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Which Market Integration Measure?
(2017-08-04)
This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In ...
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets
(2017-01-27)
We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions ...
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers
(2017-02-02)
We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze ...