Trading Volume-Induced Spatial Autocorrelation in Real Estate Prices

Spatial dependence is often seen as a problem in econometrics rather than in economics. This study seeks to find an economic explanation for spatially correlated real estate prices. We posit spatial dependence as a process to discover price information from neighboring property transactions. Weaker spatial dependence is expected when price information in the immediate vicinity of a subject property is abundant. In the context of apartment buildings, in addition to the more commonly known horizontal dependence, there is also spatial dependence in the vertical dimension within the same building. Based on more than 18,000 transactions of highly homogeneous apartment units in Hong Kong, we found that the trading volume of a building depresses horizontal spatial dependence, but raises vertical spatial dependence. This not only confirmed the role of trading volume in the real estate price discovery process, but also questioned the validity of constant spatial autocorrelation assumption adopted in many studies.     

Feedback Trading and Autocorrelation Patterns in Sub-Saharan African Equity Markets

This article examines feedback trading and autocorrelation pattern of stock returns in the equity markets of Ghana, Kenya, Nigeria, and South Africa. We find evidence that positive feedback trading induces negative autocorrelation in the stock returns of Ghana, Kenya, Nigeria, and South Africa. The negative autocorrelation occurs during periods of increasing volatility, and all the four equity markets exhibit volatility asymmetry. We also find that Ghana, Nigeria, and South Africa were influenced by the 2008–2009 global financial crisis, and South Africa experienced the largest impact. These findings may have implications for risk management and price discovery in these equity exchanges.     

Market Liquidity and Trading Activity

Previous studies of liquidity span short time periods and focus on the individual security. In contrast, we study aggregate market spreads, depths, and trading activity for U.S. equities over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile and negatively serially dependent. Liquidity plummets significantly in down markets. Recent market volatility induces a decrease in trading activity and spreads. There are strong day-of-the-week effects; Fridays accompany a significant decrease in trading activity and liquidity, while Tuesdays display the opposite pattern. Long- and short-term interest rates influence liquidity. Depth and trading activity increase just prior to major macroeconomic announcements.     

High-Frequency Trading and Market Performance

We study the consequences of, and potential policy responses to, high-frequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT, with consequences for this tradeoff: Information production decreases because informed traders have less time to trade before HFTs react, but liquidity (measured by the bid-ask spread) improves because informational asymmetries decline. HFT also pushes outcomes inside the frontier of this tradeoff. However, outcomes can be restored to the frontier by replacing the limit order book with one of two alternative mechanisms: delaying all orders except cancellations or implementing frequent batch auctions.     

证券交易的透明度与信息揭示制度：理论综述

证券交易过程中，交易信息的发布、扩散和传递方式对于各类市场参与者非常重要。目前关于信息揭示制度和交易透明度对市场运行效果的影响尚存在许多争议。本文讨论了交易透明度的含义、研究者和市场机构对于交易透明度的争论、交易透明度与市场绩效的关系，以及不同交易透明性的市场之间的竞争等问题，系统总结了目前与证券交易透明度和交易信息揭示有关的理论观点，以期把握交易信息揭示程度对市场产生的影响，以及由此引起的交易透明度对市场的运行效率产生的影响。     

Trading Activity and Financial Market Integration

We investigate the effect of trading activity in the Asian emerging markets on the market integration across Asian emerging and major developed markets over the sample period of 1997 to 2009. The empirical evidence confirms that higher trading activity in Asian emerging markets can induce these markets and developed markets to become more integrated. Furthermore, we identify the mediation effect of market volatility on Asian emerging markets. This effect demonstrates that trading activity in Asian emerging markets not only directly enhances market integration, but also intensifies market volatility, indirectly increasing market integration.     

高频交易与操纵市场

高频交易是资本市场上金融科技迅速发展的产物,是一种采用托管等低延时通信技术,通过高速信息处理,运用多个算法程序实施日内频繁交易的自动交易系统。尽管高频交易具有提供市场流动性、加深市场深度的积极意义,但也存在放大市场波动、为交易而交易且容易导致滥用市场交易优势的操纵行为。比较目前欧美对高频交易的监管实践,幌骗、试单、扰乱交易行为以及滥用市场成为高频交易操纵市场的主要手段。立足于我国现实,对集中于期货市场的高频交易应加强监管,完善透明、及时、公开的市场报价机制,明确涉及高频交易操纵行为的判断指标体系。     

市场质量与交易机制改革——以上海证券市场收盘方式变动为例

引言 证券市场的基本作用是通过证券交易促进资源的有效配置.发达有效的证券市场可以使企业以较低的成本在发行市场筹集资金,更好地发挥其筹资和优化资源配置的功能.在以往对证券市场及资产定价理论的研究中,绝大多数研究都把交易机制作为外生变量,认为交易机制在整个价格形成中无关紧要.     

Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading

Abstract:  This study examines trading activities before and after the transfer of the FTSE 100 index futures contract from open outcry to electronic trading. Daily order imbalance exhibits strong serial persistence in the electronic limit order market, but not in open-outcry trading. Both excess buying and selling reduce liquidity. In the electronic venue, prior market movements barely affect investors' buying or selling decisions. Excess buy orders do not generate any price impact, but sell orders do. Positive imbalances are more strongly autocorrelated than negative imbalances. No trading elements, such as order imbalance, volume, or open interest, are associated with volatility. Moreover, excess buying decreases volatility. Such evidence suggests that the development and growth of electronic trading has changed the dynamics of trading activities in many important ways.     

欧洲信贷资产流转市场调查研究

2017年7月,银行业信贷资产登记流转中心(以下简称"银登中心")考察小组赴英、法两国同业机构交流,期间先后访问了多家行业协会和金融机构,就欧洲信贷资产流转市场的基础设施、平台公司、自律组织等进行了考察调研。调研发现,欧洲信贷资产流转市场在三十多年的发展历程中,交易品种和交易模式逐渐丰富,具有行业自律作用突出、投资者结构多元化、市场分散度高且区域性强等特点,这对于金融基础设施服务的要求不断提高。在此基础上,本文从促进我国信贷资产流转市场进一步发展的角度出发,提出了制定并推广行业标准、完善金融基础设施服务、继续研究贷款评级和价格发现机制、推动银团贷款流转业务等建议。     

Market Making and Trading in Nasdaq Stocks

This paper examines the relations between the number of market makers, trading activity, and price improvement in Nasdaq stocks, using a model motivated by Grossman and Miller (1988). Results indicate a positive relation between the number of market makers and trading frequency, and that competition among market makers reduces effective bid-ask spreads. Results estimated using a simultaneous equations framework support the model predictions of Grossman and Miller. Results also indicate that trading frequency may be more important than trade size in determining the number of market makers.     

Trading and Returns under Periodic Market Closures

This paper studies how market closures affect investors' trading policies and the resulting return-generating process. It shows that closures generate rich patterns of time variation in trading and returns, including those consistent with empirical findings: (1) U-shaped patterns in the mean and volatility of returns over trading periods, (2) higher trading activity around the close and open, (3) more volatile open-to-open returns than close-to-close returns, (4) higher returns over trading periods than over nontrading periods, (5) more volatile returns over trading periods than over nontrading periods. It also shows that closures can make prices more informative about future payoffs.     

Liquidity Trading in Market Microstructure Theory

Liquidity trading is an important component of market microstructure models. In most cases, its role is primarily to ensure existence of equilibrium and therefore that trading occurs among asymmetrically informed agents. While most market microstructure models allege that agents trade based upon rational expectations, the rationality of the type of liquidity trading assumed in these models remains to be verified. Specifically, liquidity traders are often assumed to submit price-inelastic orders for reasons exogenous to the model at hand. But whether price-inelastic trading is consistent with rational utility maximizing behavior remains to be shown.     

Product Market Competition, Insider Trading, and Stock Market Efficiency

How does competition in firms' product markets influence their behavior in equity markets? Do product market imperfections spread to equity markets? We examine these questions in a noisy rational expectations model in which firms operate under monopolistic competition while their shares trade in perfectly competitive markets. Firms use their monopoly power to pass on shocks to customers, thereby insulating their profits. This encourages stock trading, expedites the capitalization of private information into stock prices and improves the allocation of capital. Several implications are derived and tested.     

Insider Trading in the OTC Market

In this paper, we examine the profitability of insider trading in firms whose securities trade in the OTC/NASDAQ market. Although the evidence suggests timing and forecasting ability on the part of insiders, high transaction costs (especially bid-ask spreads) appear to eliminate the potential for positive abnormal returns from active trading. By implication, outside investors who mimic the trading of insiders are also precluded from earning abnormal profits. In addition, we provide evidence on the determinants of insiders' profits. The data suggest that insiders closer to the firm trade on more valuable information than insiders removed from the firm.     

Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange

Asia-Pacific Financial Markets - This study investigates the impact of index futures trading on the spot market volatility for Ho Chi Minh Stock Exchange (HOSE). The data used in this study are...     

The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis

We find that option listings are associated with a decrease in the variance of the pricing error, a decrease in the adverse selection component of the spread, and an increase in the relative weight placed by the specialist on public information in revising prices for the underlying stocks. We also find that there is a decrease in the spread and increases in quoted depth, trading volume, trading frequency, and transaction size after option listings. Overall, our results suggest that option listings improve the market quality of the underlying stocks.     

Information, Trading, and Product Market Interactions: Cross-sectional Implications of Informed Trading

I present a simple model of informed trading in which asset values are derived from imperfectly competitive product markets and private information events occur at individual firms. The model predicts that informed traders may have incentives to make information‐based trades in the stocks of competitors, especially when events occur at firms with large market shares. In the context of 759 earnings announcements, I use intraday transactions data to test the hypothesis that net order flow and returns in the stocks of nonannouncing competitors have information content for announcing firms.