Liquid speed: A micro-burst fee for low-latency exchanges
In: Journal of Financial Markets, Volume 64, June 2023, 100785
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In: Journal of Financial Markets, Volume 64, June 2023, 100785
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In: Journal of Financial Markets, Band 66, Heft 2023
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In: Finance Research Letters, 51 (January 2023), 103350
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In: Journal of Financial Markets, Volume 55, September 2021, 100601
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In: Management Science 66 (2020), 4573-4593
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In: Journal of Banking and Finance, 65 (2016) 41–58
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In: Review of Financial Studies 30 (2017), 1188--1228
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In: Swedish House of Finance Research Paper No. 21-25
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In: Journal of Financial Markets, Volume 54, June 2021, 100583
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In: European Finance Association 2020 Helsinki
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In: Western Finance Association Paper 2022, EUROFIDAI-ESSEC Paris December Finance Meeting 2022
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R&R at the Journal of Financial Economics ; We provide evidence of the effects of introducing a central clearing counterparty (CCP) on price stability by adopting as an experimental construct the 2009 clearing reform in three Nordic equity markets. We find that the daily price volatility of the affected equities experience an economically significant decline of 8.8% relative to pre-reform levels. The decrease in volatility is more pronounced for stocks with a higher margin cost impact, consistent with the predictions of dynamic asset pricing models. We also find that the reform induces a sharp decline of 9.8% in trade volume but no deterioration in market quality as captured by trading costs and information measures. Overall, our results suggest that the adoption of central clearing enhances price stability. Our results also suggest an important coordination role for policy in implementing clearing reforms, since investors failed to voluntarily clear trades in the CCP when given the option.
BASE
R&R at the Journal of Financial Economics We provide evidence of the effects of introducing a central clearing counterparty (CCP) on price stability by adopting as an experimental construct the 2009 clearing reform in three Nordic equity markets. We find that the daily price volatility of the affected equities experience an economically significant decline of 8.8% relative to pre-reform levels. The decrease in volatility is more pronounced for stocks with a higher margin cost impact, consistent with the predictions of dynamic asset pricing models. We also find that the reform induces a sharp decline of 9.8% in trade volume but no deterioration in market quality as captured by trading costs and information measures. Overall, our results suggest that the adoption of central clearing enhances price stability. Our results also suggest an important coordination role for policy in implementing clearing reforms, since investors failed to voluntarily clear trades in the CCP when given the option.
BASE
R&R at the Journal of Financial Economics ; We provide evidence of the effects of introducing a central clearing counterparty (CCP) on price stability by adopting as an experimental construct the 2009 clearing reform in three Nordic equity markets. We find that the daily price volatility of the affected equities experience an economically significant decline of 8.8% relative to pre-reform levels. The decrease in volatility is more pronounced for stocks with a higher margin cost impact, consistent with the predictions of dynamic asset pricing models. We also find that the reform induces a sharp decline of 9.8% in trade volume but no deterioration in market quality as captured by trading costs and information measures. Overall, our results suggest that the adoption of central clearing enhances price stability. Our results also suggest an important coordination role for policy in implementing clearing reforms, since investors failed to voluntarily clear trades in the CCP when given the option.
BASE