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Article
Business, Finance
Narasimhan Jegadeesh et al.
Summary: Closing auction volume has steadily increased over the past decade, reaching approximately 10% of total trading volume in 2019. We analyzed the price impact and resiliency of closing auctions, comparing liquidity in Nasdaq and the NYSE. The NYSE offers greater depth, and it takes about 3-5 days for the temporary price impact to fully dissipate. Trading strategies that exploit this price impact and its reversals are highly profitable.
JOURNAL OF FINANCIAL ECONOMICS
(2022)
Article
Economics
Christian Dippel et al.
Summary: The study reveals that increasing imports from low-wage countries in Germany leads to rising support for nationalist parties, while increasing exports has the opposite effect. Low-skilled manufacturing workers are the most responsive group to trade exposure, with trade-induced labor market adjustments identified as the economic mechanism causing voting response to international trade.
Article
Business, Finance
Mahyar Kargar et al.
Summary: The study reveals that trading costs in the corporate bond market during the COVID-19 pandemic significantly increased, pushing customers towards slower agency trades due to the rise in costs of immediate risky-principal trades. The Federal Reserve's corporate credit facilities have positively impacted market liquidity, with customers' willingness to pay for immediacy increasing by about 200 bps per dollar of transaction, but subsiding after the Fed's interventions were announced. Dealers' marginal costs also rose significantly but did not fully subside.
REVIEW OF FINANCIAL STUDIES
(2021)
Article
Business, Finance
Gideon Ozik et al.
Summary: This article examines the impact of retail investors on stock liquidity during the COVID-19 pandemic, finding that retail trading has mitigated the rise in illiquidity to a certain extent, especially for stocks with high media attention. The staggered implementation of stay-at-home advisories across U.S. states highlights the significance of fintech innovations and ample free time in facilitating retail-investor stock market participation.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
(2021)
Article
Business, Finance
Maureen O'Hara et al.
Summary: In the COVID-19 corporate bond liquidity crisis, there were significant changes in liquidity provision as the Federal Reserve intervened. The Primary Dealer Credit Facility and the Secondary Market Corporate Credit Facility played a crucial role in stabilizing trading conditions. The impact of the SMCCF on bond liquidity was mostly observed after its announcement, reflecting the Federal Reserve's new role as a market maker of last resort.
JOURNAL OF FINANCIAL ECONOMICS
(2021)
Article
Business, Finance
Yoshio Nozawa et al.
Summary: The study finds that the bond market is segmented by credit ratings and various sectors of corporate bonds, showing different initial reactions for bonds with different credit ratings. The default risk channel of quantitative easing is significant, while there is only mixed evidence for the liquidity channel driving the market reaction.
JOURNAL OF BANKING & FINANCE
(2021)
Article
Business, Finance
Michael S. Pagano et al.
Summary: Individual investors at Robinhood are actively involved in both momentum and contrarian trading strategies, adjusting their strategies based on market conditions such as during the initial phase of the COVID-19 pandemic in March 2020. The impact of Robinhood investors on market quality varies depending on market conditions, with better market quality during less-stressful periods and worse market quality during the early weeks of the pandemic in the U.S.
FINANCE RESEARCH LETTERS
(2021)
Article
Business, Finance
Robert Battalio et al.
Summary: The New York Stock Exchange is the only U.S. equities exchange that offers parity allocation of all trades, allowing floor traders to trade ahead of equally-priced, previously arriving orders in the limit order book. The presumption is that floor traders provide valuable services to investors and deviation from strict time priority is one way to remunerate them. The research attempts to quantify the cost of this privilege.
JOURNAL OF FINANCIAL MARKETS
(2021)
Article
Business, Finance
Kim J. Heyden et al.
Summary: The study found that US and European stocks had significantly negative reactions to the announcement of the first death during the early days of the COVID-19 pandemic. While country-specific fiscal policy measures had a negative impact on stock returns, monetary policy measures were found to potentially calm markets. The reactions of stocks were influenced by firm-specific characteristics such as tangible assets, liquidity, and institutional holdings.
FINANCE RESEARCH LETTERS
(2021)
Article
Business, Finance
Ahmed S. Baig et al.
Summary: This study examines the impact of the COVID-19 pandemic on the microstructure of US equity markets, finding that increases in confirmed cases and deaths, as well as declining sentiment and lockdown measures, contribute to increased market illiquidity and volatility.
FINANCE RESEARCH LETTERS
(2021)
Article
Business, Finance
Scott R. Baker et al.
REVIEW OF ASSET PRICING STUDIES
(2020)
Article
Business, Finance
Kee H. Chung et al.
JOURNAL OF FINANCIAL ECONOMICS
(2020)
Article
Business, Finance
Benjamin Bennett et al.
JOURNAL OF FINANCIAL ECONOMICS
(2020)
Article
Business, Finance
Kee H. Chung et al.
JOURNAL OF FINANCIAL MARKETS
(2018)
Article
Business, Finance
Adam D. Clark-Joseph et al.
JOURNAL OF FINANCIAL ECONOMICS
(2017)
Article
Economics
Ming-Chien Sung et al.
Article
Business, Finance
Amber Anand et al.
JOURNAL OF FINANCIAL ECONOMICS
(2016)
Article
Business, Finance
Maureen O'Hara et al.
JOURNAL OF FINANCE
(2014)
Article
Business, Finance
Kee H. Chung et al.
JOURNAL OF FINANCIAL ECONOMICS
(2014)
Article
Business, Finance
Albert J. Menkveld et al.
JOURNAL OF FINANCIAL MARKETS
(2013)
Article
Business, Finance
Stefan Nagel
REVIEW OF FINANCIAL STUDIES
(2012)
Article
Business, Finance
Sugato Chakravarty et al.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
(2012)
Article
Business, Finance
Tarun Chordia et al.
JOURNAL OF FINANCIAL ECONOMICS
(2008)
Article
Business, Finance
Marios A. Panayides
JOURNAL OF FINANCIAL ECONOMICS
(2007)
Article
Business, Finance
Kumar Venkataraman et al.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
(2007)
