Intraday Momentum in FX Markets: Disentangling Informed Trading from Liquidity Provision

2015 ◽  
Author(s):  
Gert Elaut ◽  
Michael Frrmmel ◽  
Kevin Lampaert
Keyword(s):  
Informed Trading ◽  
Liquidity Provision

scholarly journals Global Liquidity Provision and Risk Sharing

2020 ◽  
pp. 1-33
Author(s):  
Feng Jiao ◽  
Sergei Sarkissian
Keyword(s):  
Risk Sharing ◽  
High Probability ◽  
Foreign Market ◽  
Informed Trading ◽  
Global Markets ◽  
Price Shocks ◽  
Foreign Markets ◽  
Liquidity Provision ◽  
Global Liquidity ◽  
Probability Of Informed Trading

Abstract We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950–2013 period. We find that firms after foreign-market listing exhibit lower liquidity sensitivity and lower liquidity beta and suffer less from transitory price shocks. These results are stronger when firms are listed on multiple exchanges and in larger and more liquid markets. The liquidity enhancement is associated with firms’ increased foreign ownership postlisting and is effective for firms with high levels of volatility, foreign income, and foreign trading and a high probability of informed trading. Our findings provide support for global markets providing liquidity and reducing liquidity risk to U.S. firms.

Liquidity provision and informed trading by individual investors

2015 ◽  
Vol 35 ◽  
pp. 143-162 ◽  
Author(s):  
Xiao Tian ◽  
Binh Do ◽  
Huu Nhan Duong ◽  
Petko S. Kalev
Keyword(s):  
Informed Trading ◽  
Individual Investors ◽  
Liquidity Provision

Intraday momentum in FX markets: Disentangling informed trading from liquidity provision

2018 ◽  
Vol 37 ◽  
pp. 35-51 ◽  
Author(s):  
Gert Elaut ◽  
Michael Frömmel ◽  
Kevin Lampaert
Keyword(s):  
Informed Trading ◽  
Liquidity Provision

Clean Sweep: Informed Trading Through Intermarket Sweep Orders

2009 ◽  
Author(s):  
Sugato Chakravarty ◽  
Pankaj K. Jain ◽  
Robert A. Wood ◽  
James Upson
Keyword(s):  
Informed Trading
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