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The Impact of Monetary Policy Interventions on the Insurance Industry
(2018-03-01)
This paper investigates the effect of the conventional and unconventional (e.g. Quantitative Easing - QE) monetary policy intervention on the insurance industry. We first analyze the impact on the stock performances of 166 ...
Circuit Breakers – A Survey among International Trading Venues
(2018-02-08)
Circuit Breakers are widely implemented in 2016. Currently, the majority (86%) of the responding trading venues use circuit breakers to ensure investor protection and to increase market integrity and stability. Compared ...
Stock Price Crashes: Role of Slow-Moving Capital
(2018-07-16)
We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ...
Lighting up the Dark: Liquidity in the German Corporate Bond Market
(2018-09-17)
"We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ...
Liquidity Provider Incentives in Fragmented Securities Markets
(2018-07-31)
We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically, we analyze the introduction of the Xetra Liquidity Provider Program at Deutsche Boerse from two ...
Central Bank-Driven Mispricing
(2018-10-01)
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective ...
A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition
(2018-10-01)
Exchanges nowadays routinely operate multiple, almost identically structured limit order markets for the same security. We study the effects of such fragmentation on market performance using a dynamic model where agents ...
Statistical Inferences for Price Staleness
(2018-11-06)
Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ...