Multi-party computation mechanism for anonymous equity block trading: A secure implementation of turquoise plato uncross

Dark pools are financial trading venues where orders are entered and matched in secret so that no order information is leaked. By preventing information leakage, dark pools offer the opportunity for large volume block traders to avoid the costly effects of market impact. However, dark pool operators have been known to abuse their privileged access to order information. To address this issue, we introduce a provably secure multi-party computation mechanism that prevents an operator from accessing and misusing order information. Specifically, we implement a secure emulation of Turquoise Plato Uncross, Europe's largest dark pool trading mechanism, and demonstrate that it can handle real world trading throughput, with guaranteed information integrity.     

Informed trading around earnings and mutual fund alphas

We examine whether informed trading around earnings announcements drives mutual fund performance. The measure is motivated by prior studies arguing that a mutual fund is skilled if it buys stocks with subsequent high earnings announcement returns. We find that this measure predicts future mutual fund returns. On average, after adjusting for Carhart’s four risk factors, the top decile of mutual funds outperforms the bottom decile by 44 basis points per quarter. By decomposing fund alphas into two components in their relations to earnings, we find that this measure is only associated with earnings-related fund alphas. This measure can also be used to predict stock returns at future earnings announcements.     

Trade Size Preference of Informed Traders in Indian Equity Markets

This study utilized high frequency transactions data to analyze the trade size preference of informed traders in Indian equity markets. It is observed that informed traders at an aggregate level adopt stealth trading strategy, wherein they prefer medium sized trades over large sized trades in order to camouflage their private information. However, the stealth trading behavior varies across stocks, wherein informed traders prefer more large sized trades on firms that are part of an index compared to non-index firms. Trading behavior also varies across other market conditions. It has been noted that informed traders prefer large sized trades during periods of high market thickness, negative returns, and low volatility. This study also provides a rationale for such varied behavior of informed traders.     

Corporate Governance and Corporate Bond Liquidity

Using a unique dataset of corporate bond trading information and corporate governance evaluation scores, this study examines the determinants of corporate bond market liquidity in Korea. In particular, this study explores whether corporate governance performance of a company influences liquidity of bonds issued by the company. The paper reports three important findings. First, the issue size and age of bond are important determinants of bond liquidity. Second, liquidity of corporate bonds is influenced by changes in macroeconomic conditions. Third, and most importantly, better corporate governance increases liquidity of corporate bonds. This result suggests that corporate governance is an important determinant of bond liquidity, as it lowers transaction costs by improving transparency and reducing asymmetry of information. This paper contributes to the literature by providing new evidence that corporate governance performance is an important determinant of liquidity in corporate bond markets.     

Optimal order display in limit order markets with liquidity competition

Order display is associated with benefits and costs. Benefits arise from increased execution-priority, while costs are due to adverse market impact. We analyze a structural model of optimal order placement that captures trade-off between the costs and benefits of order display. For a benchmark model of pure liquidity competition, we give a closed-form solution for optimal display sizes. We show that competition in liquidity supply incentivizes the use of hidden orders to prevent losses due to over-bidding. Thus, because aggressive liquidity competition is more prevalent in liquid stocks, our model predicts that the proportion of hidden liquidity is higher in liquid markets. Our theoretical considerations ares supported by an empirical analysis using high-frequency order-message data from NASDAQ. We find that there are no benefits in hiding orders in il-liquid stocks, whereas the performance gains can be significant in liquid stocks.     

Subsidiary autonomy and performance in Japanese multinationals in Europe

Notwithstanding the growing body of research on headquarters–subsidiary relationships, the conditions under which subsidiary autonomy leads to enhanced subsidiary performance is still a subject of debate. This study adopts a contingency approach and investigates the effects of external uncertainties and intra-MNE coordination on the performance benefits of subsidiary autonomy. The empirical analysis is based upon cross-sectional data collected from 88 European subsidiaries of Japanese MNEs. Our findings show that subsidiary autonomy has a greater impact upon performance (a) under conditions of technological uncertainty; and (b) when expatriate involvement is high, as the subsidiary can reap the full benefits of entrepreneurial capabilities and enjoy resource interdependencies through interactions with the parent simultaneously. MNC executives should aim for an appropriate balance between subsidiary autonomy and these internal and external factors so that the subsidiaries achieve superior performance.     

中日农村医疗保险制度比较研究

纵向比较分析中日两国农村医疗保险制度的发展历程,从覆盖范围、筹资方式、补偿方式、资金收支情况等方面横向比较中日两国的农村医疗保险制度,探讨中日两国农村医疗保险制度的优缺点,为我国完善新型农村合作医疗制度提供相关建议。     

广东湖北碳排放权市场动态相依性分析与风险测度

选择具有代表性的湖北和广东碳排放权交易市场为研究对象,利用GARCH-POT-Copula模型对这两个市场的动态相依性与组合风险度量进行分析。研究结果表明:广东和湖北碳排放权市场之间的相依度较小,两个碳排放权市场价格波动不能给对方市场带来较大的影响,两市场近似于独立存在。提出了要从配额指标、基础设施建设、报送系统、市场交易主体等方面建立健全和完善全国统一的碳排放权交易市场的建议。     

Organizational Design,Competition, and Financial Exchanges

We investigate the incentives for vertical and horizontal integration in the financial securities service industry. In a model with two exchanges and two central securities depositories (CSDs), we find that decentralized decisions might lead to privately and socially inferior industry equilibria with vertical integration of both CSDs with their respective exchanges. Allowing for horizontal integration of CSDs avoids privately inferior industry equilibria. However, we observe too little horizontal integration from the social perspective. We link our results to recent regulatory and institutional developments such as the emergence of multilateral trading facilities, over-the-counter regulation, and financial harmonization.     

Share trading activity and the rise of the rentier in the UK before 1920*

Abstract

Using a hand-collected dataset, we examine share trading activity over the period 1882–1920 for the North British and Mercantile Insurance Company, one of the largest UK companies of the time. Our main finding is that the steady flow of rentiers into the shareholding constituency of this company stymied share trading activity. Another important finding is that share trading still occurred during the closure of the stock exchange in 1914, but on a much-reduced scale. We also find that there was a substantial boom in share trading and in insurance stock prices after World War I.