Does screen trading weather the weather? A note on cloudy skies, liquidity, and computerized stock markets
AbstractThis paper tests for the presence of a weather effect on liquidity in a screen-based electronic stock market. The Exchange Liquidity Measure XLM enables us to separate the effect of cloudy skies on liquidity provided by market makers from this effect on liquidity naturally in the market. The empirical evidence suggests that cloudy skies correspond with high natural liquidity levels and low liquidity injected by market makers. This result is consistent with findings for floor-based stock trading and with the hypothesis that market makers add less value in markets with high natural liquidity.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 19 (2010)
Issue (Month): 2 (March)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620166
Weather effect Screen trading Liquidity Anonymous stock market Market maker;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Loughran, Tim & Schultz, Paul, 2004. "Weather, Stock Returns, and the Impact of Localized Trading Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 343-364, June.
- Gehrig, Thomas & Jackson, Matthew O., 1997.
"Bid-Ask Spreads with Indirect Competition among Specialists,"
CEPR Discussion Papers
1648, C.E.P.R. Discussion Papers.
- Gehrig, Thomas & Jackson, Matthew, 1998. "Bid-ask spreads with indirect competition among specialists," Journal of Financial Markets, Elsevier, vol. 1(1), pages 89-119, April.
- Thomas Gehrig & Matthew Jackson, 1994. "Bid-Ask Spreads with Indirect Competition Among Specialists," Discussion Papers 1107, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Hachmeister, A. & Schiereck, D., 2010. "Dancing in the Dark: Post-trade Anonymity, Liquidity, and Informed Trading," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 34883, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Mark Grinblatt, 2001. "How Distance, Language, and Culture Influence Stockholdings and Trades," Journal of Finance, American Finance Association, vol. 56(3), pages 1053-1073, 06.
- Saunders, Edward M, Jr, 1993. "Stock Prices and Wall Street Weather," American Economic Review, American Economic Association, vol. 83(5), pages 1337-45, December.
- William N. Goetzmann & Ning Zhu, 2004.
"Rain or Shine: Where is the Weather Effect?,"
Yale School of Management Working Papers
ysm28, Yale School of Management.
- William N. Goetzmann & Ning Zhu, 2003. "Rain or Shine: Where is the Weather Effect?," NBER Working Papers 9465, National Bureau of Economic Research, Inc.
- William Goetzmann & Ning Zhu, 2002. "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers ysm296, Yale School of Management, revised 01 Sep 2009.
- David Hirshleifer & TYLER G. SHUMWAY, 2004.
"Good Day Sunshine: Stock Returns and the Weather,"
- Flemisch, M. & Hackethal, A. & Schiereck, D., 2009. "Market Maker unter Wolken - Wettereffekte am deutschen Aktienmarkt," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 34880, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Mark Kamstra & Lisa Kramer & Maurice Levi, 2002.
"Winter blues: a SAD stock market cycle,"
2002-13, Federal Reserve Bank of Atlanta.
- Joshua D. Coval & Tobias J. Moskowitz, 1999. "Home Bias at Home: Local Equity Preference in Domestic Portfolios," Journal of Finance, American Finance Association, vol. 54(6), pages 2045-2073, December.
- Grammig, Joachim & Schiereck, Dirk & Theissen, Erik, 2001.
"Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets,"
Journal of Financial Markets,
Elsevier, vol. 4(4), pages 385-412, October.
- Grammig, J. & Schiereck, D. & Theissen, E., 2001. "Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35288, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Alexandra Hachmeister & Dirk Schiereck, 2010. "Dancing in the dark: post-trade anonymity, liquidity and informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 145-177, February.
- Brad M. Barber & Terrance Odean, 2008. "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 785-818, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.