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Insider Trading, Liquidity, and the Role of the Monopolist Specialist

Citations

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Cited by:

  1. Andrea Attar & Thomas Mariotti & François Salanié, 2021. "Entry-Proofness and Discriminatory Pricing under Adverse Selection," American Economic Review, American Economic Association, vol. 111(8), pages 2623-2659, August.
  2. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
  3. Muermann, Alexander & Shore, Stephen H., 2005. "Spot market power and future market trading," LSE Research Online Documents on Economics 24644, London School of Economics and Political Science, LSE Library.
  4. Ozsoylev, Han N. & Takayama, Shino, 2010. "Price, trade size, and information revelation in multi-period securities markets," Journal of Financial Markets, Elsevier, vol. 13(1), pages 49-76, February.
  5. Georg Nöldeke & Larry Samuelson, 2018. "The Implementation Duality," Econometrica, Econometric Society, vol. 86(4), pages 1283-1324, July.
  6. Hendershott, Terrence & Moulton, Pamela C., 2011. "Automation, speed, and stock market quality: The NYSE's Hybrid," Journal of Financial Markets, Elsevier, vol. 14(4), pages 568-604, November.
  7. Levine, Carolyn B. & Smith, Michael J., 2003. "Information dissemination by insiders in equilibrium," Journal of Financial Markets, Elsevier, vol. 6(1), pages 23-47, January.
  8. Xianfeng Jiang & Yongdong Shi, 2006. "The Impact of Insider Trading on the Secondary Market with Order-Driven System," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 129-143, May.
  9. Jean-Paul Decamps & Stefano Lovo, 2003. "Market Informational Inefficiency, Risk Aversion and Quantity Grid," Working Papers hal-00592016, HAL.
  10. Andres, Christian & Cumming, Douglas & Karabiber, Timur & Schweizer, Denis, 2014. "Do markets anticipate capital structure decisions? — Feedback effects in equity liquidity," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 133-156.
  11. Osler, Carol L. & Mende, Alexander & Menkhoff, Lukas, 2011. "Price discovery in currency markets," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1696-1718.
  12. Anand, Amber & Chakravarty, Sugato & Chuwonganant, Chairat, 2009. "Cleaning house: Stock reassignments on the NYSE," Journal of Financial Markets, Elsevier, vol. 12(4), pages 727-753, November.
  13. Bondarenko, Oleg & Sung, Jaeyoung, 2003. "Specialist participation and limit orders," Journal of Financial Markets, Elsevier, vol. 6(4), pages 539-571, August.
  14. Attar, Andrea & Mariotti, Thomas & Salanié, François, 2019. "On competitive nonlinear pricing," Theoretical Economics, Econometric Society, vol. 14(1), January.
  15. Erik Theissen, 2003. "Trader Anonymity, Price Formation and Liquidity," Review of Finance, European Finance Association, vol. 7(1), pages 1-26.
  16. Kee H. Chung & Xin Zhao, 2004. "Making a Market with Spreads and Depths," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7-8), pages 1069-1097.
  17. Jason Milionis & Ciamac C. Moallemi & Tim Roughgarden, 2023. "A Myersonian Framework for Optimal Liquidity Provision in Automated Market Makers," Papers 2303.00208, arXiv.org, revised Nov 2023.
  18. Cipriani Marco & Guarino Antonio, 2008. "Herd Behavior and Contagion in Financial Markets," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 8(1), pages 1-56, October.
  19. Hong Liu & Yajun Wang, 2019. "Asset Pricing Implications of Short-Sale Constraints in Imperfectly Competitive Markets," Management Science, INFORMS, vol. 65(9), pages 4422-4439, September.
  20. Madhavan, Ananth & Sofianos, George, 1998. "An empirical analysis of NYSE specialist trading," Journal of Financial Economics, Elsevier, vol. 48(2), pages 189-210, May.
  21. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  22. Madrigal, Vicente & Scheinkman, Jose A., 1997. "Price Crashes, Information Aggregation, and Market-Making," Journal of Economic Theory, Elsevier, vol. 75(1), pages 16-63, July.
  23. Yaron Leitner, 2004. "Liquidity and exchanges, or contracting with the producers," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 16-22.
  24. Carol Osler & Thang Nguyen & Tanseli Savaser, 2011. "Asymmetric Information and the Foreign-Exchange Trades of Global Custody Banks," Department of Economics Working Papers 2011-09, Department of Economics, Williams College.
  25. Hwang, Hae-shin & Jindapon, Paan, 2020. "Market making with convex quotes," Finance Research Letters, Elsevier, vol. 37(C).
  26. Bondarenko, Oleg, 2001. "Competing market makers, liquidity provision, and bid-ask spreads," Journal of Financial Markets, Elsevier, vol. 4(3), pages 269-308, June.
  27. Attar, Andrea & Mariotti, Thomas & Salanié, François, 2017. "Private Information and Insurance Rejections: A comment," IDEI Working Papers 868, Institut d'Économie Industrielle (IDEI), Toulouse.
  28. Fishe, Raymond P. H. & Robe, Michel A., 2004. "The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 71(3), pages 461-488, March.
  29. Bruno Biais & Thomas Mariotti, 2005. "Strategic Liquidity Supply and Security Design," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 615-649.
  30. Malay Dey & Hossein Kazemi, 2008. "Bid ask spread in a competitive market with institutions and order size," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 433-453, May.
  31. Mailath, George J. & Nöldeke, Georg, 2008. "Does competitive pricing cause market breakdown under extreme adverse selection?," Journal of Economic Theory, Elsevier, vol. 140(1), pages 97-125, May.
  32. Carol Osler, 2012. "Market Microstructure and the Profitability of Currency Trading," Working Papers 48, Brandeis University, Department of Economics and International Business School.
  33. Olivier Brandouy & Pascal Barneto & Lawrence Leger, 2003. "Asymmetric information, imitative behaviour and communication: price formation in an experimental asset market," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 393-419.
  34. Louis K. C. Chan & Josef Lakonishok, 1995. "A Cross-Market Comparison of Institutional Equity Trading Costs," NBER Working Papers 5374, National Bureau of Economic Research, Inc.
  35. Jun (Tony) Ruan & Tongshu Ma, 2017. "Bid-Ask Spread, Quoted Depths, and Unexpected Duration Between Trades," Journal of Financial Services Research, Springer;Western Finance Association, vol. 51(3), pages 385-436, June.
  36. Easley, David & O'Hara, Maureen, 2010. "Liquidity and valuation in an uncertain world," Journal of Financial Economics, Elsevier, vol. 97(1), pages 1-11, July.
  37. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  38. Martin Herdegen & Johannes Muhle-Karbe & Florian Stebegg, 2021. "Liquidity Provision with Adverse Selection and Inventory Costs," Papers 2107.12094, arXiv.org.
  39. Chan, Justin S.P. & Jain, Ravi & Xia, Yihong, 2008. "Market segmentation, liquidity spillover, and closed-end country fund discounts," Journal of Financial Markets, Elsevier, vol. 11(4), pages 377-399, November.
  40. DESGRANGES, Gabriel & FOUCAULT, Thierry, 2000. "Reputation-based pricing and price improvements in dealership markets," HEC Research Papers Series 716, HEC Paris, revised 01 Mar 2002.
  41. Weissensteiner, Alex, 2019. "Correlated noise: Why passive investment might improve market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 158-172.
  42. Decamps, Jean-Paul & Lovo, Stefano, 2006. "Informational cascades with endogenous prices: The role of risk aversion," Journal of Mathematical Economics, Elsevier, vol. 42(1), pages 109-120, February.
  43. Hong, Harrison & Huang, Ming, 2005. "Talking up liquidity: insider trading and investor relations," Journal of Financial Intermediation, Elsevier, vol. 14(1), pages 1-31, January.
  44. Alexis Derviz, 2007. "Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information," Working Papers IES 2007/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2007.
  45. Battalio, Robert, 2003. "Discussion of "Do 'thinly-traded' stocks benefit from specialist intervention?" by Nimalendran and Petrella," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1855-1857, September.
  46. Kumar, Kiran & Mamidi, Varsha & Marisetty, Vijaya, 2011. "Global markets exposure and price efficiency: An empirical analysis of order flow dynamics of NYSE-listed Indian firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 686-706.
  47. Pavabutr, Pantisa & Sirodom, Kulpatra, 2010. "Stock splits in a retail dominant order driven market," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 427-441, November.
  48. Kee H. Chung & Xin Zhao, 2004. "Making a Market with Spreads and Depths," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1069-1097, September.
  49. Kam, Tai-Kong & Panchapagesan, Venkatesh & Weaver, Daniel G., 2003. "Competition among markets: The repeal of Rule 390," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1711-1736, September.
  50. Gabor Pinter & Chaojun Wang & Junyuan Zou, 2024. "Size Discount and Size Penalty: Trading Costs in Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2156-2190.
  51. Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2011. "THE CHOICE OF TRADING VENUE AND RELATIVE PRICE IMPACT OF INSTITUTIONAL TRADING: ADRs VERSUS THE UNDERLYING SECURITIES IN THEIR LOCAL MARKETS," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(4), pages 537-567, December.
  52. Roll, Richard & Subrahmanyam, Avanidhar, 2010. "Liquidity skewness," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2562-2571, October.
  53. Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank.
  54. Epstein, Larry G. & Peters, Michael, 1999. "A Revelation Principle for Competing Mechanisms," Journal of Economic Theory, Elsevier, vol. 88(1), pages 119-160, September.
  55. Florian Hauser & Bob Kaempff, 2013. "Evolution of trading strategies in a market with heterogeneously informed agents," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 575-607, July.
  56. Brown, Philip & Walsh, David & Yuen, Andrea, 1997. "The interaction between order imbalance and stock price," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 539-557, December.
  57. Jie-Haun Lee & Ji-Chai Lin, 1995. "Volatility And Liquidity At Nyse Opening Calls: A Closer Look," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 479-493, December.
  58. Art Durnev & Amrita Nain, "undated". "The Unanticipated Effects of Insider Trading Regulation," American Law & Economics Association Annual Meetings 1023, American Law & Economics Association.
  59. Noldeke, Georg & Samuelson, Larry, 2007. "Optimal bunching without optimal control," Journal of Economic Theory, Elsevier, vol. 134(1), pages 405-420, May.
  60. George F. Tannous & Ying Zhang, 2008. "Cross‐listing and Trading on the Domestic Market: Evidence from Canada–US Partial Holidays," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9‐10), pages 1245-1275, November.
  61. A. Can Inci & Biao Lu & H. Nejat Seyhun, 2010. "Intraday Behavior of Stock Prices and Trades around Insider Trading," Financial Management, Financial Management Association International, vol. 39(1), pages 323-363, March.
  62. Attar, Andrea & Mariotti, Thomas & Salanié, François, 2021. "Competitive Nonlinear Pricing under Adverse Selection," TSE Working Papers 21-1201, Toulouse School of Economics (TSE), revised Aug 2022.
  63. deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
  64. Derviz, Alexis, 2004. "Asset return dynamics and the FX risk premium in a decentralized dealer market," European Economic Review, Elsevier, vol. 48(4), pages 747-784, August.
  65. Carré, Sylvain & Collin-Dufresne, Pierre & Gabriel, Franck, 2022. "Insider trading with penalties," Journal of Economic Theory, Elsevier, vol. 203(C).
  66. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
  67. Paulo Pereira Silva & Isabel Vieira, 2022. "On the Effects of Capital Markets’ Regulation on Price Informativeness: an Assessment of EU Market Abuse Directive," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 125-157, June.
  68. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-.
  69. Lauterbach, Beni, 2001. "A note on trading mechanism and securities' value: The analysis of rejects from continuous trade," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 419-430, February.
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  71. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
  72. Mailath, George J. & von Thadden, Ernst-Ludwig, 2013. "Incentive compatibility and differentiability: New results and classic applications," Journal of Economic Theory, Elsevier, vol. 148(5), pages 1841-1861.
  73. Liu, Hong & Wang, Yajun, 2016. "Market making with asymmetric information and inventory risk," Journal of Economic Theory, Elsevier, vol. 163(C), pages 73-109.
  74. Li, Yi & Zhang, Wei & Wang, Pengfei & Goodell, John W., 2024. "Social media as an amplifier of insider trading profits," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 96(C).
  75. Bruno Biais & Thierry Foucault & François Salani, 1995. "Implicit collusion on wide spreads," Economics Working Papers 153, Department of Economics and Business, Universitat Pompeu Fabra.
  76. Biais, Bruno & Foucault, Thierry, 1993. "Asymétrie d’information et marchés financiers : une synthèse de la littérature récente," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 8-44, mars.
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  78. Bhattacharya, Utpal & Spiegel, Matthew, 1998. "Anatomy of a Market Failure: NYSE Trading Suspensions (1974-1988)," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 216-226, April.
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  80. Zurita, Felipe, 2004. "On the limits to speculation in centralized versus decentralized market regimes," Journal of Financial Intermediation, Elsevier, vol. 13(3), pages 378-408, July.
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  84. Lepone, Andrew & Wong, Jin Boon, 2017. "Pseudo market-makers, market quality and the minimum tick size," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 88-100.
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  86. Hung‐Neng Lai, 2007. "The Market Quality of Dealer versus Hybrid Markets: The Case of Moderately Liquid Securities," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 349-373, January.
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  90. Spiegel, Matthew & Subrahmanyam, Avanidhar, 2000. "Asymmetric Information and News Disclosure Rules," Journal of Financial Intermediation, Elsevier, vol. 9(4), pages 363-403, October.
  91. Christophe Bisière & Jean-Paul Décamps & Stefano Lovo, 2015. "Risk Attitude, Beliefs Updating, and the Information Content of Trades: An Experiment," Management Science, INFORMS, vol. 61(6), pages 1378-1397, June.
  92. Chung, Dennis & Hrazdil, Karel, 2010. "Liquidity and market efficiency: A large sample study," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2346-2357, October.
  93. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank.
  94. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July.
  95. James J. Angel & Douglas M. McCabe, 2018. "Insider Trading 2.0? The Ethics of Information Sales," Journal of Business Ethics, Springer, vol. 147(4), pages 747-760, February.
  96. Desgranges, Gabriel & Foucault, Thierry, 2005. "Reputation-based pricing and price improvements," Journal of Economics and Business, Elsevier, vol. 57(6), pages 493-527.
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  136. Zhang, Ting & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Order imbalances and market efficiency: New evidence from the Chinese stock market," Emerging Markets Review, Elsevier, vol. 38(C), pages 458-467.
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  139. Corwin, Shane A., 2004. "Specialist performance and new listing allocations on the NYSE: an empirical analysis," Journal of Financial Markets, Elsevier, vol. 7(1), pages 27-51, January.
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