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Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate 

Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, Moritz Christian; Westheide, Christian (2016-06-21)
Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits ...
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Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? 

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun (2016-11-18)
We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the Euro-zone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity ...
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Compensation Schemes, Liquidity Provision, and Asset Prices: An Experimental Analysis 

Baghestanian, Sascha; Gortner, Paul; Massenot, Baptiste (2015-06-01)
In an experimental setting in which investors can entrust their money to traders, we investigate how compensation schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At ...
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Interbank Funding as Insurance Mechanism for (Persistent) Liquidity Shocks 

Bluhm, Marcel (2015-11-01)
The interbank market is important for the efficient functioning of the financial system, transmission of monetary policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. ...
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How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis 

Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana (2016-09-28)
Amid increasing regulation, structural changes of the market and Quantitative Easing as well as extremely low yields, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to ...
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Liquidity Premia in CDS Markets 

Kamga, Merlin Kuate; Wilde, Christian (2017-07-14)
We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ...
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Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets 

Clapham, Benjamin; Gomber, Peter; Panz, Sven (2017-01-27)
We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions ...
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Managing Excess Volatility: Design and Effectiveness of Circuit Breakers 

Clapham, Benjamin; Gomber, Peter; Haferkorn, Martin; Panz, Sven (2017-02-02)
We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze ...
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Central Bank-Driven Mispricing 

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun (2018-10-01)
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective ...
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Lighting up the Dark: Liquidity in the German Corporate Bond Market 

Gündüz, Yalin; Ottonello, Giorgio; Pelizzon, Loriana; Schneider, Michael; Subrahmanyam, Marti G. (2018-09-17)
"We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ...
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AuthorPelizzon, Loriana (5)Gomber, Peter (4)Sagade, Satchit (4)... View MoreResearch AreaFinancial Markets (14)Systemic Risk Lab (3)Financial Institutions (2)... View MoreJEL ClassificationG12 (6)G14 (6)G10 (5)... View MoreTopicTrading and Pricing (13)Saving and Borrowing (7)Financial Markets (6)... View MoreKeyword
liquidity (17)
competition (3)fragmentation (3)... View MoreDate Issued2018 (7)2016 (3)2017 (3)Has File(s)Yes (17)
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