Circuit Breakers with Uncertainty about the Presence of Informed Agents: I Know What You Know . . . I Think

Ackert, Lucy F.; Church, Bryan K.; Jayaraman, Narayanan

doi:10.2139/ssrn.367582

Cited by 2 publications

(1 citation statement)

References 33 publications

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“…Although regulatory intervention is meant to dampen the sources of market instability, the theoretical literature has been clear about the direction and efficiency of such intervention. It should address the transitory volatility and not the fundamental volatility, which allows for a normal price swing due to incorporating new information on fundamental values (Ackert et al 2005). In the EU regulatory framework, MiFID II addresses the volatility topic in at least two important areas.…”

Section: Dalymentioning

confidence: 99%

Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Miloş

2021

Laws

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The paper investigates whether the implementation of MiFID II, a packet of financial legislation applying broadly to European Union financial markets, has led to a change in the volatility of some European developed and emerging stock markets. We show that for the developed capital markets considered in the analysis, MiFID II did not lead to a decrease in the volatility of capital markets. On the contrary, for all analysis intervals considered (3 months, 6 months, 12 months, 18 months and 24 months), the impact on volatility is positive, with volatility increasing in the case of the FTSE 100, CAC40 and DAX stock indexes. There is a similar significant relationship for the Czech stock market, but only over the three-month interval. For the Polish and Romanian stock markets, which enforced MiFID II later, a negative impact of MiFID II on volatility could also be observed. In the Romanian market, MiFID II had a negative impact on volatility on the short-term horizon, while for the Polish market, the impact of MiFID II on volatility is noticeable on a longer term of 24 months.

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Section: Dalymentioning

confidence: 99%

Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Miloş

2021

Laws

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Bilgi Suistimali Suuu, Suua liikin Tedbirler ve Allnan Tedbirlerin Etkinliii (Insider Trading, Measures of Insider Trading and Effectiveness of Measures)

Kesici

2014

SSRN Journal

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Circuit Breakers with Uncertainty about the Presence of Informed Agents: I Know What You Know . . . I Think

Cited by 2 publications

References 33 publications

Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Bilgi Suistimali Suuu, Suua liikin Tedbirler ve Allnan Tedbirlerin Etkinliii (Insider Trading, Measures of Insider Trading and Effectiveness of Measures)

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