Tick Size and Adverse Selection: Spurious Effects Arising from Serial Correlation

2008 ◽  
Author(s):  
Lynn Doran ◽  
Michael A. Goldstein ◽  
Evgenia V. Golubeva ◽  
Eric N. Hughson
Keyword(s):  
Adverse Selection ◽  
Serial Correlation ◽  
Tick Size

Tick Size and Adverse Selection: Spurious Effects Arising from Serial Correlation

2009 ◽  
Author(s):  
Lynn Doran ◽  
Michael A. Goldstein ◽  
Evgenia V. Golubeva ◽  
Eric N. Hughson
Keyword(s):  
Adverse Selection ◽  
Serial Correlation ◽  
Tick Size

scholarly journals Tick Size and Informed Trading: Evidence from the Taiwanese Stock Market

2021 ◽  
Vol 15 (1) ◽  
pp. 1
Author(s):  
Chang-Wen Duan ◽  
Ken Hung ◽  
Shinhua Liu
Keyword(s):  
Stock Market ◽  
Adverse Selection ◽  
Informed Trading ◽  
Order Book ◽  
Monitoring Cost ◽  
Tick Size ◽  
Informed Traders ◽  
Call Auction ◽  
Order Books ◽  
The Impact

We adopt the Sandås model for order-book equilibrium to examine informed trading on the Taiwanese stock market, a purely order-driven call-auction market. We find that adverse-selection cost is low for well-known stocks with high liquidity and low volatility, but cost is high for monitoring the order books of those stocks. Our empirical results show that the impact of adverse selection is greatest at the beginning of each trading day and that informed traders engage in stealth trading, supporting the stealth trading hypothesis. Finally, with the special tick size rules on the market, both adverse-selection cost and monitoring cost decline as tick size decreases.

AGENCY PROBLEM DALAM PENERAPAN PEMBIAYAAN AKAD MUDHARABAH PADA PERBANKAN SYARIAH

ALQALAM ◽  
2016 ◽  
Vol 33 (1) ◽  
pp. 46
Author(s):  
Aswadi Lubis
Keyword(s):  
High Risk ◽  
Asymmetric Information ◽  
Human Resources ◽  
Moral Hazard ◽  
Adverse Selection ◽  
Agency Problem ◽  
Agency Problems ◽  
Islamic Banking ◽  
The Public

The purpose of writing this article is to describe the agency problems that arise in the application of the financing with mudharabah on Islamic banking. In this article the author describes the use of the theory of financing, asymetri information, agency problems inside of financing. The conclusion of this article is that the financing is asymmetric information problems will arise, both adverse selection and moral hazard. The high risk of prospective managers (mudharib) for their moral hazard and lack of readiness of human resources in Islamic banking is among the factors that make the composition of the distribution of funds to the public more in the form of financing. The limitations that can be done to optimize this financing is among other things; owners of capital supervision (monitoring) and the customers themselves place restrictions on its actions (bonding).

Serial Correlation between the Ultrasonographic and Pathologic Findings of Intramuscular Hemorrhaging in an Experimental Rabbit

2008 ◽  
Vol 58 (5) ◽  
pp. 519 ◽  
Author(s):  
Kyungran Ko ◽  
Kyung Nam Ryu ◽  
Ji Seon Park ◽  
Wook Jin ◽  
Dong Wook Sung ◽  
...  
Keyword(s):  
Serial Correlation ◽  
Pathologic Findings

Adverse Selection, Lemon Shocks and Business Cycles

2019 ◽  
Vol 2019 (361) ◽  
Author(s):  
Daisuke Ikeda ◽  
Keyword(s):  
Business Cycles ◽  
Adverse Selection

Non-Performing Loans, Banking System and Macroeconomy

2018 ◽  
Vol 63 (2) ◽  
pp. 67-86
Author(s):  
Akinola Morakinyo ◽  
Colette Muller ◽  
Mabutho Sibanda
Keyword(s):  
Exchange Rate ◽  
Serial Correlation ◽  
Banking System ◽  
Impulse Response Function ◽  
Credit Market ◽  
Variance Decomposition ◽  
Structural Var ◽  
Long Run ◽  
Correlation Tests ◽  
The Exchange Rate

Abstract The study builds on previous studies of the consequences of non-performing loans on an economy. Using a seven-by-seven matrix in the impulse response function (IRF) of the structural autoregressive model, we find a long-run impact of an impulse to non-performing loans on the banking system and the macroeconomy in Nigeria. Conversely, non-performing loans also respond to the innovation of all macro-banking variables aside from the exchange rate and the growth rate to GDP. Also, the level of non-performing loans grows in influence in relation to the changes to the exchange rate using the variance decomposition tool of Structural VAR. Hence, a prominent role is assigned to the level of NPLs in linking the friction in the credit market to the susceptibility of both the banking system and the macroeconomy. This study passes the serial correlation tests and the three tests of normality.

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