scholarly journals A Good Beginning Makes a Good Market: The Effect of Different Market Opening Structures on Market Quality

2015 ◽  
Vol 2015 ◽  
pp. 1-14 ◽  
Author(s):  
Gernot Hinterleitner ◽  
Ulrike Leopold-Wildburger ◽  
Roland Mestel ◽  
Stefan Palan
Keyword(s):  
Market Efficiency ◽  
Spillover Effects ◽  
Double Auction ◽  
Market Quality ◽  
Market Opening ◽  
Good Market ◽  
Positive Spillover ◽  
Call Auction ◽  
Continuous Double Auction ◽  
Continuous Trading

This paper deals with the market structure at the opening of the trading day and its influence on subsequent trading. We compare a single continuous double auction and two complement markets with different call auction designs as opening mechanisms in a unified experimental framework. The call auctions differ with respect to their levels of transparency. We find that a call auction not only improves market efficiency and liquidity at the beginning of the trading day when compared to the stand-alone continuous double auction, but also causes positive spillover effects on subsequent trading. Concerning the design of the opening call auction, we find no significant differences between the transparent and nontransparent specification with respect to opening prices and liquidity. In the course of subsequent continuous trading, however, market quality is slightly higher after a nontransparent call auction.

A closing call’s impact on market quality: evidence from Abu Dhabi stock exchange

2020 ◽  
Vol 32 (1) ◽  
pp. 82-95
Author(s):  
Eda Orhun
Keyword(s):  
Market Efficiency ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abu Dhabi ◽  
Dispersion Measure ◽  
Market Quality ◽  
Content Type ◽  
Call Auction ◽  
The Cost ◽  
Bid Ask Spreads

Purpose This paper aims to look at the effects of the closing call auction on market quality and behavior by using the natural experiment of its introduction at the Abu Dhabi Stock Exchange. Design/methodology/approach Current paper studies the effect of closing call auction on various market quality factors such as liquidity, bid-ask spreads, volatility and market efficiency. Liquidity is proxied by trading volume. Bid-ask spreads provide a measure for the cost of trading in the market. Volatility is measured by using Parkinson’s (1980) volatility as in Huang and Tsai (2008). Last but not least, efficiency will be obtained by estimating a relative return dispersion measure as in Huang and Tsai (2008). Findings The introduction of the closing call auction leads to a significant decrease in the trading volume toward the end of the continuous trading. At the same time, trading activity taking place during the call auction significantly increases. This implies a redistribution of liquidity. The implementation of the closing call auction also improves market quality by reducing market inefficiency in terms of firm-specific noise. The study also documents that there exists no significant change in the cost of trading and intraday volatility in the post-period following the adoption of closing call auction. Originality/value This current study is the first one looking at this topic for the Abu Dhabi Stock Exchange. Specifically, this paper looks at the changes in trading volume, bid-ask spreads, intraday return volatility and market efficiency after the implementation of the closing call mechanism.

Does Enhancing of the Competitiveness Influence on Foreign Direct Investments in Western Balkan Countries?

2016 ◽  
Vol 1 (2) ◽  
pp. 164 ◽  
Author(s):  
Matea Zlatković
Keyword(s):  
Market Efficiency ◽  
Foreign Direct Investments ◽  
Global Competitiveness ◽  
Technological Readiness ◽  
Regional Market ◽  
National Competitiveness ◽  
Good Market ◽  
World Economic ◽  
Global Competitiveness Index ◽  
Per Capita

Foreign direct investments present a valuable source of national competitiveness as they have attributes of capital flows provide knowledge and technology transfer from one country to target country. In this paper are used variables defined by World Economic Forum which construct Global Competitiveness Index for assessing competitiveness of the country. The purpose of the research is to examine does the national competitiveness increase enhance the level of FDI flows in transition Western Balkan economies that are not yet full members of European Union. The findings claim that larger increase in FDI per capita stocks in majority analyzed countries would have if making infrastructure more competitiveness, accelerate their technological readiness and improve innovation while certain countries should work on health and primary education and higher education and training. According to the results, there is no correlation between FDI flows and macroeconomic environment, institutions, development of financial markets, good market efficiency, labor market efficiency and business sophistication. Applying benchmark method, it is established the most competitive WB country as benchmark value for other transition countries in its neighborhood for enhancing their competitiveness, specially in the regional market. Also, it is obtained what if analysis to detect potential rise of FDI per capita stocks as a consequence of potential changes in some competitiveness variables. It is also calculated the potential increase in FDI/capita due to similar changes in different competitiveness variables.

scholarly journals Beaten ballots: political participation dynamics amidst police interventions

2021 ◽  
pp. 1-18
Author(s):  
Toni Rodon ◽  
Marc Guinjoan
Keyword(s):  
Political Participation ◽  
Negative Impact ◽  
Spatial Dynamics ◽  
Spillover Effects ◽  
Political Mobilization ◽  
Starting Point ◽  
Positive Spillover ◽  
Police Crackdown ◽  
Surrounding Areas ◽  
Empirical Approaches

Abstract What is the effect of violence on political mobilization? Taking the repression-mobilization nexus debate as a starting point, we study the effects of police interventions on political participation, focusing on the Spanish police crackdown on Catalonia's independence referendum on 1 October 2017. We analyze the effect of police actions on turnout using detailed aggregate data, as well as a survey conducted a few days after the referendum. The two empirical approaches show that police interventions had both deterrent and inverse spatial spillover effects. Although police raids had a local negative impact on turnout, they induced positive spillover effects in the surrounding areas. Our findings also indicate heterogeneity in the spatial dynamics, with police actions encouraging people to go to vote in nearby areas, but also mobilizing residents in neighboring areas to participate, especially those individuals with fewer incentives to turn out to vote.

scholarly journals Is behaving unethically for organizations a mixed blessing? A dual-pathway model for the work-to-family spillover effects of unethical pro-organizational behavior

2021 ◽  
Author(s):  
Haixiao Chen ◽  
Ho Kwong Kwan ◽  
Jie Xin
Keyword(s):  
Organizational Behavior ◽  
Family Conflict ◽  
Spillover Effects ◽  
Self Esteem ◽  
Conservation Of Resources ◽  
Pathway Model ◽  
Positive Spillover ◽  
Dual Pathway ◽  
Stress At Work ◽  
Mixed Blessing

AbstractThis research examines the mixed work-to-family spillover effects of unethical pro-organizational behavior. Drawing on conservation of resources theory and the work–home resources model, we develop a dual-pathway model to explain such effects. Based on a three-wave field study involving 214 respondents in China, we find engagement in unethical pro-organizational behavior to be positively associated with employees’ organization-based self-esteem and stress at work, which in turn, leads to work-to-family positive spillover and work-to-family conflict, respectively. We also find that performing tensions moderate the mixed effects of unethical pro-organizational behavior on organization-based self-esteem and work stress and the indirect effects of unethical pro-organizational behavior on work-to-family positive spillover and work-to-family conflict. Our findings have theoretical implications for business ethics scholars and practical implications for managers.

Intraday analysis of regulation change in microstructure: evidence from an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Eyup Kadioglu
Keyword(s):  
Trading Volume ◽  
Emerging Market ◽  
Lunch Break ◽  
Content Type ◽  
Call Auction ◽  
Regulation Change ◽  
Intraday Volatility ◽  
Continuous Trading ◽  
The Impact ◽  
Mixture Of Distribution Hypothesis

PurposeThis study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.Design/methodology/approachThe analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.FindingsThe results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.Research limitations/implicationsEnhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.Originality/valueThis very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

Sign in / Sign up

Export Citation Format

Share Document