			Home About us Contact

Market Quality (market + quality)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Preferenced Trading, Quote Competition, and Market Quality: Evidence from Decimalization on the NYSE

FINANCIAL REVIEW, Issue 3 2010
Wei Huang
G14; G18 Abstract We examine the impact of decimalization on preferenced trading in NYSE-listed stocks and show a significant decline in preferenced trading around decimalization. For the largest NYSE stocks, the total decline is nearly 22%. We also find a negative correlation between the changes in preferenced trading and the changes in quote competition intensity, and a positive correlation between the changes in preferenced trading and the changes in spreads. Consistent with the cream skimming hypothesis, we find that abnormal changes in information asymmetry cost for NYSE trades are positively correlated with the changes in preferenced trading. [source]

Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock

THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2003
Yiuman Tse
Abstract We investigate competition for order flow, market quality, and price discovery in the Nasdaq 100 Index Tracking Stock (QQQ). The QQQ, an AMEX-listed, exchange-traded fund, is the most actively traded security in the U.S. equities market. On July 31, 2001, the NYSE began trading the QQQ, marking the first time it traded securities of companies it does not list. The greatest volume of trading takes place on electronic communication networks (ECNs), following by trading on the AMEX and the NYSE. Most of the block trades are executed on the AMEX, where the bid-ask spreads are narrower. We find that ECNs contribute the most to the price-discovery process. The spreads on all trading platforms have decreased and market quality and price discovery have improved since QQQ shares have traded on the NYSE. [source]

Insider Trading Regulation and Market Quality: Evidence from American Depositary Receipts

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2010
Kee H. Chung
G10; G38 Abstract We investigate the relation between insider trading law enforcement and stock market quality using a sample of American Depositary Receipts (ADR) over the period from 1998 to 2006. We show that ADR from countries that have enforced insider trading laws have better market liquidity and lower information asymmetry than ADR from countries that have not enforced insider trading laws. In addition, ADR from countries with insider trading law enforcement have greater price efficiency. Our results are robust to different estimation methods and alternative model specifications. We interpret these results as evidence that the enforcement of insider trading laws can effectively deter insider trading and enhance both market liquidity and price efficiency. [source]

Short- and Long-Term Effects of Multimarket Trading

FINANCIAL REVIEW, Issue 3 2007
Vanthuan Nguyen
G14; G18 Abstract We analyze short- and long-term effects of multimarket trading by examining the entries of multiple markets into transacting three ETFs, DIA, QQQ, and SPY. We find that large-scale entries improve overall market quality, while small-scale entries have ambiguous effects. Our results show that the competition effect dominates the fragmentation effect over a long horizon and that market fragmentation leads to a decline in trading costs. Further, we find that the order handling rules help mitigate the fragmentation effect and facilitate the competition effect. We do not find that multimarket trading harms price efficiency or increases price volatility. [source]

Do uninformed crossed and internalized trades tap into unexpressed liquidity?

ACCOUNTING & FINANCE, Issue 2 2009
The case of Nokia
G10; G15; G24 Abstract Crossed and internalized upstairs trades are analysed in a dataset in which institutional investors can be identified. Earlier findings that upstairs trading is uninformed, taps into unexpressed liquidity, and does not affect market quality are revisited. The permanent price effect of crossings and internalized upstairs trades is significantly lower than that of limit order book trades due to the fact that the least informed institutional trades are routed upstairs. Crossed and internalized trades affect the depth and transaction costs in the limit order book and a greater reliance is placed on the upstairs market when liquidity is low and volatility is high. [source]

The impact of lunchtime closure on market behaviour: evidence from the Sydney Futures Exchange

ACCOUNTING & FINANCE, Issue 1-2 2001
Alex Frino
This paper examines the impact of lunchtime closure on market behaviour. Between May and September, 1994 the Sydney Futures Exchange trialed lunchtime trading. The trial provides a unique natural laboratory experiment for examining the impact of lunchtime closure. The analysis reported in this paper documents abnormally high bid ask spreads, price volatility and trading volume on re-opening of the market following lunchtime closure. These results confirm that closure has an impact on trading activity, and are consistent with the effects of strategic informed trading, a loss in price discovery and/or trading associated with risk transfer. An abnormal increase in trading volume prior to lunchtime closure is also documented, providing unambiguous evidence of trading activity motivated by risk transfer. Overall these results imply that lunchtime closure disrupts trading activity and reduces market quality by imposing additional costs on market participants. [source]

Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock

Transaction tax and market quality of the Taiwan stock index futures

THE JOURNAL OF FUTURES MARKETS, Issue 12 2006
Robin K. Chou
On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid-ask spreads, and price volatility. Intraday and daily time series data from May 1, 1999, through April 30, 2001, are tested in a three-equation structural model. Findings show that transaction taxes have a negative impact on trading volume and bid-ask spreads, as trading volume increased and bid-ask spreads decreased in the period following the reduction in the transaction tax. This study's analysis is not consistent with the argument that the imposition of a transaction tax may reduce price volatility because there are no significant changes in price volatility after the tax reduction. Further, it was found that although the reduction in the transaction tax did reduce tax revenues, the proportional decrease in tax revenues is less than the 50% reduction in the tax rate. Finally, tax revenues in the second and third year after the tax reduction increased, as compared to the year before the tax reduction. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1195,1216, 2006 [source]