The impact of limit order anonymity on liquidity: Evidence from Paris, Tokyo and Korea

This paper examines the impact of broker anonymity on bid-ask spreads in order driven markets. Previous theoretical research predicts that limit order anonymity results in deeper and more liquid markets. This paper examines this proposition using three natural experiments provided by Euronext Paris, the Tokyo Stock Exchange and the Korea Stock Exchange. Euronext Paris and the Tokyo Stock Exchange removed broker identifiers from limit orders on April 23, 2001 and June 30, 2003, respectively. In contrast, the Korea Stock Exchange introduced broker identifiers for limit order books on October 25, 1999. The results provide evidence that altering limit order anonymity has an impact on liquidity. Consistent with expectations, liquidity is enhanced by increased anonymity and adversely affected by decreased anonymity.     

The sensitivity of trading to the cost of information

We examine the impact of changes in real-time data access fees on price discovery in the crude oil futures market. Specifically, we examine differences in price discovery in the West Texas Intermediate crude oil futures contracts traded on two exchanges around three events corresponding to changes in real-time data access fees. We document a decrease in price discovery following two events that increase data access costs. These findings are consistent with the theoretical predictions of Cespa and Foucault that increases in data access costs reduce the number of market participants trading on real-time data and adversely impact price discovery.     

Depths and spreads in futures markets: Relationship with order execution,submission, and cancellation

This paper examines the relationship between limit order submissions and liquidity. We find that there is a negative relationship between the limit order arrival rate and the depth at the best quotes (limit order queue length) and a positive relationship between submissions and bid–ask spreads. This is consistent with queuing theory, which predicts that an increase in the limit order arrival rate increases the queue length and the time to execution of a limit order. Consequently, limit order traders cover the increase in costs and risks associated with the increase in the time to execution of limit orders by increasing bid–ask spread.     

A model-based indicator of the fiscal stance

We argue that the conventional approach to assessing the fiscal stance based on econometric tests of the government present value budget constraint (PVBC) is of limited practical use. We propose an alternative measure that focuses on short-run fluctuations in the fiscal stance, namely, a model-based indicator that compares a target level of the debt-GDP ratio at a given point in the future with a forecast based on the government budget constraint (GBC) where the forecasts are obtained using a recursively estimated VAR. By log-linearising the GBC the index can be decomposed into the various different components of which it is comprised. Using data from 1970 to 2011 we conduct a detailed time-series study of the fiscal stances of four countries: the United States, the United Kingdom, Germany and Greece and we calculate the index for 11 other EU countries. For most countries the index shows that their fiscal stances vary from being too loose to too tight. Almost without exception the index drops sharply from 2007 showing the harmful effect on their fiscal stances of the recent recession.     

On multidimensional poverty rankings of binary attributes

We address the problem of ranking distributions of attributes in terms of poverty, when the attributes are represented by binary variables. To accomplish this task, we identify a suitable notion of “multidimensional poverty line” and characterize axiomatically the Head-Count and the Attribute-Gap poverty rankings, which are the natural counterparts of the most widely used income poverty indices. Finally, we apply our methodology and compare our empirical results with those obtained with some other well-known poverty measures.     

Poverty,inequality and growth in Albania

This article studies the distribution of well‐being and, specifically, the degree of poverty and deprivation in Albania, in the years 2002 and 2005, using Living Standard Measurement Surveys (LSMS). The distribution analysis is performed by applying both one‐dimensional and multidimensional approaches, in particular to better examine the link between economic growth, inequality and poverty in Albania. Furthermore, by estimating a non‐monetary indicator, as proposed by Bossert et al. ( 2007 ), and a nonlinear principal component model together with a probit model, the paper focuses on the multidimensional measures of poverty to address the relationship between poverty and socio‐economic factors. Our evidence shows that absolute poverty decreased from 2002 to 2005 while national relative poverty increased; economic growth reduced poverty in Albania over the observed period; and living in rural and mountain areas, being female, poorly educated and with a large family increased the probability of suffering from deprivation.     

Fiscal disequilibrium in developing countries

Fiscal equilibrium necessitates that ‘permanent’ government expenditures be covered by ‘permanent’ government revenues. The concept of ‘permanent’ goverment expenditures and revenues takes into account future revenue from capital investments as well as temporary windfalls. Hence, equilibrium may exist despite temporary imbalance between revenue and expenditure. The causes of disequilibrium can be classified into five categories: export boom; price-inelastic tax system; public enterprise performance; increased expenditure produced by political exigencies or administrative weaknesses; and worsening terms of trade. In practice, unrealistic customs valuations, specific as opposed to ad valorem taxes and administrative difficulties have been the most common sources of declining government revenue as a percentage of gross domestic product. Increased subsidies both to consumer goods and to public enterprises as well as inadequate control mechanisms have been the most frequent causes of rising government expenditure.