Captial Structure, Derivatives and Equity Market Quality

2010 ◽  
Author(s):  
Ekkehart Boehmer ◽  
Sudheer Chava ◽  
Heather Tookes
Keyword(s):  
Equity Market ◽  
Market Quality

Dark Trading and Equity Market Quality

2014 ◽  
Vol 70 (6) ◽  
pp. 33-48 ◽  
Author(s):  
Rhodri Preece ◽  
Sviatoslav Rosov
Keyword(s):  
Equity Market ◽  
Market Quality

scholarly journals The effect of fragmentation in trading on market quality in the UK equity market

2013 ◽  
Author(s):  
Michael Vogt ◽  
Lena Boneva (Körber) ◽  
Oliver Linton
Keyword(s):  
Equity Market ◽  
Market Quality ◽  
The Uk

Banning Cassandra from the Market? An Empirical Analysis of Short-Selling Bans during the Covid-19 Crisis

2020 ◽  
Vol 17 (3-4) ◽  
pp. 386-418 ◽  
Author(s):  
Gianfranco Siciliano ◽  
Marco Ventoruzzo
Keyword(s):  
Financial Markets ◽  
Information Asymmetry ◽  
Stock Markets ◽  
Abnormal Returns ◽  
Equity Market ◽  
Short Selling ◽  
Market Quality ◽  
Policy Goals ◽  
The World ◽  
European Stock Markets

During the recent COVID-19 pandemic crisis, stock markets around the world have witnessed an abrupt decline in security prices and an unprecedented increase in security volatility. In response to a week of financial turmoil on the main European stock markets, some market regulators in Europe, including France, Austria, Italy, Spain, Greece, and Belgium, passed temporary short-selling bans in an attempt to stop downward speculative pressures on the equity market and stabilize and maintain investors’ confidence. This paper examines the effects of these short-selling bans on market quality during the recent pandemic caused by the spread of COVID-19. Our results suggest that during the crisis, banned stocks had higher information asymmetry, lower liquidity, and lower abnormal returns compared with non-banned stocks. These findings confirm prior theoretical arguments and empirical evidence in other settings that short-selling bans are not effective in stabilizing financial markets during periods of heightened uncertainty. In contrast, they appear to undermine the policy goals market regulators intended to promote.

scholarly journals The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market

2015 ◽  
Vol 31 (1) ◽  
pp. 192-213 ◽  
Author(s):  
Lena Boneva ◽  
Oliver Linton ◽  
Michael Vogt
Keyword(s):  
Equity Market ◽  
Market Quality ◽  
The Uk

scholarly journals Related Securities and Equity Market Quality: The Case of CDS

2015 ◽  
Vol 50 (3) ◽  
pp. 509-541 ◽  
Author(s):  
Ekkehart Boehmer ◽  
Sudheer Chava ◽  
Heather E. Tookes
Keyword(s):  
Credit Default Swap ◽  
Equity Markets ◽  
Quality Measures ◽  
Equity Market ◽  
Market Quality ◽  
Equity Prices ◽  
Information Spillovers ◽  
Positive Effects ◽  
Credit Default ◽  
Default Swap

AbstractWe document that equity markets become less liquid and equity prices become less efficient when markets for single-name credit default swap (CDS) contracts emerge. This finding is robust across a variety of market quality measures. We analyze the potential mechanisms driving this result and find evidence consistent with negative trader-driven information spillovers that result from the introduction of CDS. These spillovers greatly outweigh the potentially positive effects associated with completing markets (e.g., CDS markets increase hedging opportunities) when firms and their equity markets are in “bad” states. In “good” states, we find some evidence that CDS markets can be beneficial.

An Empirical Analysis of Market Segmentation on U.S. Equity Markets

2017 ◽  
Vol 52 (6) ◽  
pp. 2399-2427 ◽  
Author(s):  
Frank Hatheway ◽  
Amy Kwan ◽  
Hui Zheng
Keyword(s):  
Asymmetric Information ◽  
Market Segmentation ◽  
Equity Markets ◽  
Equity Market ◽  
Market Quality ◽  
International Equity Markets ◽  
National Market ◽  
International Equity ◽  
System Requirements ◽  
The Impact

We examine the impact of trading on markets partially exempt from National Market System requirements (“dark venues”) on equity-market quality. We find evidence consistent with the notion that dark venues rely on their special features to segregate order flow based on asymmetric information risk, which results in their transactions being less informed and contributing less to price discovery on the consolidated market. Except for the execution of large transactions and trading in small stocks, the effects of dark-venue order segmentation are damaging to overall market quality. Our results have important implications for the regulation of international equity markets.

scholarly journals Order Routing Decisions for a Fragmented Market: A Review

2021 ◽  
Vol 14 (11) ◽  
pp. 556
Author(s):  
Suchismita Mishra ◽  
Le Zhao
Keyword(s):  
Empirical Studies ◽  
Equity Market ◽  
Future Research ◽  
Market Quality ◽  
History Of ◽  
Market Fragmentation ◽  
Direct And Indirect Impacts ◽  
Indirect Impacts ◽  
Significant Attention ◽  
The U.S

This paper reviews the up-to-date theoretical, empirical, and experimental literature related to the trading venue choice in the context of the fragmented equity markets. We provide a brief background on the history of trading fragmentation in the equity market and its determinants. We discuss the direct and indirect impacts of the market fragmentation on market quality in various dimensions, including liquidity, volatility, and price efficiency. Next, we identify possible determinants and channels from theoretical and empirical studies that could explain order routing decisions and present the possible directions for future research. Finally, we discuss the major regulatory reforms in the U.S. equity market on routing venue decisions. This topic is relevant in current times when phenomena such as “GameStop Frenzy” have drawn significant attention to commission-free trading venues.

Sign in / Sign up

Export Citation Format

Share Document