Inefficient Market Depth

2017 ◽  
Author(s):  
JJrrme Dugast
Keyword(s):  
Market Depth

Credit Market Depth and Income Inequality in Vietnam: A Panel-Data Analysis

2016 ◽  
pp. 5-18
Author(s):  
Hoi Le Quoc ◽  
Hoi Chu Minh
Keyword(s):  
Data Analysis ◽  
Panel Data ◽  
Income Inequality ◽  
Financial Development ◽  
Inflection Point ◽  
Panel Data Analysis ◽  
Credit Market ◽  
Method Of Moment ◽  
Market Depth ◽  
Generalized Method Of Moment

Financial development could exert various effects on income distribution of a country. By employing Generalized Method of Moment, this paper aims at examining the impacts of credit market depth, one of most used financial development barometers, on income inequality in Vietnam. The empirical findings show that expanding credit market in the country could lead to higher income inequality. We have not found evidence that supports the hypothesis of an inverted U-shaped relation ever introduced by Greenwood and Jovanovich, although this hypothesis may still hold in a sense that Vietnam has not reached to the inflection point to generate such a curve alike.

Intraday behavior of market depth in a competitive dealer market: A note

2008 ◽  
Vol 28 (3) ◽  
pp. 294-307 ◽  
Author(s):  
Alex Frino ◽  
Andrew Lepone ◽  
Grant Wearin
Keyword(s):  
Market Depth ◽  
Dealer Market

THE NEXUS BETWEEN ECONOMIC GROWTH, STOCK MARKET DEPTH, TRADE OPENNESS, AND FOREIGN DIRECT INVESTMENT: THE CASE OF ASEAN COUNTRIES

2019 ◽  
Vol 64 (03) ◽  
pp. 461-493 ◽  
Author(s):  
RUDRA P. PRADHAN ◽  
MAK B. ARVIN ◽  
JOHN H. HALL
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Stock Market ◽  
Mutual Fund ◽  
Direct Investment ◽  
Trade Openness ◽  
Market Depth ◽  
Long Run ◽  
Asean Countries ◽  
Tax Holidays

Many studies have investigated the causal relationship between economic growth and the depth in the stock market, between economic growth and trade openness, or between economic growth and foreign direct investment. Advancing on earlier work, this paper uses vector error-correction and cointegration techniques in order to establish whether there is a long-run equilibrium relationship between all four variables. We consider a sample of 25 ASEAN Regional Forum (ARF) countries which are studied over the period 1961–2012. Our analysis, which combines various strands of the literature, establishes the direction of causality between the variables. Policy recommendations include the encouragement of mutual fund investment by smaller investors to increase stock market depth as well as methods to increase foreign direct investment, such as tax holidays.

Multiple Reserve Currencies and Renminbi Use

2017 ◽  
Vol 08 (02) ◽  
pp. 1750011
Author(s):  
Satyendra Kumar Gupta ◽  
Ashima Goyal
Keyword(s):  
Transaction Costs ◽  
Bargaining Power ◽  
Network Size ◽  
Analytical Models ◽  
Reserve Currency ◽  
Market Depth ◽  
Political Determinants ◽  
The Us ◽  
Us Dollar ◽  
Trade Share

We analyze prospects for the Chinese renminbi to become a major international currency, along with the US dollar, in a multiple reserve currency world. Analytical models on switching costs in networks and on currency choice under direct and indirect transaction costs are used to derive variables for empirical analysis. While network size and financial market depth (lower transaction costs) favor incumbents, changes in trade-related bargaining power and in currency volatility could favor newcomers. The models also point to political determinants affecting currency choice. We develop indices to quantify some of these. When the bargaining power index is used in estimation, it shows capital account openness and currency stability have to complement a rise in trade share for an aspiring reserve currency.

Equity Trading in the 21st Century: An Update

2015 ◽  
Vol 05 (01) ◽  
pp. 1550002 ◽  
Author(s):  
James J. Angel ◽  
Lawrence E. Harris ◽  
Chester S. Spatt
Keyword(s):  
Transaction Cost ◽  
21St Century ◽  
Market Quality ◽  
Market Depth ◽  
Equity Trading ◽  
New Findings ◽  
National Media ◽  
Dark Pools ◽  
Transaction Taxes ◽  
Current Concerns

This paper updates our previous study, "Equity Trading in the 21st Century", which presented results about US equity market quality. Despite many complaints in the national media, various measures of market quality indicate that US markets continue to be very healthy. Trade transaction cost estimates have stayed low and market depth and execution speeds remained high. New findings that measure the total transaction cost of executing very large block orders indicate that improvements in market quality also have benefited large institutional traders. While still high, both the number of quotes per trade and per minute have declined substantially from their peaks in 2008. Intraday volatility is below the levels of the pre-electronic 1990s. Although market quality is quite good, it could be enhanced. We discuss some current concerns about maker/taker pricing, dark pools, high frequency trading, tick sizes, designated dealers, transaction taxes, IPOs, and market stability.

The Behavior of High-Frequency Traders Under Different Market Stress Scenarios

2017 ◽  
Vol 03 (03n04) ◽  
pp. 1850005 ◽  
Author(s):  
Nicolas Megarbane ◽  
Pamela Saliba ◽  
Charles-Albert Lehalle ◽  
Mathieu Rosenbaum
Keyword(s):  
Empirical Study ◽  
High Frequency ◽  
Market Conditions ◽  
Market Depth

This empirical study on European stocks gives evidence about the practices of high frequency traders (HFTs) under market stress. In the absence of significant news, whatever the market conditions, they are the main contributors to liquidity with a participation of 80% in the market depth. They constitute 60% of the traded amounts, with an aggressive/passive ratio around 53%. We identify a change of regime in the presence of scheduled news that goes beyond the expected reaction to volatility variations. Moreover, in extreme situations, when non-HFTs have time to adjust their tactics, they act as liquidity providers in place of HFTs.

scholarly journals The Relation between Intraday Limit Order Book Depth and Spread

2021 ◽  
Vol 9 (4) ◽  
pp. 60
Author(s):  
Alexandre Aidov ◽  
Olesya Lobanova
Keyword(s):  
Generalized Method Of Moments ◽  
Limit Order Book ◽  
Order Book ◽  
Inverse Relation ◽  
Limit Order ◽  
Market Participants ◽  
Market Depth ◽  
Bid Ask Spread ◽  
Explanatory Factors ◽  
Trading Decisions

Prior studies that examine the relation between market depth and bid–ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and spread, which affects the trading decisions of market participants. This paper examines the intraday behavior of depth and spread in the five-deep limit order book and the relation between depth and spread in a futures market setting. A dummy-variables regression framework is employed and is estimated using the generalized method of moments (GMM). Results indicate an inverse U-shaped pattern for depth and an increasing pattern for spread. After controlling for known explanatory factors, an inverse relation between the limit order book depth and spread is documented. The inverse relation holds for depth and spread at individual levels in the limit order book as well. Results indicate that market participants actively manage both the price (spread) and quantity (depth) dimensions of liquidity along the five-deep limit order book.

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