Does market structure matter?Trading costs and return volatility around exchange listings

We document that bid-ask spreads decrease substantially for stocks that moved from Nasdaq to the NYSE between 1996 and 2000, and that spread reductions continued to be observed after the 1997 market reforms. Somewhat surprising in light of these reforms, the largest spread reductions are for stocks where Nasdaq liquidity providers round quotations most often. We extend the analysis to document that average return volatility also decreases substantially after exchange listing. However, spreads, volatility, and trading activity are determined jointly in equilibrium, implying that simple before versus after comparisons may not reveal structural effects. The results of simultaneous equation estimation indicate that decreases in average bid-ask spreads are attributable to market structure, while reductions in volatility and trading volume can be attributed to changes in other endogenous and exogenous variables, including the spread reduction

Klimaateffectatlas 1.0

Het project Van schetsboek naar Klimaateffectatlas bouwt voort op de klimaatschetsboeken die in de periode 2007-2008 zijn ontwikkeld voor een achttal provincies. Bij de klimaateffectschetsboeken in de eerste fase is ook een eerste beeld geschetst van een Geoportaal (voorheen geodatabase) om alle relevante klimatologische gegevens via internet te ontsluiten. Doel van dit Geoportaal Klimaateffectatlas is het opzetten van een gemeenschappelijke kennisbasis met voor alle provincies dezelfde eenduidige informati

The Impact of new Execution Venues on European Equity Markets’ Liquidity – The Case of Chi-X

With the Markets in Financial Instruments Directive in effect since November 2007, new trading venues have emerged in European equities trading, among them Chi-X. This paper analyzes the impact of this new market entrant on the home market as well as on consolidated liquidity of French blue chip equities, newly tradable on Chi-X. Our findings suggest that owing to this new competition the home market’s liquidity has enhanced. This is apparently due to the battle for order flow which results in narrower spreads and increased market depth. These results imply that overall liquidity in a virtually consolidated order book is in the French case higher than without the new competitor

Market conditions, trader types and price–volume relation in energy futures markets

We investigate the asymmetric relations between trading volume and price changes, and trading volume and price volatility of energy futures contracts across maturities and under different market conditions. Using a relatively long sample of daily observations, we examine whether the impact of trading volume on returns and volatility of futures contracts can be time-varying and dependent on the market condition. We differentiate the market condition based on the slope of the forward curve into backwardation and contango. The results indicate that trading volume and returns are positively related when the market is in backwardation and negatively related when the market is in contango. In addition, the positive relation between changes in trading volume and volatility of futures contracts seem to be stronger when the market is in backwardation than when it is in contango. Finally, the results indicate that, to a certain extent, trade participation and trading activities of agents in energy futures markets can be explained by the slope of the forward curve which reflects the market condition and sentiment

The Dampening Effect of Iceberg Orders on Small Traders' Welfare

Iceberg orders, which allow traders to hide a portion of their order size, have become prevalent in many electronic limit order markets. This paper investigates, via a real options analysis, whether small traders, who have no use for submitting iceberg orders, are better off submitting their orders to fully transparent markets which have low depth, or to more liquid markets which do permit the placement of iceberg orders by large traders. Surprisingly, we find that in the context of our model, small traders are better off submitting to fully transparent markets in spite of them being less liquid