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Liquidity

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Full-Text Articles in Finance and Financial Management

Otc Quote Size.Kemerey.Thesis.Pdf, Kemerey Thompson Apr 2019

Otc Quote Size.Kemerey.Thesis.Pdf, Kemerey Thompson

Kemerey Thompson

I examine the effects of a change in the minimum quotation size on liquidity and volatility in the modern over-the-counter (OTC) markets. On November 12, 2012, the Financial Industry Regulatory Agency (FINRA) introduced a pilot program to adjust the minimum quote sizes for securities transactions in the OTC markets. I find that an increase in the minimum quote size decreases OTC market quality as spreads widen and volatility increases. In contrast, I find that a decrease in the minimum quote size improves OTC market quality, but the results are sensitive to the price of the security. These results offer important …

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Trade-Off Of Short-Term Trading: Liquidity Vs. Efficiency, Shyam Sunder Jun 2015

Trade-Off Of Short-Term Trading: Liquidity Vs. Efficiency, Shyam Sunder

Shyam Sunder

No abstract provided.

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A Liquidity Motivated Algorithm For Discerning Trade Direction, David Michayluk, Laurie Prather Aug 2009

A Liquidity Motivated Algorithm For Discerning Trade Direction, David Michayluk, Laurie Prather

Laurie Prather

Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or seller initiated since this information is required to evaluate models of bid-ask spread components and to understand the market for immediacy. Algorithms that assign trade direction based on the proximity to bid or ask quotes are easily implemented but ignore information readily discernable from orders, changes in the quoted depth and subsequent price movements. Using the New York Stock Exchange Trades, Orders and Quotes database, systematic biases in existing trade direction algorithms are documented that can be rectified by recognizing that …

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Derivative Markets And Economic Growth: Is There A Relationship?, A. Baluch, Mohamed Ariff Aug 2009

Derivative Markets And Economic Growth: Is There A Relationship?, A. Baluch, Mohamed Ariff

Mohamed Ariff

The spread of capital markets during the half century to-date is a notable global phenomenon in economic development. Derivative markets spread globally in the last quarter century spreading form just two to some 50 in 2007. But the role of derivative markets to economic development has yet been studied. This paper reports new findings on the relationship between derivative market development and (a) economic growth and (b) spot market factors. The results provide very scant support to a positive functional contribution hypothesis by some scholars about derivative markets. However, a negative relationship between the liquidity level of derivative markets and …

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