Liquidity Cycles and Make/Take Fees in Electronic Markets

We develop a model in which the speed of reaction to trading opportunities is endogenous. Traders face a trade‐off between the benefit of being first to seize a profit opportunity and the cost of attention required to be first to seize this opportunity. The model provides an explanation for maker/taker pricing, and has implications for the effects of algorithmic trading on liquidity, volume, and welfare. Liquidity suppliers’ and liquidity demanders’ trading intensities reinforce each other, highlighting a new form of liquidity externalities. Data on durations between trades and quotes could be used to identify these externalities.     

资产证券化对金融市场流动性的影响:文献评述

增大流动性是资产证券化的基本功能,但从本轮次贷危机可以看出,资产证券化在有些时候还可以导致金融市场的流动性紧缩.本文就是依照资产证券化对金融市场流动性的正面和负面影响两条主线,来梳理国内外学者有关资产证券化对金融市场流动性影响的研究文献,并对这些文献进行简要的评述.     

Non-audit Service Fees and Audit Quality: The Impact of Auditor Specialization

We posit that the effect of non‐audit fees on audit quality is conditional on auditor industry specialization. Industry specialist auditors are more likely than nonspecialists to be concerned about reputation losses and litigation exposure, and to benefit from knowledge spillovers from the provision of non‐audit services. We find evidence that audit quality measured by increased propensity to issue going‐concern opinion, increased propensity to miss analysts' forecasts, as well as higher earnings‐response coefficients increases with the level of non‐audit services acquired from industry specialist auditors compared to nonspecialist auditors.     

Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets

We examine how the September 2008 short sale restrictions and the accompanying confusion and regulatory uncertainty impacted equity option markets. We find that the short sale ban is associated with dramatically increased bid‐ask spreads for options on banned stocks. In addition, synthetic share prices for banned stocks become significantly lower than actual share prices during the ban. We find similar results for synthetic share prices of hard‐to‐borrow stocks, suggesting that the dislocation in actual and synthetic share prices is attributable to the increased hedging costs for options on banned stocks during the short sale ban.     

委托单类型及其对市场流动性的影响研究

引言 委托单类型是市场设计中需要考虑的一个重要问题.委托单是投资者对经纪人和交易所发出的要求执行其交易的指令,也是投资者制定交易策略必须考虑的最基本的问题.为了实现有效的交易,委托单明确地规定投资者交易什么股票、是买还是卖、买卖的数量、什么时候交易以及如何交易,然而最重要的是:以什么条件交易?     

资产证券化对金融市场流动性的影响:文献评述

增大流动性是资产证券化的基本功能,资产证券化这项金融创新自从其诞生之初就是为了增大金融市场的流动性,但从本次次贷危机可以看出,资产证券化在有些时候还可以导致金融市场的流动性紧缩.本论文就是依照资产证券化对金融市场流动性的正面和负面影响两条主线,来梳理国内外学者有关资产证券化对金融市场流动性影响的研究文献,并对这些文献进行简短的评述.     

股票流动性对公司资本结构的影响研究

本文分析了流动性对公司资本结构的影响。理论分析表明,一个公司股权交易流动性的提高,使得公司股权融资成本得以降低,公司更倾向于采用增发、配股等股权融资的方式融资,这会降低公司的财务杠杆率。同时,借鉴资本结构动态调整的思想分析,发现个股流动性越高,资本结构的调整速度越快。本文基于2002—2010沪深两市发行的非金融业A股数据,采用面板数据回归等方法研究了股票流动性等因素对公司资本结构的影响,本文的经验结果支持这一理论假设。     

政府债券市场流动性研究

政府债务管理的关键是建立具有高流动性的二级市场。影响政府债券市场流动性的因素包括产品设计、市场结构、交易机制、信息披露和税收等问题。提高市场流动性的途径包括交易的竞争性结构，将税收对流动性的负面影响最小化，提高交易信息的透明度，标准化交易和清算操作，市场参与者的多元化，确定核心资产，满足基准债的市场需求，完善回购市场和衍生工具市场的功能，培育机构投资者，充分的市场监管等。     

The Effect of Market Transparency: Volatility and Liquidity in the Korean Stock Market

Faced with unprecedented competition, stock markets should have fairness and transparency. The effects of market transparency for the stock market volatility and liquidity will be investigated using the case of the Korean stock market. The evidence from this study indicates that increasing the market transparency makes the price discovery process more efficient than before from the viewpoint of stock market volatility, and increases the stock market liquidity compared with before.     

The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market

This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the on/off cycle. Comparing pairs of securities in time-series regressions allows us to disregard any fixed cross-sectional differences between securities. Also, since the liquidity of Treasury notes varies predictably over time, we can distinguish between current and future liquidity.We compare a variety of (microstructure-based) direct measures of liquidity to compare their effects on prices.We show that the liquidity premium depends primarily on the amount of remaining future liquidity.     

ETF上市对中小企业板市场质量影响的研究

本文探讨中小企业板交易型开放式指数基金（中小板ETF）上市交易对市场质量的影响。研究结果发现：中小板ETF上市交易后，以Amivest比率衡量的中小企业板价格指数（中小板P指数）的流动性是增加的；以GK波动值衡量的中小板P指数的波动性是减小的：市场效率系数法与暂时性价格变动效果分析结果均显示：中小板ETF上市交易后，中小板P指数定价的有效性得到提升。综合来看，引入ETF交易后，中小企业板市场的整体质量变好。     

上海期货市场流动性研究

一般地讲,一个流动性越好的市场,配置资源的效率就越高.对于期货市场而言,流动性是交易制度设计和合约设计的重要目标之一,也是考察市场效率和功能发挥的重要指标.期货市场流动性可以表述为:期货市场参与者迅速进行大量期货合约交易,并且不会导致合约价格发生显著波动.一个具有较好流动性的期货市场,应具有较低的交易成本和较快的指令执行速度,并且能迅速平复大额交易对期货合约价格的冲击.     

The Downside of Asset Screening for Market Liquidity

This paper explores the tension between asset quality and market liquidity. I model an originator who screens assets whose cash flows are later sold in secondary markets. Screening improves asset quality but gives rise to asymmetric information, hindering trade of the asset cash flows. In the optimal mechanism (second‐best), costly retention of cash flows is essential to implement asset screening. Market allocations can feature too much or too little screening relative to second‐best, where too much screening generates inefficiently illiquid markets. Furthermore, the economy is prone to multiple equilibria. The optimal mechanism is decentralized with two tools: retention rules and transfers.     

最小报价单位对证券市场流动性的影响

目前世界上主要交易所基本上是采用十进制的报价方式，但是对不同的股票价位，其最小报价单位还有一定的区别。这从一个侧面反映了最小报价单位对市场质量的影响还有待进一步研究。     

我国银行间债券市场流动性分析

2003年我国银行间债券市场成交量达到15.12万亿元,比2002年的10.63亿元增长了42.28%.其中,回购成交11.97亿元,增长16.23%;现券成交3.16万亿元,增长了6.27倍,成为银行间债券市场的一大亮点.     

Market Liquidity and Ambiguity: The Certification Role of Corporate Governance

We investigate how firm‐specific certification practices through corporate governance can reduce perceived ambiguity and thus enhance liquidity of a firm in the stock market. We show that better corporate governance helps reduce ambiguity. In addition, a reduction in ambiguity is significantly related to higher liquidity of firms. Our results are robust to alternative model specifications and measures of ambiguity, and remain statistically significant after controlling for other known determinants of ambiguity and liquidity. Our results shed light on how ambiguity can be moderated through firm‐level certification practices and on the channel through which a moderation of ambiguity affects shareholder wealth.     

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) account for up to 26% of the day‐to‐day variation in yields on days without major macroeconomic announcements. The effect of orderflow on yields is permanent and strongest when liquidity is low. All of the evidence points toward an important role of price discovery in understanding the behavior of the yield curve.     

影子银行影响货币市场流动性的机制研究

本文分析了影子银行影响货币市场流动性的理论途径。近年来,影子银行在满足多样化社会融资需求方面发挥了独特作用。但过度地和不规范地使用这一体系却可能助长金融资源的配给现象,同时加剧商业银行资金的期限错配。这两个维度上的资金错配都可能放大商业银行体系的脆弱性。当市场信心受到冲击时,商业银行将采取流动性囤积行为,进而导致流动性资产供求失衡,市场出现较大的利率波动。本文使用VAR模型对2006年1月到2013年6月的数据进行的实证检验支持了以上分析。     

Market Value of REIT Liquidity

We examine the relation between firm value and liquidity among REITs. Results show shareholders benefit from both cash and unused credit line capacity. The market values an additional dollar of cash at a premium and, as theory predicts, unused credit lines are significantly less valued than cash. Evidence suggests an increase in the market value of liquidity during the recent financial crisis. We also find that financial characteristics quantifying financial constraint influence the value of REIT financial flexibility. Most notably, the value of cash decreases with remaining credit line capacity. Although prior studies argue that cash and credit lines are substitutes, this is one of the first tests of whether the market prices this substitutability.