We examine the investibility of Bitcoin by exploring the trading dynamics and market microstructure of Bitcoin on three US cryptocurrency exchanges using high frequency intraday data of individual ...trades and quotes. Although all exchanges offer continuous trading, we find that the highest trading activity, highest volatility and lowest spreads coincide with US market trading hours, suggesting that most trades are non-algorithmic and executed by retail investors. We further find that average quoted and effective spreads for Bitcoin are lower than spreads on major equity exchanges, implying that Bitcoin is highly investible for retail size transactions.
•Using high-frequency quote data, we show Bitcoin is investible at the retail level.•We examine transactions costs and liquidity of major Bitcoin exchanges.•Trading induces additional volatility in Bitcoin.•We show intraday patterns consistent with retail participants.
Full text
Available for:
GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK, ZRSKP
32.
Insider trading patterns Biggerstaff, Lee; Cicero, David; Wintoki, M. Babajide
Journal of corporate finance (Amsterdam, Netherlands),
October 2020, 2020-10-00, Volume:
64
Journal Article
Peer reviewed
We revisit the information content of stock trading by corporate insiders with an expectation that opportunistic insiders will spread their trades over longer periods of time when they have a ...longer-lived informational advantage, and trade in a short window of time when their advantage is fleeting. Controlling for the duration of insiders' trading strategies, we find robust new evidence that both insiders' sales and purchases predict abnormal stock returns. In addition, we provide evidence that insiders attempt to preserve their informational advantages and increase their trading profits by disclosing their trades after the market has closed. When insiders report their trades after business hours, they are more likely to engage in longer series of trades, they trade more shares overall, and their trades are associated with larger abnormal returns. Finally, we show how accounting for these trading patterns sharpens screens for corporate insiders who trade on infor- mation.
•Corporate insiders trade in short windows of time when their informational advantage is fleeting.•Corporate insiders trade over extended periods when they have a long-lasting informational advantage•By controlling for insiders' trading patterns, we find that both their sales and purchases predict abnormal returns•When corporate insiders trade opportunistically, they report trades after hours to preserve their informational advantage•One can devise better screens for informed insider trading by controlling for these trading patterns
Full text
Available for:
GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
33.
Material Signals MacKenzie, Donald
The American journal of sociology,
05/2018, Volume:
123, Issue:
6
Journal Article
Peer reviewed
Open access
Drawing on interviews with 194 market participants (including 54 practitioners of high-frequency trading or HFT), this article first identifies the main classes of “signals” (patterns of data) that ...influence how HFT algorithms buy and sell shares and interact with each other. Second, it investigates historically the processes that have led to three of the most important categories of these signals, finding that they arise from three features of U.S. share trading that are the result of episodes of meso-level conflict. Third, the article demonstrates the contingency of these features by briefly comparing HFT in share trading to HFT in futures, Treasurys, and foreign exchange. The article thus argues that how HFT algorithms act and interact is a specific, contingent product not just of the current but also of the past interaction of people, organizations, algorithms, and machines.
Full text
Available for:
BFBNIB, INZLJ, NMLJ, NUK, PNG, SAZU, UL, UM, UPUK, ZRSKP
We show that when a continuous dark pool is added to a limit order book that opens illiquid, book and consolidated fill rates and volume increase, but spread widens, depth declines, and welfare ...deteriorates. The adverse effects on market quality and welfare are mitigated when book-liquidity builds but so are the positive effects on trading activity. All effects are stronger when traders’ valuations are less dispersed, access to the dark pool is greater, horizon is longer, and relative tick size larger.
Full text
Available for:
GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK, ZRSKP
We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional ...trading costs (implementation shortfall and volume-weighted average price slippage). Stocks in which the firm accumulates large long (short) positions increase (decrease) by about 4% during the glitch and become substantially more illiquid. It takes one day for prices and spread-based liquidity measures to revert. Institutional trading costs, however, remain significantly higher for more than one week. Both liquidity measures are also weakly correlated outside the glitch period, suggesting they capture different aspects of liquidity.
Full text
Available for:
GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
We quantify the pervasiveness of informed trading activity in target companies’ equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have ...positive abnormal volumes, which are greater for short-dated, out-of-the-money calls, consistent with bullish directional trading before the announcement. Over half of this abnormal activity is unlikely due to speculation, news and rumors, trading by corporate insiders, leakage in the stock market, deal predictability, or beneficial ownership filings by activist investors. We also examine the characteristics of option trades litigated by the Securities and Exchange Commission (SEC) for alleged illegal insider trading. Although the characteristics of such trades closely resemble the patterns of abnormal option volume in the U.S. takeover sample, we find that the SEC litigates only about 8% of all deals in it.
This paper was accepted by Lauren Cohen, finance.
Do ETFs Increase Volatility? BEN-DAVID, ITZHAK; FRANZONI, FRANCESCO; MOUSSAWI, RABIH
The Journal of finance (New York),
December 2018, Volume:
73, Issue:
6
Journal Article
Peer reviewed
Open access
Due to their low trading costs, exchange-traded funds (ETFs) are a potential catalyst for short-horizon liquidity traders. The liquidity shocks can propagate to the under-lying securities through the ...arbitrage channel, and ETFs may increase the nonfundamental volatility of the securities in their baskets. We exploit exogenous changes in index membership and find that stocks with higher ETF ownership display significantly higher volatility. ETF ownership increases the negative autocorrelation in stock prices. The increase in volatility appears to introduce undiversifiable risk in prices because stocks with high ETF ownership earn a significant risk premium of up to 56 basis points monthly.
Full text
Available for:
BFBNIB, FZAB, GIS, IJS, INZLJ, KILJ, NLZOH, NMLJ, NUK, OILJ, PNG, SAZU, SBCE, SBMB, UL, UM, UPUK, ZRSKP
Based on the tightening regulation of carbon emissions, China has launched the pilot carbon emission trading scheme (CETS) since 2013. There is growing empirical evidence of the actual effect of CETS ...to promote enterprises' productivity which is characterized by total factor productivity (TFP). However, most studies ignored the further analysis of influence mechanisms. This paper aims to explore the impact of CETS on the TFP of enterprises and discuss the mediating role of government participation and carbon trading market efficiency. Using data from A-share listed enterprises from CETS-covered enterprises, this paper employed a combination of the propensity score matching (PSM) and difference-in-differences (DID) strategies and found that the CETS has a statistically significant positive impact on the TFP of enterprises, and the positive effect has been maintained for six years since its inception. The moderation analysis indicated that: (1) two dimensions of government participation in terms of the market incentive and government supervision significantly moderate the positive impact of CETS on TFP of enterprises; (2) two dimensions of carbon trading market efficiency in terms of the market scale and liquidity significantly moderates the positive impact of CETS on TFP of enterprises. In light of Chinese pilots CETS policy, the study highlights the important moderating roles of government participation and high carbon trading market efficiency on enterprise's TFP.
Display omitted
•Chinese pilots CETS significantly improved the TFP of enterprises by 9.48%.•The government participation moderates the positive impact of CETS on enterprises' TFP.•The higher carbon trading market efficiency is, the greater the moderating effect of CETS on TFP is.
Full text
Available for:
GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
This study provides evidence that high-frequency traders (HFTs) identify patterns in past trades and orders that allow them to anticipate and trade ahead of other investors’ order flow. Specifically, ...HFTs’ aggressive purchases and sales lead those of other investors, and this effect is stronger at times when it is more difficult for non-HFTs to disguise their order flow. Consistent with some HFTs being more skilled or more focused on anticipatory strategies, I show that trades from a subset of HFTs consistently predict non-HFT order flow the best. The results are not explained by HFTs reacting faster to news or past returns, by contrarian or trend-chasing behavior by non-HFTs, or by trader misclassification. These findings support the existence of an anticipatory trading channel through which HFTs increase non-HFT trading costs.
This paper was accepted by Karl Diether, finance.
Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is ...HFTs trading with the wind, that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take positions in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategically on their information. When deciding trade intensity, they seem to trade off higher speculative profits against higher risk of being detected and preyed on by HFTs.
Full text
Available for:
BFBNIB, FZAB, GIS, IJS, INZLJ, KILJ, NLZOH, NMLJ, NUK, OILJ, PNG, SAZU, SBCE, SBMB, UL, UM, UPUK, ZRSKP
PDF
