost of equity trading in Ukraine is found to be quite high compared to many other stock markets, both developed and emerging. An in-depth study has shown that the medium-sized trades are the cheapest to execute, followed by large and then small trades. The reason for the pattern is seen in the price improvement suggested by brokers to the larger, more valued customers in order to keep the business with them and is in line with the findings in other literature for dealership markets (Reiss and Werner (1996), Hansch et. al (1999), and Huang and Stoll (1996)). The average cost of institutional sale trades exceeds the average cost of institutional buy trades at any market condition (falling, neutral, or rising), which is a puzzling result given that sales are often found in the literature to be more expensive in falling market, while purchases are more expensive in rising market. The efficacy of a number of measures of liquidity is studied. In line with findings for other emerging markets, it is shown that the proportion of zero daily returns (Lesmond (1999)) and the proportion of no-trading days are the most reliable liquidity measures for the Ukrainian stock market. Turnover, a measure widely applied in literature for developed stock markets, has a very small power for measuring liquidity in Ukraine. The spread components are estimated by applying three spread decomposition models most frequently referred to in literature: Stoll (1989), Glosten and Harris (1988), and Huang and Stoll (1997). The estimation results show a low importance of the asymmetric information component, which is surprising given that insider trading is considered a serious risk in Ukraine. To present the importance of incorporating the transactions costs into portfolio return analysis, a momentum trading strategy is examined. It is shown that momentum portfolio returns decrease considerably when the cost of trading is taken into account.
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Spirakos-Papastavridis, Spiridon. "On the trading volume and time effects on the bid-ask spread components of NYSE and NASDAQ common stocks." Thesis, University of Warwick, 2004. http://wrap.warwick.ac.uk/1223/.
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The study of the bid-ask spreads of stocks is important since they constitute the mechanism through which trading costs are incorporated into prices and recovered by market-makers. Realized spreads are a measure of the trading costs which private and institutional investors have to cover whereas quoted spreads are important in revealing the price-generating mechanisms involved. A comprehensive trade-indicator model of the bid-ask spread of common stocks has been developed which, unlike previous research, has incorporated trading volume, the depth at the quoted prices, the waiting-time between trades, as well as the fixed-cost-of-trade into equations for the changes in the quoted-spread, the ask, the bid and the transaction prices. The parameters of the models have been estimated using intraday data of NYSE and NASDAQ stocks, split into deciles on the basis of their trading activity as measured by the number of shares traded. For both exchange mechanisms I find that a large adverse-selection cost, which depends on the trading volume and a smaller inventory-holding cost are present in the quoted spread and that the parameters of both of these vary with trading activity. These costs are asymmetric in the bid and ask sides of the quoted spread, a feature not analyzed in previous empirical work. Only a small part of these costs is recovered in the realized spread through trading. My estimates of the adverse-selection cost present in the realized spread are close to the values given by other researchers but the size of the inventory-holding cost is found to be much lower probably owing to the shorter time-horizon of the data employed. The depth at the quotes is found to be symmetric, to affect the size of the spread of both the NYSE and NASDAQ stocks and also to be present in the realized spread. The parameters of the above components, as well as the fixed-cost-of-trade, are estimated and their patterns for the two trading mechanisms examined are compared and contrasted. Weak evidence is found for the waiting-time between trades both in the quoted and the realized spread. The results of this thesis, apart from offering support for recent empirical evidence which indicates that information first enters the price-process through the depths of the quotes and not the spread, also contribute to the formation of a more theoretically sound explanation. Moreover, the finding in this thesis that the adverse-selection cost for NASDAQ is larger compared to that of NYSE stocks is in line with other recent empirical research
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Kyröläinen, P. (Petri). "Essays on investor behavior and trading activity." Doctoral thesis, University of Oulu, 2007. http://urn.fi/urn:isbn:9789514284366.
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Abstract
This thesis investigates a set of equity market phenomena associated with investors' trading activity, using a comprehensive Finnish Central Securities Depository (FCSD) database that records practically all trades by Finnish investors. This database enables us to classify a large number of heterogeneous investors using both economic and institutional characteristics.
The first essay classifies investors by trading activity. It analyzes trading styles of active and passive investors during the boom in technology stocks 1997–2000. We find that the herding tendency of active investors grew monotonically, year by year. Particularly large active investors used momentum and growth strategies. Moreover, buy pressures of active investors were positively related to contemporaneous daily returns. Passive investors, on the other hand, herd very strongly and their trading exhibited a contrarian style throughout the sample period.
The second essay focuses on the relation between day trading of individual investors and intraday stock price volatility. I find a strong positive relation between the individual investors' day trades and volatility for actively day traded stocks. This finding suggests that day trading tends to increase volatility and/or day traders tend to become more active on the days of high volatility.
The third essay tests the theoretical proposition of Amihud and Mendelson (1986) that investors hold assets with higher bid-ask spreads for longer periods. We measure holding periods of individual investors directly and find that they are positively related to spreads. The models control for a variety of other stock characteristics (e.g. value vs. growth orientation) and investors' attributes (e.g. gender) affecting holding periods.
The fourth essay studies how both individual and institutional investors with different levels of capital gains and losses react to earnings announcements. I find that both sign and magnitude of capital gains affect individual investors' abnormal trading volumes. Individual investors are less prone to sell when they are carrying loses rather than gains. Furthermore, they react less to earnings announcements when capital gains or losses are large (over 20%). Taken together these findings provide support for prospect theory. Institutional investors appear to be less affected by psychological factors underlying prospect theory.
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Nguyen, Ngoc Dung. "Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets." Thesis, Brunel University, 2010. http://bura.brunel.ac.uk/handle/2438/4405.
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This thesis aims to investigate the influence of earnings news on stock liquidity and the relationship between information asymmetry cost component and Post Earnings Announcement Drift in different equity markets. The scope of this research includes 1821 firms from three leading countries in capital trading, the United States, United Kingdom, and France. The first part of empirical work, the univariate panel analysis, shows that price reaction, volume response and liquidity effect are profound during short term event window length and reduce over time when the news ceases, The second part, a multivariate regression analysis which uses Generalised Method of Movement to capture both the problems of a likely presence of endogeneity between the explanatory variables and cross-stock heterogeneity,shows that the impact of earnings announcement on stock liquidity can split in two directions. The immediate effect is the shock after the news, causing stock liquidity to decrease immediately by lifting the illiquidity function upward. After the event, from the new increased position of illiquidity function, stock liquidity improves over time due to the trading volume increases and shifts the slope of illiquidity function downward. The overall effects at a point of time will be the total impact of the two side effects. And as shown in the results, the overall impact on the US and UK markets are that stock liquidity decreases and that on Euronext Paris the stock liquidity increases. Given that in accounting there are two types of systems of which common law system includes the US, UK and others, and code law system includes France and the rest, the above results could suggest the difference between the two systems is that the information asymmetry component dominates the bid-ask spread in common law countries as in the US and UK markets while the cost of trading dominates the bid-ask spreads in code law countries such as France. Finally, it is shown that there are several determinants of the PEAD, of which stock liquidity is one. Earnings news changes the stock liquidity, and therefore stock liquidity plays a role in the market response. When earnings news is released, it initially creates a gap between the informed traders and the uninformed traders, increasing the bid ask spread. Over time, this information gap decreases, however in the meantime more information on the market increases trading volume and reduces trading cost, leading to another part of the bid ask spread decreasing or stock liquidity improving. After decomposing bid ask spread into information asymmetry cost and cost of trading components, the final part of empirical analysis shows that information asymmetry cost component provides a partial explanation for PEAD in the London Stock Exchange and Euronext Paris.
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Fransson, Abbe. "Reverse Stock Splits : An Empirical Approach to the Signaling and Trading Range Hypotheses on Swedish Stocks Subject to Reverse Split between 1995 and 2004." Thesis, Jönköping University, JIBS, Economics, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-268.
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Den här uppsatsen behandlar företag som är listade på Stockholmsbörsen som gjorde omvänd split mellan 1995 och 2004. Företagen är testade för abnormal avkastning kring tillkännagivandet av den omvända spliten, samt förändringar i köp-sälj ratio, handels volym och antalet handelsdagar där ingen handel skedde i aktien. Inga abnormala avkastningar eller signifikanta förändringar i köp-sälj ration eller handelsvolymen kunde hittas. Däremot så visar förändringen i antalet handelsdagar utan handel i aktien en försämring och antalet handelsdagar minskade i de aktier som genomgått en omvänd split. Detta medför att likviditeten minskade för de företag som genomförde en omvänd split.
This paper addresses reverse splits for firms trading on the Stockholm stock exchange between 1995 and 2004. The related sample are tested for abnormal returns surrounding the announcement day of the reverse split, as well as any changes in bid-ask spread, trading volume and the number of non-trading days. No findings of abnormal returns or significant changes in either bid-ask spread or trading volume could be found, while the number of non-trading days for the whole sample increased. This may suggest that the marketability decreased for the reverse splitting firms.
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Molin, Tove, and Daniel Hasanzadehhaddad. "Effekten av frivillig redovisning på kapitalmarknaden : En studie om informationsinnehållet i kvartalsrapporter." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-354774.
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Vilken effekt frivilligt redovisad information har på kapitalmarknaden är en omstridd fråga i litteraturen. Vissa menar att mer information minskar informationsasymmetrin på kapitalmarknaden medan andra finner motsatt resultat, där en förklaring är information overload. Denna studie bidrar till frågan genom att studera rapportlängden samt informationsinnehållet i kvartalsrapporter från 155 bolag noterade på Nasdaq Stockholm under åren 2015-2016, där bid-ask spread och handelsvolym används som mått på informationsasymmetri. Av fyra genomförda regressionsanalyser visar två signifikanta resultat. De signifikanta resultaten visar att frivilligt redovisad information höjer handelsvolymen, vilket indikerar att informationsasymmetrin på kapitalmarknaden minskar. Detta resultat har betydelse för såväl företag som standardsättare såsom IASB eftersom det tyder på att den svenska marknaden efterfrågar mer redovisad information.
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Popescu, Marius. "Two Essays on the Probability of Informed Trading." Diss., Virginia Tech, 2007. http://hdl.handle.net/10919/27500.
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This dissertation consists of two essays. The first essay develops a new methodology for estimating the probability of informed trading from the observed quotes and depths, by extending the Copeland and Galai (1983) model. This measure (PROBINF) can be computed for each quote and it represents the specialistâ s ex-ante estimate of the probability of informed trading. I show that PROBINF exhibits a strong and robust relationship with the observed level of insider trading and with measures of the price impact of trades (ë) estimated based on the models of Glosten and Harris (1988), Madhavan and Smidt (1991) and Foster and Viswanathan (1993). In contrast, the alternative measure of the probability of informed trading (PIN) developed by Easley, Kiefer, Oâ Hara and Paperman (1996) exhibits a weaker and less robust relationship with insider trading and price impact of trades. The time series pattern of PROBINF in an intra-day analysis around earnings announcement is consistent with previous findings regarding informed trading. An important advantage of PROBINF over PIN and other measures of information asymmetry such as price impact of trades and adverse selection component of the spread is that, unlike these measures, it can be estimated for each quote, and thus can also be used to measure intra-day changes in informed trading and information asymmetry.
In the second essay, I examine whether the underwriting syndicate composition influences the secondary market liquidity for initial public offerings (IPOs). Specifically, I argue that co-managers improve the liquidity of IPOs through the other services they provide, besides market making. Using a comprehensive sample of initial public offerings completed between January 1993 and December 2005, I find that IPOs with a high number of co-managers in their syndicates have lower spreads and a lower level of information asymmetry in the aftermarket. I argue that the information produced during the premarket and the analyst coverage in the aftermarket are the main channels through which co-managers mitigate the information asymmetry risk in the secondary market.Ph. D.
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Ribeiro, Miguel Valgôde. "Análise da evolução da liquidez no mercado acionista português : o impacto da fusão das bolsas e entrada na Euronext." Master's thesis, FEUC, 2015. http://hdl.handle.net/10316/29792.
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Trabalho de projeto do mestrado em Economia (Economia Financeira), apresentado à Faculdade de Economia da Universidade de Coimbra, sob a orientação de Helder Miguel C. V. Sebastião.O objetivo deste trabalho é estudar o impacto da fusão da Bolsa de Valores de Lisboa e da Bolsa de Derivados do Porto em 2000, e da entrada da resultante Bolsa de Valores de Lisboa e Porto na rede internacional NYSE Euronext 2002, nos níveis de liquidez do mercado financeiro português. Para este fim são utilizados os dados relativos a 16 empresas cotadas, com maior valor de mercado para o período de 1995 a 2010, para criar índices de Amihud, spread bid-ask relativos, e rácios de turnover, com o fim de obter variáveis que transmitam a evolução da liquidez para um portefólio constituído por estas empresas. Realizam-se a estas medidas testes de quebra estrutural, como o teste Chow, para identificar o grau de rutura caso exista, para os períodos descritos. Procede-se à construção de um modelo de liquidez para o período em causa.
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Hachicha, Amel. "Modélisation du bid-ask-spread sur un marché d'actions : intégration des coûts d'éxécution des ordres, de contrôle d'inventaire et de sélection adverse." Aix-Marseille 2, 1998. http://www.theses.fr/1998AIX24018.
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Kaul, Michael. "Kurspolitik von Aktienhändlern : ein Finanzmarktmodell mit unvollständiger Information /." Wiesbaden : Dt. Univ.-Verl, 2001. http://www.gbv.de/du/services/toc/bs/328985414.
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Küster-Simić, André. "Orderbuchtransparenz, Bietverhalten und Liquidität /." Wiesbaden : Dt. Univ.-Verl, 2001. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009498556&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Adeinat, Iman. "Two Essays on Oil Futures Markets." ScholarWorks@UNO, 2011. http://scholarworks.uno.edu/td/1289.
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The first chapter of this dissertation estimates the relative contributions of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes the effects of trading characteristics on the information share of these two markets. Trading characteristics examined in the study include trading volume, trade size, and trading costs. On average, CME is characterized by greater volume and trade size but also slightly greater bid-ask spread. CME leads the process of price discovery and this leadership is caused by relative trade size and volatility before the financial crisis of 2008; however post-crisis period this leadership is caused by trading volume. Moreover, this study presents evidence that, in times of large uncertainty in the market, the market maker charges a greater bid-ask spread for the more informative market. The second chapter examines the influence of expected oil price volatility, the behavior of the Organization of Petroleum Exporting Countries (OPEC), and the US Dollar exchange rate volatility on the backwardation of crude oil futures during the period from January 1986 to December 2008. The results indicate that oil futures are strongly and weakly backwardated 57% and 69% of the time, respectively. The regression analysis of weak backwardation shows that oil volatility, OPEC overproduction (difference between quota and the actual production), and the volatility of the US Dollar against the Japanese Yen have a positive significant effect on oil backwardation, while OPEC production quota imposed on its members has a negative significant effect on oil backwardation. However the volatility of US Dollar against the British Pound has no significant effect on oil backwardation. The regression analysis of strong backwardation produces qualitatively the same results except that volatility has no effect. In a sub-period analysis, evidence also indicates that trading volume of oil funds and backwardation are negatively related, suggesting that oil funds increase the demand of futures relative to that of spot.
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Baršauskaitė, Skaistė. "Lietuvos akcijų rinkos pasiūlos ir paklausos srautų analizė." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2008. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20080716_112521-25059.
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Lietuvos akcijų rinkos pasiūlos ir paklausos srautų analizei buvo pasirinktos 9 akcijos. Jas, pagal įvykusių sandorių skaičių ir vertę, galima suskirstyti į tris grupes: nelikvidžios, pusiau likvidžios ir likvidžios akcijos. Šių akcijų, viešai skelbiami rinkos gylio ir įvykusių sandorių, duomenys buvo imami iš Vilniaus vertybinių popierių biržos internetinio puslapio http://www.baltic.omxgroup.com/ nuo 2008 02 25 iki 2008 04 18. Darbe buvo skaičiuojami paprastas (inside bid-ask spread), efektyvus (effective spread) ir užfiksuotas kainų skirtumai. Roll matas skaičiuojamas remiantis akcijų įvykusių sandorių kainomis, kurių skirtumų stacionarumas ištirtas RA-kriterijumi (reverse arrangement test). Kaip ir buvo galima tikėtis, parodyta, kad pasirinktų akcijų rinka yra neefektyvi. Dėl šios priežasties, kiekvienai akcijai apskaičiuotas Roll matas yra labai grubus. Naudojant C++ programavimo kalbą, buvo sukurta programinė įranga: • Duomenų skaitymui iš interneto; • Duomenų bazės kūrimui, apdorojimui ir redagavimui; • Duomenų analizei.Nine types of stock were chosen to analyse quoted bid-ask spread of Vilnius Stock Exchange. According to the value and number of transactions of the stock, it can be divided into three groups: non-liquid, half-liquid and liquid stock. Public market depth information and data of trade was taken from Vilnius Stock Exchange website http://www.baltic.omxgroup.com/ during the period from 25th February 2008 to 18th April 2008. In my work I have analysed inside bid-ask spread, effective spread and fixed prices. Roll measure was measured using trade prices of stock; stationarity of differences of trade prices were examined using reverse arrangement test. As had been expected, I came to conclusion that the stock market for chosen stocks is informationally inefficient. Due to this reason the Roll measure is not correct. By using C++ programming language the following programming tools were created: • Data reading from internet tool; • Data collection and correction tool; • Data analysis tool.
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Oliveira, Nelson Bueno de. "O impacto do aumento do disclosure na redução da assimetria de informação, abordada como componente do custo de capital próprio." Universidade Presbiteriana Mackenzie, 2016. http://tede.mackenzie.br/jspui/handle/tede/2815.
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The aim of this study is to analyze the economic benefits of transparency or corporate disclosure. It is estimated the reduction of information asymmetry, which is a component of the cost of equity, due to the mandatory adoption of IFRS in Brazil, the level of commitment to corporate governance and the ADR issuance at the New York Stock Exchange. It uses the proxy bid-ask spread to estimate the asymmetry of information, as the dependent variable. The sample consists of non-financial companies of the Ibovespa index. In addition to disclosure variables, this study also analyzes the control variables like size, free float, risk and profitability. The conclusion of this dissertation confirms the initial expectations, in the sense that a higher corporate level of disclosure implies in a reduction of the asymmetry of information. Corporate governance variable, although significant, has a positive relationship with asymmetric information. This result is the opposite of what is expected by theory and can be subject of further studies. It is also statistically significant the expected positive relation between information asymmetry and the beta control variable.
O objetivo deste estudo é analisar os benefícios econômicos da transparência ou disclosure empresarial. Avalia-se a redução da assimetria de informação, que é um componente do custo de capital próprio, em função da adoção obrigatória das IFRS no Brasil, do nível de compromisso com governança corporativa e da emissão de ADR junto à Bolsa de Nova Iorque. Utiliza-se a proxy bid-ask spread para estimar a assimetria de informação, como variável dependente. A amostra é composta pelas empresas não financeiras do índice Ibovespa. Além das variáveis de disclosure, analisa-se as variáveis de controle tamanho, free float, risco e rentabilidade. A conclusão da dissertação é aderente à expectativa inicial, no sentido de que um maior nível de disclosure empresarial implica em uma redução da assimetria de informação. A variável governança corporativa, apesar de significativa, possui relação positiva com a assimetria de informação. Esse resultado é o oposto do esperado pela teoria e pode ser objeto de estudos futuros. Encontra-se também significância estatística na relação positiva esperada entre assimetria de informação e a variável de controle beta.
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Cisneros, Prado Jimson. "Análisis de los determinantes del Spread bid-ask e influencia en la medición del riesgo de mercado de cartera de acciones : aplicación a fondos de pensiones peruanas y chilenas." Master's thesis, Pontificia Universidad Católica del Perú, 2018. http://tesis.pucp.edu.pe/repositorio/handle/123456789/12753.
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Actualmente, la herramienta más usada para medir las pérdidas esperadas de carteras de inversión
(acciones) ante cambios adversos del mercado es el Value at Risk (VaR), el cual supone para su
aplicación una alta liquidez de los activos que conforman el portafolio, sin embargo, gran parte de
los activos negociados en economías emergentes, como el peruano, presentan determinados
problemas de liquidez, por lo que, el VaR viene sesgando la medición de las pérdidas potenciales
que sufrirían los inversionistas. Asimismo, la crisis del 2008 trajo como consecuencia, por parte de
autoridades normativas, mayores exigencias para mejorar la gestión del riesgo financiero,
sugiriendo así, contemplar los efectos del riesgo de liquidez en la gestión de portafolios.
Acorde a ello, la teoría de la microestructura de los mercados financieros señala que los Spreads
bid-ask son considerados como un indicador de liquidez del mercado de acciones y como una
medida estándar de los costos de negociación bursátil, por lo que, Bangia et al. (1998) sugieren su
uso como una herramienta fundamental en la gestión del riesgo de mercado y liquidez de carteras
de acciones. En este sentido, el objetivo del presente trabajo es encontrar cómo y en qué forma los
costos de negociación (Spreads) son afectados por las variables del mercado bursátil, y luego,
evaluar los posibles efectos de la volatilidad de los Spreads en la medición del riesgo de mercado
de carteras de acciones (VaR).
Con este fin, el presente trabajo de investigación usa la metodología ARDL y el Modelo de
Corrección de Errores (MCE) para testear la existencia de relación de largo plazo del Spread con el
volumen de negociación, precio y volatilidad de los retornos de las acciones de la BVL; así como
también, para estimar la relación dinámica de corto plazo y entender su mecanismo de transmisión
de los efectos. Por último, aplica la metodología del Value at Risk ajustado por riesgo de liquidez
(L-VaR) propuesto por Bangia et al. (1998) a carteras de acciones administradas por AFP’s
peruanas y chilenas a fin de medir el costo de liquidez y evaluar su efecto en la medición del riesgo
de mercado de estas carteras.
Como primeros resultados, el modelo ARDL encuentra evidencia empírica para el mercado bursátil
peruano de la existencia de una relación de corto y largo plazo (cointegración) entre el Spreads bidask
de las acciones y las variables del mercado bursátil (precio, volumen, volatilidad y formadores
de mercado (market maker)). Asimismo, el MCE muestra que los Spreads de las acciones menos
líquidas de la BVL, tienen un periodo promedio de ajuste lento de casi 4 días de negociación para
su restablecimiento debido a choques bursátiles temporales de los mercados; ajuste lento explicado,
en parte, por la escasa presencia de market makers en el mercado bursátil peruano al no garantizar
flujos de transacción mucho más continua de los valores.
Finalmente, en la evaluación de los efectos de los Spreads sobre la medición del riesgo de mercado,
se encuentra que, en mercados con poca presencia de market makers, la volatilidad de los Spreads
bid-ask genera un componente adicional mayor de Costo de Liquidez Exógena (CLE) que conlleva
a subestimar la medición del riesgo de mercado del VaR tradicional. En este sentido, la metodología
L-VaR, el cual contempla el ajuste para capturar las volatilidades de los Spreads, evidencia que las
inversiones en carteras de acciones locales peruanas exhiben una exposición de riesgo de liquidez
(CLE) promedio de 5.5% (2.8 veces el CLE chileno), riesgo asociado, en general, a problemas de
eficiencia de mercados bursátiles, los cuales no serán contemplados mientras se ignoren los
Spreads en los análisis. Asimismo, se encuentra que la metodología ajustada L-VaR mejora la
capacidad predictiva del riesgo total que podrían sufrir los fondos, en términos de Backtesting.Tesis
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Vorster, Barend Christiaan. "Liquidity premium and investment horizon a research report on the influence of liquidity on the return and holding period of securities on the Johannesburg Stock Exchange /." Diss., Pretoria : [s.n.], 2008. http://upetd.up.ac.za/thesis/available/etd-08122008-115611/.
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Roth, Lukas. "Marktliquidität von Aktien /." Berlin : dissertation.de, 2007. http://www.dissertation.de/buch.php3?buch=5144.
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Oliveira, Marcelo Rodrigues de. "Determinantes do bid-ask spread e efeitos dia-da-semana e fim-de-m??s na BOVESPA: um estudo emp??rico no per??odo de mar??o a dezembro de 2012." FECAP - Faculdade Escola de Com??rcio ??lvares Penteado, 2015. http://132.0.0.61:8080/tede/handle/tede/401.
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Previous issue date: 2015-08-25Bid-ask spread is a key measure to evaluate the dynamics of stock prices. The literature show us that the main determinants of bid-ask spread are market capitalization, price level, price volatility and traded volume. Theories for bid-ask spread, discussed by Market Microstructure, define three reasons for their existence: (i) order processing costs; (ii) inventory control and (iii) information asymmetry. The information asymmetry, that is a key concept for the efficient market hypothesis, establishes the link between bid-ask spread and those factors that influence prices in a way not related to risk, which should be discussed by behavioral finance s perspective. The behavioral finance s literature searches for answers of questions in which stock prices does not reflect their values in a rational way. These situations are called market anomalies. Among the main anomalies, there are calendar anomalies, where it is possible to observe price behaviour related to moments of time, consistently. The objective of this study is to make a empirical and quantitative evaluation of the Day-of-Week Effect (DoW) on bid-ask spread of BOVESPA s stock prices. The work of Narayan, Mishra and Narayan (2014), about the relation between bid-ask spread determinants and Day-of-Week Effects, using NYSE stock data, found evidence of those effects, at first. Secondly, they found that bid-ask spread, stock price, traded volume and price volatility, in panel data setting are cointegrated and prices, volume and volatility have different effects in the bid-ask spread for each trading day. In this study, using BOVESPA data of 2012, from march to december, calendar anomalies are not confirmed in bid-ask spread. However, when we analized diary returns of stock prices, it was observed that Day-Of-Week and End-Of-Month effects were significant at 1% and Day-Of-Week effect is augmented in the period of end of month
O bid-ask spread ?? uma medida importante para a avalia????o da din??mica de pre??os de a????es. A literatura mostra que os seus principais determinantes s??o a capitaliza????o de mercado da empresa, o n??vel de pre??o da a????o, a volatilidade do pre??o da a????o e o volume negociado. As teorias para o bid-ask spread, tratadas pela Microestrutura de Mercado, definem tr??s raz??es para sua exist??ncia que s??o: (i) os custos de processamento das ordens; (ii) controle de invent??rio e (iii) assimetria informacional. A assimetria informacional, que ?? um conceito central na discuss??o sobre a efici??ncia dos mercados, estabelece a liga????o entre o bid-ask spread e os fatores que influenciam os pre??os de maneira n??o relacionada a riscos, os quais devem ser abordados sob o enfoque das finan??as comportamentais. A literatura de finan??as comportamentais aborda uma variedade de situa????es em que os pre??os de a????es n??o refletem de maneira racional o seu valor. Estas situa????es s??o chamadas de anomalias de mercado. Entre as principais anomalias, temos as anomalias de calend??rio, em que observamos o comportamento dos pre??os relacionado a um momento no tempo, de forma consistente. O objetivo deste estudo ?? avaliar, de maneira emp??rica e quantitativa, se existe o efeito dia-da-semana no bid-ask spread na Bovespa. O estudo de Narayan, Mishra e Narayan, de 2014, sobre a rela????o entre os determinantes do bid-ask spread e o efeito dia-da-semana para a bolsa de NY comprovou a exist??ncia do efeito dia-da-semana no bid-ask spread. Tamb??m teve como achados que o bid-ask spread, o pre??o da a????o, volume negociado e a volatilidade do pre??o da a????o, tomados em painel, s??o cointegrados e que o pre??o, o volume e a volatilidade tem efeitos diferentes no bid-ask spread nos diferentes dias de negocia????es. Neste estudo, com dados da bolsa de valores de S??o Paulo de Mar??o a Dezembro de 2012, n??o foram comprovadas as anomalias de calend??rio no bid-ask spread, por??m nos testes com retornos di??rios, observou-se que os efeitos dia-da-semana e fim-de-m??s s??o significantes a 1% e que o efeito dia-da-semana ?? mais pronunciado quando ocorre nos dias de fim do m??s
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Silva, Ana Lúcia Pinto da. "Três ensaios sobre liquidez do mercado secundário de títulos públicos no Brasil." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8490.
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A tese tem como objetivo discutir a liquidez do mercado secundário de títulos da dívida pública no Brasil. Em três ensaios, defende que problemas de organização do mercado prejudicam a ampliação da liquidez e que a formação de preços nesse mercado acompanha as taxas do mercado futuro de depósitos interfinanceiros – DI futuro, e não o contrário, como esperado, já que a presença de títulos de elevada liquidez no mercado à vista é que deveria desenvolver o mercado futuro. O primeiro ensaio mede e estima os determinantes do bid-ask spread cotado (indicador de liquidez) para cada vértice de taxa de juros, tendo como referência os vencimentos dos títulos pré-fixados em cabeça de semestre: LTNs (LTN-13 e LTN-11) e NTNFs- (NTNF-17, NTNF-14). Mercados com menores spreads são mais líquidos, mercados com spreads maiores são menos líquidos. Os modelos empíricos foram estimados por meio de análises de séries de tempo. O trabalho utiliza o cálculo do bid-ask cotado para medir a liquidez dos títulos em análise, medido pela diferença entre o ask price e o bid price de fechamento do mercado. A estimação dos determinantes da liquidez de mercado foi realizada com base no método dos mínimos quadrados ordinários (MQO). O modelo testa se maturidade e volume de negócio determinam o bid-ask spread dos títulos. Mercados com menores spreads são mais líquidos do que mercados com maiores spreads. Os resultados mostram que a mediana e a média do bid-ask spread cotado crescem com a maturidade dos títulos. Os sinais dos parâmetros das regressões confirmam para a maioria dos vértices dos vértices analisados neste trabalho a hipótese inicial de que o bid-ask spread aumenta com a elevação maturidade e diminui com maior volume negociado, confirmando a hipótese de baixa liquidez dos títulos públicos no mercado secundário brasileiro. O segundo ensaio analisa uma singularidade relevante do mercado brasileiro: a dependência da formação dos preços e da taxa de juros no mercado secundário de títulos públicos (LTN e NTNF) em relação ao DI futuro. As variáveis utilizadas foram o bid-ask spread cotado e o volume negociado no mercado de títulos públicos e de DI futuro. O ensaio utiliza tanto o método de Granger (1969), que tem como suposto que as informações relevantes para a previsão das variáveis estão contidas exclusivamente nos dados das séries temporais destas mesmas variáveis, quanto o modelo de Geweke (1982) para testar a causalidade, simultaneidade e dependência linear entre as duas séries no tempo. Os resultados confirmam a hipótese inicial de que bid-ask spread e volume de títulos públicos possuem forte dependência do bid-ask spread e do volume para contratos de DI futuro de mesmo vencimento, dependência devida à causalidade do mercado de DI futuro para o mercado de títulos públicos para a maioria dos vértices analisados nesse trabalho, indicando que a taxa CDI é benchmark para a precificação dos títulos públicos. Uma possível explicação está nos fatores de microestrutura, que fazem com que esse mercado seja o mais conveniente para negociar risco de liquidez e de mercado. O terceiro ensaio discute as implicações do desenho institucional sobre a liquidez do mercado secundário de títulos públicos - mecanismos e regras de negociação, desenho dos títulos e base de investidores. Essas regras afetam a formação dos preços no mercado, definem as trocas, a dimensão da assimetria de informação e os custos de transação e do processo de negociação. Pela sua relevância, a organização do mercado de títulos públicos tem sido objeto de reformas em diversos países. O terceiro ensaio é finalizado com a análise das medidas adotadas no Brasil e de seus resultados.
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Saliba, Pamela. "High-frequency trading : statistical analysis, modelling and regulation." Thesis, Université Paris-Saclay (ComUE), 2019. http://www.theses.fr/2019SACLX044.
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Cette thèse est constituée de deux parties liées l’une à l’autre. Dans la première, nous étudions empiriquement le comportement des traders haute fréquence sur les marchés financiers européens. Nous utilisons les résultats obtenus afin de construire dans la seconde partie de nouveaux modèles multi-agents. L’objectif principal de ces modèles est de fournir aux régulateurs et plateformes de négociation des outils innovants leur permettant de mettre en place des règles pertinentes pour la microstructure et de quantifier l’impact des divers participants sur la qualité du marché.Dans la première partie, nous effectuons deux études empiriques sur des données uniques fournies par le régulateur français. Nous avons accès à l’ensemble des ordres et transactions des actifs du CAC 40, à l’échelle de la microseconde, avec par ailleurs les identités des acteurs impliqués. Nous commençons par comparer le comportement des traders haute fréquence à celui des autres intervenants, notamment pendant les périodes de stress, en termes de provision de liquidité et d’activité de négociation. Nous approfondissons ensuite notre analyse en nous focalisant sur les ordres consommant la liquidité. Nous étudions leur impact sur le processus de formation des prix et leur contenu informationnel selon les différentes catégories de flux : traders haute fréquence, participants agissant pour compte client et participants agissant pour compte propre.Dans la seconde partie, nous proposons trois modèles multi-agents. À l’aide d’une approche à la Glosten-Milgrom, nous parvenons avec notre premier modèle à construire l’ensemble du carnet d’ordres (spread et volume disponible à chaque prix) à partir des interactions entre trois types d’agents : un agent informé, un agent non informé et des teneurs de marché. Ce modèle nous permet par ailleurs de développer une méthodologie de prédiction du spread en cas de modification du pas de cotation et de quantifier la valeur de la priorité dans la file d’attente. Afin de se concentrer sur une échelle individuelle, nous proposons une deuxième approche où les dynamiques spécifiques des agents sont modélisées par des processus de type Hawkes non linéaires et dépendants de l’état du carnet d’ordres. Dans ce cadre, nous sommes en mesure de calculer en fonction des flux individuels plusieurs indicateurs pertinents relatifs à la microstructure. Il est notamment possible de classer les teneurs de marché selon leur contribution propre à la volatilité. Enfin, nous introduisons un modèle où les fournisseurs de liquidité optimisent leurs meilleurs prix à l’achat et à la vente en fonction du profit qu’ils peuvent générer et du risque d’inventaire auquel ils sont confrontés. Nous mettons alors en évidence théoriquement et empiriquement une nouvelle relation importante entre inventaire et volatilitéThis thesis is made of two related parts. In the first one, we study the empirical behaviour of high-frequency traders on European financial markets. We use the obtained results to build in the second part new agent-based models for market dynamics. The main purpose of these models is to provide innovative tools for regulators and exchanges allowing them to design suitable rules at the microstructure level and to assess the impact of the various participants on market quality.In the first part, we conduct two empirical studies on unique data sets provided by the French regulator. It covers the trades and orders of the CAC 40 securities, with microseconds accuracy and labelled by the market participants identities. We begin by investigating the behaviour of high-frequency traders compared to the rest of the market, notably during periods of stress, in terms of liquidity provision and trading activity. We work both at the day-to-day scale and at the intra-day level. We then deepen our analysis by focusing on liquidity consuming orders. We give some evidence concerning their impact on the price formation process and their information content according to the different order flow categories: high-frequency traders, agency participants and proprietary participants.In the second part, we propose three different agent-based models. Using a Glosten-Milgrom type approach, the first model enables us to deduce the whole limit order book (bid-ask spread and volume available at each price) from the interactions between three kinds of agents: an informed trader, a noise trader and several market makers. It also allows us to build a spread forecasting methodology in case of a tick size change and to quantify the queue priority value. To work at the individual agent level, we propose a second approach where market participants specific dynamics are modelled by non-linear and state dependent Hawkes type processes. In this setting, we are able to compute several relevant microstructural indicators in terms of the individual flows. It is notably possible to rank market makers according to their own contribution to volatility. Finally, we introduce a model where market makers optimise their best bid and ask according to the profit they can generate from them and the inventory risk they face. We then establish theoretically and empirically a new important relationship between inventory and volatility
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Mönch, Burkart. "Strategic trading in illiquid markets /." Berlin [u.a.] : Springer, 2005. http://www.loc.gov/catdir/enhancements/fy0663/2005922554-d.html.
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Ekman, Melker, and Andreas Tibell. "Obligationens risker : En studie om kreditrisk, likviditetsrisk och ränterisk för företagsobligationer på den svenska marknaden." Thesis, Umeå universitet, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160904.
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När en företagsobligation och en statsobligation har samma löptid och har en skillnad i avkastning, så kallas denna skillnad för kreditspread. Ett känt koncept inom finansvärlden är att risk har en stark koppling till avkastning. När emittenten av obligationen inte kan återbetala överenskommen utdelning eller principiellt lånebelopp så klassas detta som en betalningsinställelse. Eftersom det generellt sett är större risk för en betalningsinställelse för ett företag än för en stat, så vill investerare bli kompenserade för den extra risken de tar sig an. Den totala risken som utgör skillnaden i avkastning kan i sin tur delas upp i flera olika riskkomponenter. Syftet med vår uppsats är att undersöka ifall likviditetsrisk, ränterisk och kreditrisk har en effekt på kreditspread för företagsobligationer på den svenska marknaden. Med detta som bakgrund så har vi samlat in historiska data på förfallna obligationer under de senaste 10 åren via databaserna Thomson Reuter Datastream och Eikon. Vi har sedan laddat ned obligationsspecifika egenskaper i form av finansiella nyckeltal för samtliga obligationer. Dessa nyckeltal har valts för att till bästa förmåga representera och mäta respektive risk. Exempelvis så har vi använt oss av nyckeltalet “bid-ask-spread” för att mäta likviditetsrisk hos en obligation. För att undersöka sambandet mellan våra valda risker och kreditspread så genomförde vi ett hypotestest. Vi skapade en nollhypotes och en alternativhypotes som vi sedan testade med hjälp av en multipel regression. Nollhypotes (H0): Studiens utvalda variabler har inte en effekt på den kreditspread hos svenska företagsobligationer Alternativhypotes (Ha): Studiens utvalda variabler har en effekt på den kreditspread hos svenska företagsobligationer Slutsatsen var att vi kunde statistiskt påvisa ett positivt samband mellan riskernas storlek och storleken på obligationens kreditspread. Detta gjordes både för riskerna var för sig och för modellen när den blev testad i sin helhet. Den bakomliggande teorin bakom variablerna kunde därför antas vara korrekt även vid applicering på svenska marknaden för det senaste decenniet. Vi har som ambition att denna studie skall kunna agera som ett verktyg för fundamental analys för framtida investerare samt vidare studier inom området obligationer på svenska marknaden
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Antoniazzi, Helder Ulisses. "Formador de mercado e seu impacto nos custos de transação no mercado de ações brasileiro." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11111.
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The present study analyzes the influence of share's market makers on liquidity, validating a proxy that is able to measure transactions costs into secondary market. Since 1984, important papers face the challenge of measuring liquidity and recently a general review was done to compare different measures, finding the most accurate ones. This article intends to revisit these measures and select a metric most suitable to Brazilian market. Once the proxy is chosen, will be then evaluated the relevance of the market maker in determining transaction costs through a modified version of econometric equation from Sanvicente (2012). Lastly, the great contribution of the article is to identify whether the companies should hire a market maker for their stocks, in order to reduce the costs of trading in its shares.
O trabalho tem por objetivo validar a influência dos formadores de mercado de ações sobre a liquidez, uma proxy capaz de medir os custos de transação no mercado secundário de ações. O desafio de medir corretamente a liquidez teve trabalhos relevantes desde 1984, e recentemente foi alvo de uma revisão geral que comparou diversas medidas e encontrou alguns ganhadores. A proposta do presente trabalho é a de revisitar estas medidas e selecionar a métrica mais adequada ao mercado Brasileiro. Escolhida a proxy mais significativa, será então avaliada a relevância do formador de mercado na determinação dos custos de transação por meio de uma versão modificada da equação econométrica de Sanvicente (2012). Por fim, este trabalho será relevante para identificar se as empresas devem contratar formadores de mercado para suas ações, com o fim de reduzirem os custos da negociação de suas ações.
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Langer, Roman. "Statistická analýza vysokofrekvenčních časových řad finančních trhů." Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2011. http://www.nusl.cz/ntk/nusl-237000.
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The goal of this Master's thesis is to analyze financial data by focusing primarily on the search of market inefficiencies that may lead to capitalization of found anomalies. The data comes from various sources and they need to be preprocessed. The analysis is based on high frequency time series statistical methods. The resultant characteristics are visualized.
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Faciane, Kirby. "Empirical market microstructure of the FTSEurofirst index futures." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/1975.
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This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of this thesis is to investigate intraday patterns of key variables, the relative size of the components of the quoted bid-ask spread, and the order decisions of uninformed traders, in a continuous dealer market for index futures with market makers. Overall, our findings aim to contribute to a better understanding of the roles of market makers and public customers in price formation. Intraday patterns of financial market variables such as trade price, volume, trade size, quoted spreads, depth, and volatility separately for designated market makers and public customers are examined. The lack of relevant and appropriate data in futures markets, as evidenced by Hasbrouck (2003) and Kurov (2005), has inhibited the growth of market microstructure in futures markets. Individual orders, quotes, trader identification, and transactions from June 2003 to December 2004, for FTSEurofirst 80 and 100 index futures are used in the study. Inclusion of the parties to order execution distinguishes this data set from most other futures microstructure sources. As this thesis is the first known academic study of the extant market microstructure of the FTSEurofirst index futures, the institutional aspects of the trading process for the FTSEurofirst index futures are also explored. An alternative method for estimating three cost components as a proportion of the bid-ask spread is developed. A framework is developed for the order decision process of an uninformed trader for the first time in a futures market with market makers. The results of this thesis may have implications for other financial markets and the field of market microstructure.
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Ho, Hsin-Yi, and 何欣怡. "Bid-Ask Spreads around Earnings Announcements." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/71369370432118454570.
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碩士國立成功大學
國際企業研究所碩博士班
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This study examines the spread, information cost, and inventory cost behavior around corporate earnings announcement dates. The samples are stocks in MSCI index from 1999-2001 and .Their earnings announcement of the year 1999, 2000, 2001 are laid from 2000-2002. This study finds that (1) duration shortens significantly from the day after earnings announcement, and information will be released due to investors’ more frequent trading (2) excess volume lowers significantly from earnings announcement day and it means information asymmetry are eased after earnings announcement (3) there is a tendency that volatility will be higher on earnings announcement day and the day after earnings announcement (4) there is a tendency that turnover rate will be lower after earnings announcement (5) spread ‘s behavior doesn’t change significantly after earnings announcement.