scholarly journals Os efeitos da introdução de agentes de liquidez no mercado acionário brasileiro

2013 ◽  
Vol 11 (2) ◽  
pp. 281
Author(s):  
Marcelo Perlin
Keyword(s):  
Event Study ◽  
High Frequency ◽  
Financial Institution ◽  
Stock Exchange ◽  
Market Maker ◽  
Average Increase ◽  
Market Making ◽  
Market Makers ◽  
Liquidity Provision ◽  
Before And After

The main objective of this study is to analyze the empirical effects of the introduction of market makers in the Brazilian stock exchange. By aggregating information regarding the dates of the market maker’s contract and the use of a privileged high frequency database, it was possible to execute an event study to check the effect of the introduction of liquidity agents. As expected, the period after the beginning of the market maker’s contract presented a significant increase in the liquidity of the stocks. The study reports an average increase of 31% in the number of trades in the period before and after the start of the contract. Another result is that the work of a liquidity agent can change significantly the autocorrelation of the trade signs in approximately 10%. Such a result is stronger for the stocks with lower liquidity. The investigation also shows heterogeneous results for the performance of the liquidity provision when the analysis based itself on the financial institution of the market maker. Such information is particularly important for companies that are seeking to contract market making services.

scholarly journals MARKET MAKING WITH ALPHA SIGNALS

2020 ◽  
Vol 23 (03) ◽  
pp. 2050016
Author(s):  
ÁLVARO CARTEA ◽  
YIXUAN WANG
Keyword(s):  
High Frequency ◽  
High Frequency Data ◽  
Model Parameters ◽  
Market Maker ◽  
Electronic Market ◽  
Market Making ◽  
Liquidity Provision ◽  
Limit Orders ◽  
Adverse Selection Costs ◽  
Downward Pressure

We show how a market maker employs information about the momentum in the price of the asset (i.e. alpha signal) to make decisions in their liquidity provision strategy in an order-driven electronic market. The momentum in the midprice of the asset depends on the execution of liquidity taking orders and the arrival of news. Buy market orders (MOs) exert a short-lived upward pressure on the midprice, whereas sell MOs exert a short-lived downward pressure on the midprice. We employ Nasdaq high-frequency data to estimate model parameters and to illustrate the performance of the market making strategy. The market maker employs the alpha signal to minimise adverse selection costs, execute directional trades in anticipation of price changes, and to manage inventory risk. As the market maker increases their tolerance to inventory risk, the expected profits that stem from the alpha signal increase because the strategy employs more speculative MOs and performs more roundtrip trades with limit orders.

scholarly journals Investor’s Mood at ASIAN Games Event

2019 ◽  
Vol 7 (2) ◽  
pp. 177
Author(s):  
Happy Sista Devy ◽  
Bahrain Pasha Irawan
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Purposive Sampling ◽  
Event Study Method ◽  
Before And After ◽  
Wait And See ◽  
The Many ◽  
Observation Period

<p>Goals of the research to analyze whether occurred abnormal return of ASIAN Games phenomena and see how investors react to the big ASIAN Games 2018 event in Indonesia. . This reseach uses a sample of companies included in the hotel, restaurant and tourism sub-sector on the Indonesia Stock Exchange (IDX) during the observation period, based on the purposive sampling method which obtained 22 companies and used the event study method. There is a significant abnormal return but not on the phenomenon of the Asian Games 2018. This shows that investors still wait and see to the organization of the Asian Games in 2018. No difference of abnormal return before and after the Asian Games 2018. This is because, as investors look to the many tourists who have started to flock to Indonesia before the Asian Games in 2018 took place.<em></em></p><p><strong><em></em></strong><em><br /></em></p>

scholarly journals The effect of the introduction of market makers on stock liquidity: evidence from the Brazilian stock market

2021 ◽  
Vol 13 (2) ◽  
Author(s):  
Gabriel Augusto de Carvalho ◽  
João Eduardo Ribeiro ◽  
Laíse Ferraz Correia
Keyword(s):  
Stock Market ◽  
Confidence Level ◽  
Trading Volume ◽  
Stock Exchange ◽  
Structural Break ◽  
Market Liquidity ◽  
Market Makers ◽  
Turnover Ratio ◽  
Before And After ◽  
Structural Break Test

Purpose: This study aimed to analyze whether the introduction of market makers as specialized intermediaries in the trading of stocks listed on the Brazilian stock exchange is a useful procedure for increasing the market liquidity of these assets. Methodology: The Chow structural break test was performed in the time series of the liquidity proxies, average spread, turnover ratio, and financial volume on a sample of 55 stocks. We chose to consider data in the window of 260 days before and after the start of the market maker's activity, because it represents the approximate number of trading sessions in a year, and to avoid erroneous conclusions due to the volatility of the Brazilian stock market. Results: The results showed with a 99% confidence level that after the introduction of market makers, (i) 67% of the stocks analyzed had abrupt and statistically significant changes in the average spread; (ii) 47% in the turnover ratio; and (iii) 60% had changes in the volume transactions. At the confidence level of 95%, (i) 76% of the stocks analyzed showed abrupt changes in the average spread; (ii) 65% had changes in turnover; (iii) and 69% had changes in the trading volume. Using a lower confidence level of 90%, the results revealed 85% of the stocks had abrupt and statistically significant changes in the average spread, 78% in the turnover ratio, and 73% in the trading volume. Contributions of the Study: This paper provides strong evidence on the performance of market makers and the influence they have on the market liquidity of stocks traded on the Brazilian stock exchange. We found that contracting market makers increase market liquidity and contribute significantly to the assets’ transactions.

scholarly journals Do Regional Election and Presidential Election Affect Stock Exchange? An Event Study in the Indonesian Stock Exchange

2021 ◽  
Vol 7 (1) ◽  
pp. 71-80
Author(s):  
Khanifah Khanifah ◽  
Agus Triyani ◽  
Suhita Whini Setyahuni
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
T Test ◽  
Democratic Politics ◽  
Paired Samples ◽  
Before And After ◽  
Regional Elections

The 2018 simultaneous regional election in Indonesia is something new in the events of democratic politics in Indonesia. The events of the 2018 simultaneous regional election is one of the important events in 2018 that can cause a reaction of capital market to these events. This study aims to examine how the capital market reacts to the simultaneous regional elections in 2018 and presidential elections in 2019, by looking at the differences in the preceding and following periods based on 2 variables, namely abnormal return and trading volume activity. The sample in this study were 30 companies listed in the Indonesian Stock Exchange during 30 periods from February through July 2018. Research Methode This study used an event study. One paired samples T test was used as a technique analysis. The means of each variable within eleven days period was compared. The period of observation is five days before the event, five days after the event, and one day on event day. Based on the results of the parametric statistical calculations, the paired sample t-test showed that there was no difference between the level of abnormal returns before and after the 2018 simultaneous regional elections. On the other hand, there was a difference between trading volume of activity before and after the 2018 simultaneous regional elections.

scholarly journals Welfare Effects of Market Making in Continuous Double Auctions

2017 ◽  
Vol 59 ◽  
pp. 613-650 ◽  
Author(s):  
Elaine Wah ◽  
Mason Wright ◽  
Michael P. Wellman
Keyword(s):  
Allocative Efficiency ◽  
Market Model ◽  
Model Parameters ◽  
Market Maker ◽  
Market Making ◽  
Market Makers ◽  
Continuous Double Auctions ◽  
Thin Markets ◽  
Heuristic Strategies ◽  
Fundamental Value

We investigate the effects of market making on market performance, focusing on allocative efficiency as well as gains from trade accrued by background traders. We employ empirical simulation-based methods to evaluate heuristic strategies for market makers as well as background investors in a variety of complex trading environments. Our market model incorporates private and common valuation elements, with dynamic fundamental value and asymmetric information. In this context, we compare the surplus achieved by background traders in strategic equilibrium, with and without a market maker. Our findings indicate that the presence of the market maker strongly tends to increase total welfare across various environments. Market-maker profit may or may not exceed the welfare gain, thus the effect on background-investor surplus is ambiguous. We find that market making tends to benefit investors in relatively thin markets, and situations where background traders are impatient, due to limited trading opportunities. The presence of additional market makers increases these benefits, as competition drives the market makers to provide liquidity at lower price spreads. A thorough sensitivity analysis indicates that these results are robust to reasonable changes in model parameters.

scholarly journals Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange

2004 ◽  
Vol 39 (2) ◽  
pp. 327-341 ◽  
Author(s):  
Yi-Tsung Lee ◽  
Yu-Jane Liu ◽  
Richard Roll ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Large Individual ◽  
Domestic Institutions ◽  
Market Making ◽  
Taiwan Stock Exchange ◽  
Market Makers ◽  
Order Imbalance ◽  
Individual Traders ◽  
Over Time

AbstractData from the Taiwan Stock Exchange identify the originator of each submitted order, and there are no designated dealers or specialists. We study marketable order imbalances, i.e., the net order flow resulting from trades that demand immediacy. We distinguish imbalances by trader type (individuals, domestic institutions, foreign institutions) and by the usual size of each trader's order. Day-to-day persistence in order imbalance is strongest for small foreign institutions and weakest for large individual traders. Such persistence emanates both from splitting orders over time and from herding, and there is little evidence that aggregate price pressures from such persistence last beyond a trading day, indicating that de facto market making is quite effective. We attempt to discern which types of traders are de facto liquidity providers, which are likely to be informed, and which trade for liquidity reasons. The evidence indicates that all trader classes are successful market makers, large domestic institutions conduct the most informed trades, and large individuals are noise or liquidity traders.

scholarly journals Dividend Announcement Effect To Market Reaction in Non-Financial Companies Listed on Indonesia Stock Exchange

2019 ◽  
Vol 1 (2) ◽  
pp. 167-180
Author(s):  
Alvin Fabian ◽  
Eko Budi Santoso
Keyword(s):  
Event Study ◽  
Sampling Method ◽  
Market Reaction ◽  
Stock Exchange ◽  
Test Results ◽  
Event Window ◽  
Event Study Method ◽  
Before And After ◽  
Dividend Initiations ◽  
Dividend Omissions

Abstract: This study aims to examine the differences in market reaction before and after the announcement of dividend omissions and dividend initiations in non- financial companies listed on the Indonesia Stock Exchange in 2016-2018. The sample used in this study was 71 companies consisting of 26 companies that announced dividend omissions and 45 companies that announced dividend initiations. The sample was determined using the purposive sampling method. This study used the event study method with an event window period of 5 days before the announcement, the announcement day, and 5 days after the announcement. The Wilcoxon Signed Ranks Test results in this study indicate that there are no differences in market reaction before and after the announcement of dividend omissions. Meanwhile the announcement of dividend initiations shows that there are differences in market reaction before and after the announcement of dividend initiations. Keywords: Event study, Dividend Omissions, Dividend Initiations, Abnormal Return

scholarly journals DAMPAK COVID-19 TERHADAP ABNORMAL RETURN DAN VOLUME PERDAGANGAN SAHAM

2022 ◽  
Vol 18 (1) ◽  
pp. 160-181
Author(s):  
Elvina Cahya Suryadi ◽  
Nungky Viana Feranita
Keyword(s):  
Natural Disaster ◽  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Before And After ◽  
Disaster Event

The COVID-19 pandemic is a non-natural disaster that has a huge impact around the world. This research is a quantitative research with event study method. The purpose of this research is to test the capital market reaction by looking at abnormal returns and trading volume activity before and after the COVID-19 non-natural disaster. The event day in this study was April 13rd, 2020 when the Presidential Decree was issued regarding the designation of COVID-19 as a national disaster. Using purposive sampling method, the sample of this study were 27 companies engaged in the hotel, restaurant, and tourism sub-sectors listed on the Indonesia Stock Exchange. The event period is 11 days, namely 5 days before the event, 1 day at the time of the event and 5 days after the event. Data analysis using t-test and wilxocon signed ranks test. The results of this study are: 1) there is no abnormal return during the event period, 2) there is no difference in the average abnormal return before and after the COVID-19 non-natural disaster event, 3) there is no difference in the average trading volume activity before and after the COVID-19 non-natural disaster event and after the COVID-19 non-natural disaster event. Keywords: Event Study, Abnormal Return, Trading Volume Activity, COVID-19.

Investor Reactions on Emitents Who Published Corporate Sukuk Listed in Indonesia Stock Exchange

2020 ◽  
Vol 2 (2) ◽  
pp. 93-103
Author(s):  
Kasman Damang ◽  
Eka Afnan Troena ◽  
Muhammad Ali ◽  
Abdul Hamid Habbe
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Volume Activity ◽  
Average Value ◽  
Average Abnormal Return ◽  
Before And After ◽  
The Difference

This study applied an event study approach  (event study).  The event tested the announcement of Sukuk emissions and market reactions as indicated by the existence of a significant Abnormal Return on the date of Sukuk emissions and it changed within the activity of Stock Trader of the Corporation Sukuk Issuer. Observation period between 2009-2018, there was 129 Sukuk emissions in Indonesia Stock Exchange. The number of samples taken was 26 emissions of Sukuk which make emissions from 12 issuers that met the set criteria. Data were analyzed using descriptive statistical analysis, independent t-test, t-paired test, and regression analysis.  Furthermore, the data were processed using IBM SPSS for Windows Software. The results showed that there was a difference in Average Abnormal Return (AAR) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a positive market reaction on Average Abnormal Return (AAR) before the announcement of Sukuk emissions. There was a positive market reaction on Average Abnormal Return (AAR) after the announcement of Sukuk emissions. There were differences in the Average Trading Volume Activity (ATVA) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a significant market reaction on Average Trading Volume Activity (ATVA) before the announcement of Sukuk emissions. There was a significant market reaction of Average Trading Volume Activity (ATVA) after the announcement of Sukuk emissions. Furthermore, this study also found that Sukuk to Equity Ratio (SER) had a positive effect, but not significantly on the level of  Return on Assets (ROA), Return on Equity (ROE), and Earning per Share (EPS), but it was not significant. These insignificant effects of  SER  on the issuer's  ROA,  ROE  and  EPS were caused by the relatively small proportion of Sukuk value compared to the value of assets and company equity.

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