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Author: Thomas J. George Publisher: ISBN: Category : Languages : en Pages :
Book Description
Prior work with competitive rational expectations equilibrium models indicates that there should be a positive relation between trading volume and differences in beliefs or information among traders. We show that this result is sensitive to whether and how transaction costs are modeled. In a specialist market with endogenous transaction costs we show that trading volume can be negatively related to the degree of informational asymmetry in the market. Our analysis highlights the dependence of volume on market structure, and our results suggest that the quot;volume effectsquot; of corporate or macroeconomic events reflect a decrease, rather than an increase, in heterogeneity of beliefs or asymmetry of information.
Author: Thomas J. George Publisher: ISBN: Category : Languages : en Pages :
Book Description
Prior work with competitive rational expectations equilibrium models indicates that there should be a positive relation between trading volume and differences in beliefs or information among traders. We show that this result is sensitive to whether and how transaction costs are modeled. In a specialist market with endogenous transaction costs we show that trading volume can be negatively related to the degree of informational asymmetry in the market. Our analysis highlights the dependence of volume on market structure, and our results suggest that the quot;volume effectsquot; of corporate or macroeconomic events reflect a decrease, rather than an increase, in heterogeneity of beliefs or asymmetry of information.
Author: Mr.Charles Frederick Kramer Publisher: International Monetary Fund ISBN: 1451854870 Category : Business & Economics Languages : en Pages : 36
Book Description
The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model.
Author: Charles Kramer Publisher: ISBN: Category : Languages : en Pages :
Book Description
I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader's marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model.
Author: Peter C. Reiss Publisher: ISBN: Category : Stock exchanges Languages : en Pages : 82
Book Description
This paper describes regularities in the intraday spreads and prices quoted by dealers on the London Stock Exchange. It develops a measure of spread-related transaction costs, one that recognizes dealers' willingness to price trades within their quoted spreads. This measure of transaction costs shows that trading costs are systematically related to a trade's size, characteristics of the trading counterparties, and security characteristics. Customers pay the full spread on small trades while medium to large trades receive more favorable execution. Market makers only discount very large customer trades while dealers regularly discount medium to large trades. Inter-dealer trades generally receive favorable execution, and discounts increase in size. Market makers do not discount trades with each other over the phone, but do discount when trading anonymously using inter-dealer-brokers. Quoted and touch spreads are falling in the number of market makers. The rate of decline is interpreted as reflecting economies of scale in market making.
Author: Larry Harris Publisher: OUP USA ISBN: 9780195144703 Category : Business & Economics Languages : en Pages : 664
Book Description
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Author: Robert A. Schwartz Publisher: Springer Science & Business Media ISBN: 1461516978 Category : Business & Economics Languages : en Pages : 457
Book Description
ROBERT A. SCHWARTZ The primary objective of this book is to consider how the inclusion of electronic call auction trading would affect the performance of our U.S. equity markets. The papers it contains focus on the call auction and its role in a hybrid market struc ture. The purpose is to increase understanding of this trading environment, and to consider the design of a more efficient stock market. This book had its origin in a symposium, Electronic Call Market Trading, that was held at New York University's Salomon Center on April 20, 1995. Nearly 150 people from 16 different countries attended. At the time, three proprietary trading systems based on call auction principles (The Arizona Stock Exchange, Posit, and Instinet's Crossing Network) had been operating for several years and interest already existed in the procedure. Since the symposium, increasing use has been made of call auctions, primarily by the ParisBourse in its Nouveau Marchi: and CAC markets, by Deutsche Borse in its Xetra market, and in the U.S. by OptiMark. Rather than being used as stand alone systems, however, call auctions are now being interfaced with continuous markets so as to produce hybrid market structures, a development that is given considerable attention to in a number of the chapters in this book.
Author: Thomas J. George
Author: Thomas J. George
Author: Thomas John George
Author: Thomas John George
Author: Mr.Charles Frederick Kramer
Author: Charles Kramer
Author: Philipp Hartmann
Author: Peter C. Reiss
Author: Larry Harris
Author: Robert A. Schwartz
Author: Gail Michele Belonsky