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Migration Of Trading And The Introduction Of Single Stock Futures On The Underlying Us Stocks, Thomas Henker
Migration Of Trading And The Introduction Of Single Stock Futures On The Underlying Us Stocks, Thomas Henker
Thomas Henker
This study investigates where liquidity and informed trading takes place following the introduction of single stock futures (SSF) contracts on the OneChicago futures exchange. Specifically, we analyze the size and composition of proportional spreads for two sets of stocks, those that have single stock futures contracts and a matched control sample that does not have such contracts. We find that, after controlling for changes in spread determinants, the average proportional spreads, on average, decrease significantly after SSF are introduced. For NYSE stocks, while the average daily trading volume in the cash market is reduced by 389,000 shares, we find a …
The Short-Term Dynamics Of Information Risk, Thomas Henker, Shah A. H. Shah-Idil, Jianxin Wang
The Short-Term Dynamics Of Information Risk, Thomas Henker, Shah A. H. Shah-Idil, Jianxin Wang
Thomas Henker
We introduce an informational approach (IA) for exploring association between variables, an alternative to the prevalent parametric, thus restrictive, regression analysis. The IA uses data to (non-parametrically) construct the joint distribution of variables. Then, it uses theory to develop restrictions on the joint distributions. These restrictions will typically be orderings of functions of conditional distributions induced by the joint distribution. Finally, it attempts refuting the restrictions. We implement IA examining the relation between trading sizes and spreads, a main concern. Following insights and results of Milgrom (1981), Feldman (2004), and Feldman and Winer (2004), we use NYSE data and kernel …
Intraday Pattern And The Speed Of Adjustment In The Jakarta Stock Exchange, Zaafri Husodo, Thomas Henker
Intraday Pattern And The Speed Of Adjustment In The Jakarta Stock Exchange, Zaafri Husodo, Thomas Henker
Thomas Henker
High frequency study at individual level in the Jakarta Stock Exchange is conducted in this research to reveal the dynamics at intraday level. Several apparent patterns emerge from analyzing the relation among the speed of adjustment coefficients, noise, and noise variance. It is found that the noise and noise variance are at a low level when the speed of adjustment coefficients achieves a fair level. The speed of adjustment coefficients, both at market and individual level show a periodic adjustment pattern at a daily interval. This justifies the importance of studying the dynamics of the price discovery as estimated in …
Calling The End Of The Bubble: Are There Trends In Order Imbalances, Julia Henker, Thomas Henker
Calling The End Of The Bubble: Are There Trends In Order Imbalances, Julia Henker, Thomas Henker
Thomas Henker
Extract:
Can traders effectively conceal their information processing from the rest of the market, or is it there for the alert investor to observe? Could we see, for example, the reduction in demand that leads to the crash of a stock price bubble, or can investors keep their sentiment private?
We might expect that if we look carefully at buy and sell orders over several days, we could forecast the change from an upward to a downward trend in asset prices, but we would be wrong.
In this article, we investigate whether stock price bubble crashes are foreshadowed in order …