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Dispersed Trading and the Prevention of Market Failure: the Case of the Copenhagen Stock Exchange

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Author Info

  • David C. Porter
  • Carsten Tanggaard
  • Daniel G. Weaver
  • Wei Yu

Abstract

"With augmented demands on power grids resulting in longer and larger blackouts combined with heightened concerns of terrorist attacks, trading institutions and policy makers have widened their search for systems that avoid market failure during these disturbing events. We provide insight into this issue by examining trading behaviour at the Copenhagen Stock Exchange during a major blackout. We find that although market quality declined, markets remained functional and some price discovery occurred during the blackout period suggesting that the NOREX structure of interlinked trading systems combined with widely dispersed trading locations may be a viable means of protection against market failure during massive power disruptions or terrorist attacks." Copyright 2007 The Authors Journal compilation (c) 2007 Blackwell Publishing Ltd.

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Bibliographic Info

Article provided by European Financial Management Association in its journal European Financial Management.

Volume (Year): 14 (2008)
Issue (Month): 2 ()
Pages: 243-267

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Handle: RePEc:bla:eufman:v:14:y:2008:i:2:p:243-267

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Cited by:
  1. Andrea Consiglio & Domenico De Giovanni, 2010. "Pricing the Option to Surrender in Incomplete Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 935-957.
  2. Jorgensen, Peter Lochte, 2007. "Traffic light options," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3698-3719, December.
  3. De Giovanni, Domenico, 2007. "Lapse Rate Modeling: A Rational Expectation Approach," Finance Research Group Working Papers F-2007-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  4. Høg, Esben, 2008. "Volatility and realized quadratic variation of differenced returns : A wavelet method approach," Finance Research Group Working Papers F-2008-06, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  5. Jørgensen, Peter Løchte & De Giovanni, Domenico, 2008. "Time Charters with Purchase Options in Shipping: Valuation and Risk Management," Finance Research Group Working Papers F-2008-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.

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