برچسب: Market Liquidity
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Can Splits Create Market Liquidity – Theory And Evidence
Book Description We present a market microstructure model of stock splits in the presence of minimum tick size rules.The key feature of the model is that iscretionary trading is endogenously determined. There exists a tradeoff between adverse selection costs on the one hand and discreteness elated costs and opportunity costs of monitoring the market on the […]
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Market Liquidity And Trading Activity
Spreads, depths and trading activity for US equities are studied over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile, negatively serially correlated and influenced by a variety of factors.
برچسب: Market Liquidity
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An Empirical tahlil Of Stock And Bond Market Liquidity
This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a […]
برچسب: Market Liquidity
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Huang And Stoll-The Components Of The Bid-Ask Spread – A General Approach
The difference between the ask and the bid quotes — the spread — has long been of interest to traders, reg-ulators, and researchers. While acknowledging that the bid-ask spread must cover the order processing costs incurred by the providers of market liquidity, researchers have focused on two additional costs of market making that must also […]