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Full-Text Articles in Social and Behavioral Sciences
Three Essays On Quote Stuffing, Dealer Liquidity And Stub Quoting, Jared Frank Egginton
Three Essays On Quote Stuffing, Dealer Liquidity And Stub Quoting, Jared Frank Egginton
Electronic Theses and Dissertations
This dissertation consists of three essays on quote stuffing, dealer provided liquidity, and stub quoting. The first essay examines the impact that intense episodic spikes in quoting activity (frequently referred to as "quote stuffing") has on market conditions. We find that quote stuffing is pervasive with several hundred events occurring each trading day and that over 74% of US exchange traded securities experience at least one episode during 2010. We find that during periods of intense quoting activity stocks experience decreased liquidity, higher trading cost, and increased short term volatility. In the second we examine the role of the NASDAQ …
Investor Behavior Surrounding Trading Halts: Short Sales, Predation And Contagion Effects, Mary Celeste Funck
Investor Behavior Surrounding Trading Halts: Short Sales, Predation And Contagion Effects, Mary Celeste Funck
Electronic Theses and Dissertations
This dissertation is comprised of three essays that focus on the interaction between exchange-mandated trading halts and short selling activity in the financial markets. In the first essay, the behavior of short sellers is examined surrounding interruptions in trading to determine if informed short sellers alter their trading patterns prior to and/or following a trading halt. This investigation also addresses the impact of short sales on market quality for halted stocks surrounding periods of interrupted trading, by examining returns, price volatility, and spreads. The second essay investigates if a short-selling contagion effect exists for contemporaries of firms experiencing a trading …
Cascading Failures And Fundamental Uncertainty: Divergence In Financial Risk Assessment, Alexander Kent Spray
Cascading Failures And Fundamental Uncertainty: Divergence In Financial Risk Assessment, Alexander Kent Spray
Electronic Theses and Dissertations
By applying common financial risk assessment models to the network economy formalized in Delli Gatti et al. (2006), and by contextualizing both in the broader literature on complexity in economic systems, the question of convergence in economic models is addressed. Critically, a formal state condition is identified which can contribute to the emergence of periods of extreme divergence from expected conditions even in a model characterized by restrictive assumptions regarding agent choice and market structure. The strength of the impact of this state condition, here the topology of a credit network, on the dynamics of the economic system is furthermore …