On the hidden side of liquidity

This article deals with the informativeness of iceberg orders, also known as hidden limit orders (HLOs). Namely, we analyze how the market reacts when the presence of hidden volume in the limit order book is revealed by the trading process. We use high-frequency book and transaction data from the Spanish Stock Exchange, including a large sample of executed HLOs. We show that just when hidden volume is detected, traders on the opposite side of the market become more aggressive, exploiting the opportunity to consume more than expected at the best quotes. However, neither illiquidity nor volatility increases in the short term. Furthermore, the detection of hidden volume has no relevant price impact. Overall, our results suggest that market participants do not attribute any relevant information content to the hidden side of liquidity.     

Is Off–Board Trading Detrimental to Market Liquidity?

Dual trading can have opposite effects: although competition between markets should induce dealers to offer cheaper transactions, market fragmentation could reduce market activity, liquidity, and exchange efficiency. This paper shows that for French stocks traded on the London Stock Exchange's SEAQ International (SEAQ–I), market activity decreases significantly in the Paris Bourse during UK bank holidays. Thus, SEAQ–I market makers seem to divert a new clientele to the Paris Bourse, increasing both market activity and the breadth of the Bourse's order book. Also, contrary to the fragmentation hypothesis, dual trading does not seem to increase information asymmetry.     

Competition and Information Production in Market Maker Models

Abstract:   The microstructure literature models the mechanisms through which fundamental information is incorporated into market prices. This paper extends previous models by endogenising information production and analysing incentives for costly information production. In contrast to the existing literature, increasing the number of informed traders can result in reduced price informativeness. When prices have an allocative role this has welfare consequences: the regulatory implications of a dichotomy between private and public incentives for information gathering are discussed.     

融资流动性与债券资产流动性的互动特征——基于MS-VAR模型的时变分析

依据2015-2021年货币市场和债券市场的时间序列数据,运用MS-VAR探究了不同违约风险环境下融资流动性与债券资产流动性间的互动关系。研究发现：无论是利率债还是信用债,其资产流动性与货币市场的融资流动性存在互为正反馈的流动性螺旋。此外,两类流动性间的互动特征存在非对称性和异质性,在风险时期,融资流动性与利率债资产流动性互动特征比较明显,而在平稳时期,融资流动性与信用债资产流动性互动特征比较明显。     

Rollover risk and credit risk under time-varying margin

For a firm financed by a mixture of collateralized (short-term) debt and uncollateralized (long-term) debt, we show that fluctuations in margin requirements, reflecting funding liquidity shocks, lead to increasing the firm’s default risk and credit spreads. The severity with which a firm is hit by increasing margin requirements highly depends on both its financing structure and debt maturity structure. Our results imply that an additional premium should be added when evaluating debt in order to account for rollover risks, especially for short-matured bonds. In terms of policy implications, our results strongly indicate that regulators should intervene fast to curtail margins in crisis periods and maintain a reasonably low margin level in order to effectively prevent creditors’ run on debt.     

Traders’ choice between limit and market orders: evidence from NYSE stocks

In this paper, we examine a trader's order choice between market and limit orders using a sample of orders submitted through NYSE SuperDot. We find that traders place more limit orders relative to market orders when: (1) the spread is large, (2) the order size is large, and (3) they expect high transitory price volatility. A rise in informational volatility appears neither to increase nor decrease the placement of limit orders. We also find that a rise in lagged price volatility decreases the size of spread, which is driven by the increase in the placement of limit orders.     

The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders

This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather than the more common analysis of indicative quotes. In general, limit and market orders exhibit broadly similar tail behaviour, but limit orders have significantly heavier tails and larger tail quantiles than market orders.     

交易所大宗交易流动性折价研究——来自沪深交易所的经验证据

随着证券市场规模的扩大及机构投资者规模的壮大，机构投资者对市场流动性的需求日益剧增，大宗交易制度是满足投资者流动性需求的制度性创新。由于大宗交易的数量较大，其交易价格有别于正常交易规模的价格。本文利用沪深交易所的大宗交易数据实证探讨大宗交易价格及其影响因素。研究结果表明，大部分大宗交易价格低于当日收盘价格，呈现流动性折价现象，折价率达到1．27％：研究还发现，折价水平还受交易数量、正常交易时间段股票流动性水平、市场流动性水平及股价波幅等因素影响。     

金融结构的演变与流动性创造形式的变化

金融结构的不断演变,使得流动性的内涵和创造形式发生了变化。本文认为,在市场主导型的金融结构下．具有较强市场流动性的金融资产被纳入到广义流动性的范畴。非银行金融机构在金融市场上以证券化的方式创造流动性．这是一种广义的、内生于金融市场的流动性扩张,导致整个社会可贷资金总量快速增加,流动性创造形式的变化影响到宏观经济金融的稳定。一国政策当局应该加强流动性管理,建立以流动性为核心的政策框架体系。     

我国农村地区金融排斥研究

金融排斥理论是一门新兴理论。文章介绍了国内外金融排斥的研究现状,结合我国实际,研究我国农村地区金融排斥的空间差异,并通过建立计数模型,解析影响农村金融排斥的主要因素,提出如何实现城乡统筹视角下农村经济和金融的可持续性发展,体现了研究的实际意义。     

全球商业银行流动性风险管理与监管的发展状况及其启示

本文结合2007年夏秋爆发的美国次级债风波引发的全球流动性危机,从实践角度,对全球流动性风险的管理及其监管进行了一些探索和研究,着重分析了目前面临的挑战和显现的问题。同时结合国际良好做法,对加强我国流动性风险管理及其监管提出了相关建议,一是要切实高度重视商业银行流动性风险管理的监管;二是要及时制定流动性风险管理监管指引并加强对商业银行流动性的监控;三是要加强国际流动性风险管理和监管的跟踪研究;四是要加强各方协作,营造良好的流动性风险管理及监管环境。