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Financial Market Design and the Equity Premium: Electronic versus Floor Trading

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Cited by:

  1. Craig W. Holden & Stacey Jacobsen, 2014. "Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions," Journal of Finance, American Finance Association, vol. 69(4), pages 1747-1785, August.
  2. Pankaj K. Jain & Jang‐Chul Kim, 2006. "Investor Recognition, Liquidity, and Exchange Listings in the Reformed Markets," Financial Management, Financial Management Association International, vol. 35(2), pages 21-42, June.
  3. Samarasinghe, Ama & Uylangco, Katherine, 2021. "An examination of the effect of stock market liquidity on bank market power," International Review of Financial Analysis, Elsevier, vol. 77(C).
  4. Hendershott, Terrence & Moulton, Pamela C., 2011. "Automation, speed, and stock market quality: The NYSE's Hybrid," Journal of Financial Markets, Elsevier, vol. 14(4), pages 568-604, November.
  5. Ahmad Al-Haji, "undated". "Are Small Stocks Illiquid? An Examination Of Liquidity-Improving Events," Review of Socio - Economic Perspectives 202068, Reviewsep.
  6. Art Durnev & Amrita Nain, "undated". "The Unanticipated Effects of Insider Trading Regulation," American Law & Economics Association Annual Meetings 1023, American Law & Economics Association.
  7. Lim, Kian-Ping & Kim, Jae H., 2011. "Trade openness and the informational efficiency of emerging stock markets," Economic Modelling, Elsevier, vol. 28(5), pages 2228-2238, September.
  8. Ma, Rui & Anderson, Hamish D. & Marshall, Ben R., 2019. "Risk perceptions and international stock market liquidity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 94-116.
  9. Zaremba, Adam & Umutlu, Mehmet & Maydybura, Alina, 2020. "Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns," Journal of Banking & Finance, Elsevier, vol. 121(C).
  10. Nielsson, Ulf, 2009. "Stock exchange merger and liquidity: The case of Euronext," Journal of Financial Markets, Elsevier, vol. 12(2), pages 229-267, May.
  11. Kamal A. El-Wassal, 2013. "The Development of Stock Markets: In Search of a Theory," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 606-624.
  12. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
  13. Samarasinghe, Ama, 2023. "Stock market liquidity and bank stability," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  14. Martinez, Valeria & Gupta, Paramita & Tse, Yiuman & Kittiakarasakun, Jullavut, 2011. "Electronic versus open outcry trading in agricultural commodities futures markets," Review of Financial Economics, Elsevier, vol. 20(1), pages 28-36, January.
  15. Charlie X. Cai & Jeffrey H. Harris & Robert S. Hudson & Kevin Keasey, 2015. "Informed Trading and Market Structure," European Financial Management, European Financial Management Association, vol. 21(1), pages 148-177, January.
  16. Boussetta, Selma, 2022. "Stock exchange governance and stock liquidity: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 66(C).
  17. Rashid Ameer, 2007. "Time‐varying Cost of Equity Capital in Southeast Asian Countries," Asian Economic Journal, East Asian Economic Association, vol. 21(2), pages 207-238, June.
  18. Kingsley Y. L. Fong & Craig W. Holden & Charles A. Trzcinka, 2017. "What Are the Best Liquidity Proxies for Global Research?," Review of Finance, European Finance Association, vol. 21(4), pages 1355-1401.
  19. de la Torre, Augusto & Gozzi, Juan Carlos & Schmukler, Sergio L., 2007. "Stock market development under globalization: Whither the gains from reforms?," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1731-1754, June.
  20. Mark Kamstra & Rpbert J. Shiller, 2008. "The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 271, August.
  21. Durnev, Art A. & Nain, Amrita S., 2007. "Does insider trading regulation deter private information trading? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 15(5), pages 409-433, November.
  22. Mark J. Kamstra & Robert J. Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Cowles Foundation Discussion Papers 1717, Cowles Foundation for Research in Economics, Yale University.
  23. Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2014. "High-Frequency Trading and Price Discovery," The Review of Financial Studies, Society for Financial Studies, vol. 27(8), pages 2267-2306.
  24. Robert Garrison & Pankaj Jain & Mark Paddrik, 2019. "Cross-Asset Market Order Flow, Liquidity, and Price Discovery," Working Papers 19-04, Office of Financial Research, US Department of the Treasury.
  25. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  26. Tim Jenkinson & Tarun Ramadorai, 2013. "Does One Size Fit All? The Consequences of Switching Markets with Different Regulatory Standards," European Financial Management, European Financial Management Association, vol. 19(5), pages 852-886, November.
  27. Karen Kunz & Jena Martin, 2015. "Into the Breech: The Increasing Gap between Algorithmic Trading and Securities Regulation," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(1), pages 135-152, February.
  28. Roberto Riccò & Barbara Rindi & Duane J. Seppi, 2020. "Information, Liquidity, and Dynamic Limit Order Markets," Working Papers 660, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  29. Mark J. Kamstra & Robert J. Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Cowles Foundation Discussion Papers 1717, Cowles Foundation for Research in Economics, Yale University.
  30. Mark Fedenia & Tavy Ronen & Seunghan Nam, 2024. "Machine learning and trade direction classification: insights from the corporate bond market," Review of Quantitative Finance and Accounting, Springer, vol. 63(1), pages 1-36, July.
  31. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
  32. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
  33. Gerig, Austin & Michayluk, David, 2017. "Automated liquidity provision," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.
  34. Lai, Sandy & Ng, Lilian & Zhang, Bohui, 2014. "Does PIN affect equity prices around the world?," Journal of Financial Economics, Elsevier, vol. 114(1), pages 178-195.
  35. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
  36. Wycliffe Oluoch & Kalu Ojah, 2024. "Financial Market Development and the Microstructure of Corporate Bond Markets in Africa: A Survey," The African Finance Journal, Africagrowth Institute, vol. 26(1), pages 1-33.
  37. Kathryn L Dewenter & Xi Han & Jennifer L Koski, 2018. "Who Wins When Exchanges Compete?* Evidence from Competition after Euro Conversion [Equity returns and integration: is Europe changing?]," Review of Finance, European Finance Association, vol. 22(6), pages 2037-2071.
  38. Dutta, Sunil & Nezlobin, Alexander, 2017. "Information disclosure, firm growth, and the cost of capital," Journal of Financial Economics, Elsevier, vol. 123(2), pages 415-431.
  39. Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas, 2016. "Stock exchange mergers and weak-form information efficiency: Evidence from the OMX Nordic and Baltic consolidation," Umeå Economic Studies 923, Umeå University, Department of Economics.
  40. Chakrabarty, Bidisha & Moulton, Pamela C., 2012. "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 612-634.
  41. Wenjing Xie & João Paulo Vieito & Ephraim Clark & Wing-Keung Wong, 2020. "Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX," Sustainability, MDPI, vol. 12(20), pages 1-25, October.
  42. Bongjin Kim & Mark M. Suazo & John E. Prescott, 2008. "Exploring the Cognitive Nature of Boards of Directors and Its Implication for Board Effectiveness," Working Papers 0032, College of Business, University of Texas at San Antonio.
  43. Chaoshin Chiao & Zi-May Wang & Shiau-Yuan Tong, 2017. "Order cancellations across investor groups: evidence from an emerging order-driven market," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1167-1193, November.
  44. Thierry Foucault, 2006. "Liquidity, cost of capital and the organization of trading in stock markets," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 113-123.
  45. Breckenfelder, Johannes, 2013. "Competition between high-frequency traders, and market quality," MPRA Paper 66715, University Library of Munich, Germany, revised Dec 2013.
  46. Adamolekun, Gbenga & Sakariyahu, Rilwan & Lawal, Rodiat & Ahmed, Ammar, 2023. "Electronic trading and stock market participation in Africa: Does technology induce participation?," Economics Letters, Elsevier, vol. 224(C).
  47. Pawan Jain & Spenser J. Robinson & Arjun J. Singh & Mark Sunderman, 2017. "Hospitality REITs and financial crisis: a comprehensive assessment of market quality," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(3), pages 277-289, April.
  48. Gousgounis, Eleni & Onur, Esen, 2018. "The effect of pit closure on futures trading," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 69-90.
  49. Antoine Jacquier & Hao Liu, 2017. "Optimal liquidation in a Level-I limit order book for large tick stocks," Papers 1701.01327, arXiv.org, revised Nov 2017.
  50. Ramos, Sofia B. & von Thadden, Ernst-Ludwig, 2008. "Stock exchange competition in a simple model of capital market equilibrium," Journal of Financial Markets, Elsevier, vol. 11(3), pages 284-307, August.
  51. Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse, 2008. "Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets," Working Papers 0036, College of Business, University of Texas at San Antonio.
  52. Yinfei Chen & Wei Huang & George J. Jiang, 2022. "Do short‐term institutions exploit stock return anomalies?," The Financial Review, Eastern Finance Association, vol. 57(1), pages 69-94, February.
  53. Mao, Wen & Pagano, Michael S., 2011. "Specialists as risk managers: The competition between intermediated and non-intermediated markets," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 51-66, January.
  54. Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
  55. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
  56. Shahzad, Hassan & Duong, Huu Nhan & Kalev, Petko S. & Singh, Harminder, 2014. "Trading volume, realized volatility and jumps in the Australian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 414-430.
  57. Mark Kamstra & Robert Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Yale School of Management Working Papers amz2418, Yale School of Management.
  58. Ji-Yong Seo & Sangmi Chai, 2013. "The role of algorithmic trading systems on stock market efficiency," Information Systems Frontiers, Springer, vol. 15(5), pages 873-888, November.
  59. Thierry Foucault, 2006. "Liquidité, coût du capital et organisation de la négociation des valeurs boursières," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 123-138.
  60. repec:oup:rfinst:v:21:y:2017:i:4:p:1355-1401. is not listed on IDEAS
  61. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
  62. Chen, Linda H. & Dyl, Edward A. & Jiang, George J. & Juneja, Januj A., 2015. "Risk, illiquidity or marketability: What matters for the discounts on private equity placements?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 41-50.
  63. Bernales, Alejandro, 2019. "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, vol. 45(C), pages 1-18.
  64. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
  65. Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011. "Does Algorithmic Trading Improve Liquidity?," Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, February.
  66. Zi Ning & Yiuman Tse, 2009. "Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1-2), pages 230-252.
  67. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
  68. Bessembinder, Hendrik & Panayides, Marios & Venkataraman, Kumar, 2009. "Hidden liquidity: An analysis of order exposure strategies in electronic stock markets," Journal of Financial Economics, Elsevier, vol. 94(3), pages 361-383, December.
  69. G. Wuyts, 2007. "Stock Market Liquidity.Determinants and Implications," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 279-316.
  70. Valeria Martinez & Paramita Gupta & Yiuman Tse & Jullavut Kittiakarasakun, 2011. "Electronic versus open outcry trading in agricultural commodities futures markets," Review of Financial Economics, John Wiley & Sons, vol. 20(1), pages 28-36, January.
  71. Dimitrios Vezeris & Themistoklis Kyrgos & Christos Schinas, 2018. "Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System," JRFM, MDPI, vol. 11(3), pages 1-23, September.
  72. Easley, David & Hendershott, Terrence & Ramadorai, Tarun, 2014. "Leveling the trading field," Journal of Financial Markets, Elsevier, vol. 17(C), pages 65-93.
  73. Sébastien Duchêne & Nathalie Oriol, 2018. "Too fast, Too furious? Une réflexion historique et contemporaine sur l'emballement des marchés financiers," Post-Print halshs-01860721, HAL.
  74. Zi Ning & Yiuman Tse, 2009. "Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1‐2), pages 230-252, January.
  75. Kobana Abukari & Isaac Otchere, 2020. "Has stock exchange demutualization improved market quality? International evidence," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 901-934, October.
  76. Ama Samarasinghe & Katherine Uylangco, 2022. "Stock market liquidity and traditional sources of bank business," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(3), pages 3107-3145, September.
  77. Yılmaz, Mustafa Kemal & Erdem, Orhan & Eraslan, Veysel & Arık, Evren, 2015. "Technology upgrades in emerging equity markets: Effects on liquidity and trading activity," Finance Research Letters, Elsevier, vol. 14(C), pages 87-92.
  78. Hee-Joon Ahn & Jun Cai & Cheol-Won Yang, 2018. "Which Liquidity Proxy Measures Liquidity Best in Emerging Markets?," Economies, MDPI, vol. 6(4), pages 1-29, December.
  79. Hillert, Alexander & Maug, Ernst & Obernberger, Stefan, 2016. "Stock repurchases and liquidity," Journal of Financial Economics, Elsevier, vol. 119(1), pages 186-209.
  80. Holden, Craig W. & Lu, Dong & Lugovskyy, Volodymyr & Puzzello, Daniela, 2021. "What is the impact of introducing a parallel OTC market? Theory and evidence from the chinese interbank FX market," Journal of Financial Economics, Elsevier, vol. 140(1), pages 270-291.
  81. Ben R. Marshall & Nhut H. Nguyen & Nuttawat Visaltanachoti & Tom Smith, 2016. "Transaction costs in an illiquid order-driven market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(4), pages 917-933, December.
  82. Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 65-98.
  83. Scott Brown & Timothy Koch & Eric Powers, 2009. "Slippage And The Choice Of Market Or Limit Orders In Futures Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 309-335, September.
  84. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
  85. Mousumi Bhattacharya & Sharad Nath Bhattacharya & Sumit Kumar Jha, 2022. "Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data," Australian Journal of Management, Australian School of Business, vol. 47(2), pages 251-272, May.
  86. Albert Menkveld & Boyan Jovanovic, 2016. "Dispersion and Skewness of Bid Prices," 2016 Meeting Papers 1395, Society for Economic Dynamics.
  87. Pawan Jain & Quentin Chu, 2014. "Dividend clienteles: a global investigation," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 509-534, April.
  88. Jain, Chinmay & Jain, Pankaj & Taylor, David A., 2024. "Causes and effects of worldwide demutualization of financial exchanges," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 864-882.
  89. Lagoarde-Segot, Thomas, 2009. "Financial reforms and time-varying microstructures in emerging equity markets," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1755-1769, October.
  90. Anaclet Biket Okumu & Tobias Olweny & Willy Muturi, 2022. "The Moderating Effect of Automation on Firm Specific Factors and Performance of Initial Public Offering Stocks at The Nairobi Securities Exchange In Kenya," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(3), pages 1-5.
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