本論文研究目標為：1. 描述台灣股票市場中訂單簿（order book）的若干特徵。2. 分析訂單流 (order flow) 與訂單簿間交互作用的均衡關係。 3. 探討流動性消耗者與流動性提供者如何進出市場而維持市場機能。 本研究資料來自台灣證券交易所。台灣股市的市場結構迥異於世界其他大部分的市場，採取自動化、間斷時間 (auto-electronic, periodic call) 的撮和方式：單子全部集合在交易所的電腦系統中，依照價格優先、時間優先的原則，每隔45至60秒批次執行撮和。Handa及Schwartz (1996年) 指出，這種市場結構和其他連續撮和的市場有著根本上的不同，尤其是訂單流的匯總方式與市場結清價的形成過程，但目前較少有研究提及。 在過去的文獻中，1995年Biais、Hillion及Spatt以巴黎股市中CAC 40指數的成分股為樣本，首開訂單流與訂單簿間交互作用的研究。他們直接觀察並描繪訂單在各價位的分佈情形，發現當買賣價差 (bid-ask spread) 比較大或訂單簿比較薄（亦即市場流動性較差）時，接下來會有比較多的限價單(limit orders)進場提供流動性；相反地，當spread比較小的時候，接下來會有比較多的市價單(market orders)進場消耗流動性。雖然他們有注意到買賣單、限價單、市價單對價格推升或壓低的作用，但對於引發這些變化的因素卻沒有進一步的闡釋。 1998年，Handa、Schwartz及Tiwari清楚地指出，短暫價格波動 (short-term volatility) 在促進市場達到流動性均衡方面扮演關鍵的角色。由於有基於流動性動機而進場的投資人，此時市價單與限價單成交所造成的短暫價格波動正好補償限價單交易者所面臨的資訊不對稱風險，吸引限價單進場並提供流動性；而有立即性(immediacy)需求的投資人就會下市價單而消耗流動性。1999年，Foucault把Handa等人的推論發展為賽局模型，強化下單決策與價格形成的理論，並建議以訂單流的組成成分進行實證。 這些理論在2000年Ahn、Bae和Chan發表的研究中獲得實證的支持。該文以市場深度差作為市價單限價單組成成分的代理變數，首先驗證短暫價格波動的確是使市場達流動性均衡的重要因素：當價格向上波動，將吸引限價單流入市場提供流動性；而流動性的增加將減緩價格的波動。並進一步分析價格形成過程，發現若價格波動由賣方引發，則限價賣單為流動性提供者；若價格波動來自買方，則限價買單為流動性提供者。 本研究不同於前述研究之處，其一在於台灣股票市場結構的不同。因為所有的單子，不論是新進入或殘留的、不論是買還是賣，全部都集合在電腦系統中等待撮和，因此限價單不見得是流動性提供者，市價單也不見得是流動性消耗者。其二在於直接觀察訂單分佈情形，比Biais等人更深入研究訂單變化、比Ahn等人更清楚地分析變化的過程。 本論文將市場中的單子區分為新委託單(new orders)、殘留單(stale orders)及成交單(executed orders)三大類，取得每個撮和時點前、後買賣雙方在各價位的分佈和變化情形。結果發現，大部分的新委託單並沒有立即成交（約40%沒有立即成交）；成交單中殘留單與新委託單成交的比例在任何時間區間都遠高於新委託單互相成交的比例。也就是說，殘留單對市場流動性的均衡扮演關鍵的角色。

I investigate the trading decisions of a large institutional liquidity trader by using a detailed data set from a transition management firm. The data set contains records for all trades of transitions completed between January 2008 and September 2008. Effective execution involves a trade off between trading patiently over time to minimize price impact costs and trading quickly to avoid opportunity costs due to price volatility. I estimate a model of transition duration that accounts for volatility, an order's percentage of average daily volume, and the bid--ask spread to uncover the firm's strategy of how quicklyto trade. To understand the firm's intermediate trading decisions, I estimate a vector autoregression that summarizes the dynamic relationship of volatility, trading volume, the bid--ask spread, and order type and order duration. My analysis suggests that the firm behaves strategically to minimize the total costs of trading.

Yes / This paper investigates the influence that information asymmetry may possess upon the future volatility, liquidity, market toxicity and returns within cryptocurrency markets. We use the adverse selection component of the effective spread as a proxy for overall information asymmetry. Using order and trade data from the Bitfinex Exchange, we first document statistically significant adverse selection costs for major cryptocurrencies. Our results also suggest that adverse selection costs, on average, correspond to ten percent of the estimated effective spread, indicating an economically significant impact of adverse selection risk on transaction costs in cryptocurrency markets. We finally document that adverse selection costs are important predictors of intraday volatility, liquidity, market toxicity, and returns. / Türkiye Bilimler Akademisi. Grant Number: Outstanding Young Scientist. / The full-text of this article will be released for public view at the end of the publisher embargo on 11 Jan 2025.

We use an information asymmetry index , which is based on measures of adverse selection developed by market microstructure literature rather than on ex-ante firm characteristics, to measure the level of information asymmetry . Then we want to test how the information asymmetry, the sole and principal determinant of the pecking order theory, basically affects capital structure decision. During the period 1995-2005, We find that information asymmetry does affect firm¡¦s debt issuance positively and significantly, especially when firms¡¦ size are large and when firm¡¦s financing needs are high. Furthermore, we find there are some other determinants have important influence on firms¡¦ financing decision. This result can explain why the literatures are always only partially successful in interpreting firms¡¦ financing decisions. It also suggests that if we test models under basic assumptions, we can find some support in any theory.

Background: Ever since Sharpe, Treynor and Jensen advanced the methods of fund performance evaluation in the 60’s it has been a popular field of study in academia. As the intricacies of fund performance was untangled it became clear that paying for active management doesn’t yield higher cost adjusted returns. An Index investment strategy is the most sensible approach and it’s the associated cost which separate index vehicles. Exchange traded funds have risen as a competitor to the conventional index mutual fund but the research evaluating these is very scarce. The research conducted comparing the costs of the two vehicles do not take into account implicit transaction costs that in turn depend on specific market microstructure designs and could affect the cost relationship. The problem: Do liquidity and market structural disparities between markets affect the cost relationship between exchange traded funds and index mutual funds, through the implicit transaction cost? Objective of the research: The objective of this paper is to examine whether structural differences between markets affect implicit transaction costs to the extent that the cost relationship between index funds and exchange traded funds differ from earlier findings. Method: The need to generalize the findings prompted a quantitative approach to the research. Comparative examination will be done on the microstructure and liquidity of two different markets. The transaction costs will then be measured with statistical means and incorporated in a cost comparison model. Result and conclusion: There are architectural and liquidity differences between the two sample markets allowing for systematic differences in transaction cost, which were found but were not a significant contributor to the tracking error cost of the index mutual funds. The Swedish ETF do not get more profitable as the investment sum increases. A finding which contradicts earlier findings and is likely a consequence of the Swedish tax-laws for capital gains as well as the higher levels of management fees for ETFs. ETFs might still be a worthwhile investment since they possess unique qualitative benefits.

In this paper, we model price dispersion effects in over-the-counter (OTC) markets to show that, in the presence of inventory risk for dealers and search costs for investors, traded prices may deviate from the expected market valuation of an asset. We interpret this devia- tion as a liquidity effect and develop a new liquidity measure quantifying the price dispersion in the context of the US corporate bond market. This market offers a unique opportunity tofstudy liquidity effects since, from October 2004 onwards, all OTC transactions in this marketfhave to be reported to a common database known as the Trade Reporting and CompliancefEngine (TRACE). Furthermore, market-wide average price quotes are available from MarkitGroup Limited, a financial information provider. Thus, it is possible, for the first time, to directly observe deviations between transaction prices and the expected market valuation of securities. We quantify and analyze our new liquidity measure for this market and find significant price dispersion effects that cannot be simply captured by bid-ask spreads. Wefshow that our new measure is indeed related to liquidity by regressing it on commonly-usedfliquidity proxies and find a strong relation between our proposed liquidity measure and bond characteristics, as well as trading activity variables. Furthermore, we evaluate the reliability of end-of-day marks that traders use to value their positions. Our evidence suggests that the price deviations from expected market valuations are significantly larger and more volatile than previously assumed. Overall, the results presented here improve our understanding of the drivers of liquidity and are important for many applications in OTC markets, in general. (authors' abstract)

Diss. Växjö : Växjö universitet, 2009.

Theoretical models suggest that ownership structure may be an important determinant of securities' market characteristics. For example, the presence of informed traders leads to greater bid-ask spreads (Copeland and Galai (1983), and Glosten and Milgrom (1985)), and strategic trading of informed and discretionary liquidity traders leads to intertemporal variation in both trading volume and trading costs (Admati and Pfleiderer (1988), and Foster and Viswanathan (1990)). However, the empirical studies on the effect of ownership structure on market characteristics are limited. Prior studies focus on either one type of market characteristics or one type of owners, and usually do not address the potential endogeneity problem between market characteristics and ownership structure. This dissertation extends existing literature with two essays on ownership and market characteristics. The first essay broadly examines the effect of ownership structure (inside ownership, institutional ownership, and individual ownership) on market characteristics such as order flow, price impact of trade, quoted spread and quoted depth. For each market characteristic examined, I establish an empirical model based on existing theories and empirical evidence. My results indicate that stocks with greater inside ownership have lower order flow, greater price impact of trade, greater quoted spread and lower quoted depth, while stocks with greater active institutional ownership and greater individual shareholders have greater order flow, smaller price impact of trade, lower spread and greater depth. These results may have implications for corporate governance. For example, while agency theory suggests managerial ownership may align interests of managers and shareholders, this essay finds that this comes with a liquidity cost. Further, my results suggest there are liquidity benefits of individual and institutional ownership. If as suggested by Amihud and Mendelson (1989), investors require a higher rate of return for illiquid stocks, firms can target their shares to specific types of investors (for example, active institutions and individuals) to improve liquidity, and reduce their cost of capital. The second essay is a specific application of the first essay and examines the effect of institutional ownership on price discovery around earnings announcements. I select earnings announcements as the event for my analysis because there are three well-documented regularities about earnings announcements. First, market participants anticipate the forthcoming earnings announcements. Second, the announcements of earnings news are usually accompanied by abnormal price changes and abnormal volume. Third, there is evidence that stock price continues to move in the direction of earnings surprise after the announcements of earnings news. Since results from the first essay suggest that institutional investors affect market characteristics such as price impact of trade and quoted spread, I expect that institutional participation would also affect the price discovery process around earnings announcements. My results indicate that institutional ownership is associated with greater anticipation of earnings news. Further, stocks with greater institutional ownership have a greater price response to announcements of earnings news. Finally, institutional investors have no significant effect on post-announcement drift. The results of the second essay suggest that institutional investors contribute to the price discovery process. / Ph. D.

On propose une perspective originale d'analyser les différents flux hautes fréquences d'information provenant des marchés financiers et fournit des modèles simples et intuitives qui reflètent étroitement la réalité. On observe les données empiriques et note certains faits stylisés et propose des modèles pour capturer ces faits. Dans le chapitre 1, on passe en revue les définitions et propriétés de base des marchés électroniques. En particulier, on revoit les travaux de microstructure et de modélisation du marché, et leurs relations à ce travail. On introduit la taille du "tick", qu'on utilise pour classifier les actifs et interpréter les différents résultats. Dans le chapitre 2, on montre empiriquement que l'impact d'une seule transaction dépend de la durée inter-transactions. En effet, lorsque le taux des échanges devient plus rapide, la variance des rendements des transactions augmente fortement et que ce comportement persiste à des échelles de temps plus grossières. On montre également que la valeur du spread augmente avec l'activité et on en déduit que les carnets d'ordres sont plus vide lorsque le taux des échanges est élevé. Dans le chapitre 3, on présente un modèle pour capturer le bruit de microstructure. Les prix des actifs sont représentés par la somme des rendements "tick" arrivant à des temps de Poisson aléatoires. Le modèle se compose d'une martingale diffusive contaminée par un bruit autocorrélé mais disparaissant aux échelles grossières. On est capable de capturer la signature de la variance et l'autocorrélation faible mais significative des rendements "tick". Dans le chapitre 4, on utilise les processus ponctuels de Hawkes pour modéliser l'arrivée aléatoire des transactions. On modélise la transformation échelle fine - échelle grossière des prix et en particulier l'effet sur les moments des rendements des prix. On propose une technique simple d'estimation non paramétrique de la structure de dépendance des processus de Hawkes dans le cas unidimensionnel et dans quelques cas particuliers multidimensionnels. On applique la méthode à des actifs de Future et trouve des noyaux de dépendance en loi de puissance.

Cette thèse contribue à trois sujets en économie de la réglementation des télécommunications. Le premier chapitre examine le débat autour de la réglementation de la neutralité des réseaux. Il étudie les conséquences d'une réglementation dans laquelle un fournisseur de contenus « indispensables » est disposé à conclure des accords d'investissement conjoint avec des fournisseurs d'accès à Internet. Le deuxième chapitre est consacré à l'investissement sur les réseaux de nouvelle génération dans un environnement réglementé et dans lequel les retours sur investissement sont incertains. Il illustre comment les contrats d'accès avec des clauses d'engagement peuvent être plus efficaces que de simples tarifs d'accès basés sur l'utilisation. Le troisième chapitre analyse l'investissement lorsque le progrès technique est endogène. Il étudie le processus dynamique d'innovation dans un marché où les n entreprises peuvent réinvestir leurs bénéfices présents pour réduire leurs coûts futurs. Il développe un jeu différentiel pour capter les effets dynamiques et décrit les conséquences de la concurrence imparfaite sur le progrès technique.