FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W386210676> ?p ?o ?g. }

• W386210676 abstract "Prior finance literature lacks a comprehensive analysis of microstructure characteristics of U.S. futures markets due to the lack of data availability. Utilizing a unique data set for five different futures contract this dissertation fills this gap in the finance literature. In three essays price discovery, resiliency and the components of bid-ask spreads in electronic futures markets are examined. In order to provide comprehensive and robust analysis, both moderately volatile pre-crisis and volatile crisis periods are included in the analysis. The first essay entitled “Price Discovery and Liquidity Characteristics for U.S. Electronic Futures and ETF Markets” explores the price discovery process in U.S. futures and ETF markets. Hasbrouck’s information share method is applied to futures and ETF instruments. The information share results show that futures markets dominate the price discovery process. The results on the factors that affect the price discovery process show that when volatility increases, the price leadership of futures markets declines. Furthermore, when the relative size of bid-ask spread in one market increases, its information share decreases. The second essay, entitled “The Resiliency of Large Trades for U.S. Electronic Futures Markets,“ examines the effects of large trades in futures markets. How quickly prices and liquidity recovers after large trades is an important characteristic of financial markets. The price effects of large trades are greater during the crisis period compared to the pre-crisis period. Furthermore, relative to the pre-crisis period, during the crisis period it takes more trades until liquidity returns to the pre-block trade levels. The third essay, entitled “Components of Quoted Bid-Ask Spreads in U.S. Electronic Futures Markets,” investigates the bid-ask spread components in futures market. The components of bid-ask spreads is one of the most important subjects of microstructure studies. Utilizing Huang and Stoll’s (1997) method the third essay of this dissertation provides the first analysis of the components of quoted bid-ask spreads in U.S. electronic futures markets. The results show that order processing cost is the largest component of bid-ask spreads, followed by inventory holding costs. During the crisis period market makers increase bid-ask spreads due to increasing inventory holding and adverse selection risks." @default.
• W386210676 created "2016-06-24" @default.
• W386210676 creator A5048170800 @default.
• W386210676 date "2017-11-13" @default.
• W386210676 modified "2023-10-16" @default.
• W386210676 title "Microstructure Characteristics of U.S. Futures Markets" @default.
• W386210676 cites W1522891750 @default.
• W386210676 cites W1540952371 @default.
• W386210676 cites W1554531422 @default.
• W386210676 cites W1560849420 @default.
• W386210676 cites W1599491685 @default.
• W386210676 cites W1951455001 @default.
• W386210676 cites W1966977762 @default.
• W386210676 cites W1967952347 @default.
• W386210676 cites W1971972065 @default.
• W386210676 cites W1974250416 @default.
• W386210676 cites W1975025953 @default.
• W386210676 cites W1975578741 @default.
• W386210676 cites W1978867264 @default.
• W386210676 cites W1978912081 @default.
• W386210676 cites W1979986072 @default.
• W386210676 cites W1985808284 @default.
• W386210676 cites W1988359375 @default.
• W386210676 cites W1998655719 @default.
• W386210676 cites W2000633988 @default.
• W386210676 cites W2003207132 @default.
• W386210676 cites W2007460156 @default.
• W386210676 cites W2011254150 @default.
• W386210676 cites W2015950201 @default.
• W386210676 cites W2016087196 @default.
• W386210676 cites W2026803317 @default.
• W386210676 cites W2027081628 @default.
• W386210676 cites W2030574053 @default.
• W386210676 cites W2033308164 @default.
• W386210676 cites W2034592489 @default.
• W386210676 cites W2034903818 @default.
• W386210676 cites W2039652655 @default.
• W386210676 cites W2042417957 @default.
• W386210676 cites W2046519558 @default.
• W386210676 cites W2048394659 @default.
• W386210676 cites W2050031929 @default.
• W386210676 cites W2050238052 @default.
• W386210676 cites W2068138154 @default.
• W386210676 cites W2075194507 @default.
• W386210676 cites W2076629009 @default.
• W386210676 cites W2081908117 @default.
• W386210676 cites W2084947887 @default.
• W386210676 cites W2085727045 @default.
• W386210676 cites W2086796026 @default.
• W386210676 cites W2088099320 @default.
• W386210676 cites W2088503847 @default.
• W386210676 cites W2089217776 @default.
• W386210676 cites W2091160140 @default.
• W386210676 cites W2093231763 @default.
• W386210676 cites W2093362178 @default.
• W386210676 cites W2095044980 @default.
• W386210676 cites W2098388069 @default.
• W386210676 cites W2103674819 @default.
• W386210676 cites W2125531201 @default.
• W386210676 cites W2130428347 @default.
• W386210676 cites W2139254678 @default.
• W386210676 cites W2145182845 @default.
• W386210676 cites W2150332654 @default.
• W386210676 cites W2153900362 @default.
• W386210676 cites W2154524613 @default.
• W386210676 cites W2157495061 @default.
• W386210676 cites W2158120228 @default.
• W386210676 cites W2167713376 @default.
• W386210676 cites W2168038988 @default.
• W386210676 cites W2169951764 @default.
• W386210676 cites W2230844520 @default.
• W386210676 cites W3023274588 @default.
• W386210676 cites W3121183785 @default.
• W386210676 cites W3121394145 @default.
• W386210676 cites W3121401171 @default.
• W386210676 cites W3121630491 @default.
• W386210676 cites W3121729798 @default.
• W386210676 cites W3121974897 @default.
• W386210676 cites W3122511260 @default.
• W386210676 cites W3123254098 @default.
• W386210676 cites W3123303156 @default.
• W386210676 cites W3123980494 @default.
• W386210676 cites W3124389411 @default.
• W386210676 cites W3124406824 @default.
• W386210676 cites W3124581727 @default.
• W386210676 cites W3124897462 @default.
• W386210676 cites W3125917647 @default.
• W386210676 cites W3125985460 @default.
• W386210676 cites W3126019031 @default.
• W386210676 cites W2096751520 @default.
• W386210676 cites W2182577443 @default.
• W386210676 doi "https://doi.org/10.25148/etd.fi14071191" @default.
• W386210676 hasPublicationYear "2017" @default.
• W386210676 type Work @default.
• W386210676 sameAs 386210676 @default.
• W386210676 citedByCount "0" @default.
• W386210676 crossrefType "dissertation" @default.
• W386210676 hasAuthorship W386210676A5048170800 @default.
• W386210676 hasBestOaLocation W3862106761 @default.
• W386210676 hasConcept C10138342 @default.

• next