Does algorithmic trading harm liquidity? Evidence from Brazil

This paper provides the first evidence of algorithmic trading (AT) reducing liquidity in the Brazilian equities market. Our results are contrary to the majority of work which finds a positive relationship between AT and liquidity. Using the adoption of a new data center for the B3 exchange as an exogenous shock, we report evidence that AT increased realized spreads in both firm fixed-effects and vector autoregression estimates for 26 stocks between 2017 and 2018 using high-frequency data. We also provide evidence that AT increases commonality in liquidity, evidencing correlated transactions between automated traders.     

运用机会成本法进行土地评估的理论探讨

随着我国经济体制改革和土地市场改革的深化，传统的土地估价方法体系受到了挑战。现行的估价理论与方法体系中缺少适合评估公共建筑用地价格的方法。受微观经济学中机会成本概念的启发，提出了一种新的估价思路——机会成本法，并就该方法的理论基础、假设条件、应用的范围及应用的关键进行了论述。     

Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?

This study investigates commonality in daily liquidity among 11 emerging stock markets from the Middle East and North Africa from January 2005 to June 2017. First, we test long memory in liquidity in these markets. Second, we select a number of factors eligible to affect liquidity commonality among local, regional and global factors. We find that regional and US factors do not explain liquidity variations in all the markets that exhibit low sensitivity to external factors. Our results are robust to the use of alternative proxies. The analysis in sub-periods confirms our results showing that most markets are not very sensitive to fluctuations and external shocks of liquidity. For international investors, stock markets in the Middle East and North Africa present an opportunity for further diversification, as these markets exhibit weak correlations between them and with the global market with regard to liquidity.     

An experimental investigation of valuation change due to commonality in vertical product line extension

Commonality in product line design refers to using identical product features or modules in multiple products. The use of commonality in product line extensions is a growing practice in many industries. We consider vertical product line extensions to lower- and higher-end products, and study the effects of identical feature levels on consumers' evaluation of original products. Using a between-subject experimental design, we examine the effect of commonality using the bicycle as the example product. This experiment is then extended to eight different service and manufactured products. Results show that in many cases identical feature levels increase the perceived similarity between original and extension products. This influences the valuation of original products: valuation of the original low-end product increases while valuation of the original high-end product decreases. However, the amount of valuation change is not necessarily the same for the original low- and high-end products. This valuation change occurs regardless of buyers' knowledge level of the product and is sometimes moderated by a large difference in a differentiated feature.
This study suggests the importance of accounting for the demand-side effect of commonality in product design decisions. Change in customers' valuation may call for an adjustment in price—the price of a high-end product may have to be lowered due to valuation discount, and the price of a low-end product could be raised to take advantage of valuation premium. This change in valuation does not occur for every feature in every product. Therefore, by properly selecting the features that are identical, a firm may be able to take advantage of valuation premium without sacrificing valuation discount and enjoy the economies of scale in manufacturing and logistics due to commonality.     

Firm size,ownership structure,and systematic liquidity risk: The case of an emerging market

Previous studies support the hypothesis that institutional ownership leads to an enhanced systematic liquidity risk by increasing the commonality in liquidity. By using a proprietary database of all incoming orders and ownership structure in an emerging stock market, we show that institutional ownership leads to an increase in commonality in liquidity for mid- to-large cap firms; however, only individual ownership can lead to such an increase for small cap firms, revealing a new source of systematic liquidity risk for a specific group of firms. We also reveal that commonality decreases with the increasing number of investors (for both individual and institutional) at any firm size level; suggesting that as the investor base gets larger, views of market participants become more heterogeneous, which provides an alternative way to decrease the systematic liquidity risk.     

Determinants of commonality in liquidity: Evidence from an order-driven emerging market

Using an extensive, time-series, cross-sectional data-set of actively traded Indian stocks with up to 1.75 million firm-day observations, we discern the key determinants of commonality in liquidity among emerging markets. The paper shows evidence for both supply-side and demand-side factors contributing to liquidity commonality. However, the results are more supportive towards supply-side rationale for liquidity commonality among the firms where regulators and banks play an important source of commonality in liquidity, especially during market turmoil. Results are partially driven by the fact that the Indian stick exchange is an order-driven market. Economic activities like cheap exports and undervalued currency, rather than correlated trading by the institutional investors determine the demand for liquidity. These findings endorse the effect of high firm value, market return, liquidity, volatility, turnover, and alternate proxies of commonality in liquidity estimation.     

Commonality in hedge fund returns: Driving factors and implications

We measure the commonality in hedge fund returns, identify its main driving factor and analyze its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure to emerging market equities, which we identify as a common factor in hedge fund returns over this period. Our results show that funds with a high commonality were affected disproportionately by illiquidity and exhibited negative returns during the subsequent financial crisis, thereby providing little diversification benefits to the financial system and to investors.     

An analysis of commonality in the twin metropolitan areas of San Diego, California, and Tijuana, Mexico

A new application of spatial analysis is developed and applied to study the international twin metropolitan region of Tijuana, Mexico, and San Diego, California. Information on 16 variables from the US and Mexican censuses are merged in a common framework. A two-stage cluster analysis is applied to small area samples to determine metropolitan zones with common sets of characteristics. The results of the cluster analysis are spatially mapped and analyzed. This is done for all 16 variables, as well as for four variable groups that are determined through literature review and experience, and for an alternative set of variable groups derived from the data. The extent of commonality, defined as the similarity between socioeconomic and demographic profiles of the population in the San Diego-Tijuana region, is examined through the development of a commonality index that is determined by the extent of cluster overlap on both sides of the border. The findings are interpreted with respect to the research literature. The methods can be applied within academic research or in the planning of border cities having consistent data sets on both sides.     

Intraday liquidity patterns in Indian stock market

This paper is an empirical study of the intraday liquidity patterns on the National Stock Exchange (NSE) of India. Using trade and quotes data on stocks contained in the NIFTY index, we find that most of the volume and spread related to liquidity measures are U-shaped, similar to those found in a quote driven market. Such patterns also indicate a contradictory feature of concurrent high trading volume and wide spreads, a feature that is new to an order driven market such as the NSE. Additionally, this paper also measures marketwise liquidity by checking for commonality among liquidity measures. Empirical results show that there is only weak evidence of commonality, suggesting sensitivity to commonality need not be a priced risk.     

Taxation and international banking

The purpose of this paper is an examination of the relationship between taxation and the working of international banking arrangements. The main task is directed to the ways taxation determinations by national authorities affect the ways international banks go about their business. International coordination through the Organisation for Economic Co-operation and Development (OECD) is a major focus of the analysis. There is no general exposition of principles bearing upon international taxation. Rather, attention is directed to the determination of tax obligations in any one jurisdiction. Thus, there is a close scrutiny of the mechanics of taxation in the international setting bringing out the uncertainties and the imponderables in any application. Much attention is given to structural arrangement in international banking as well as capital arrangements in any one jurisdiction and how this applies to and affects the banking group as a whole. The result is to bring out the complexity of the agenda for tax applications on a common basis across internationally operating groups. Most jurisdictions recognise that they cannot await common agreements because new instruments and arrangements emerge at very frequent intervals and their tax implications have to be addressed. There has to be relief from uncertainty if markets are to develop effectively. Thus, there is in an importance sense of partnership between tax authorities and market participants in many countries. International deliberations have taken too long.