Liquidity Measures, Liquidity Drivers and Expected Returns on an Early Call Auction Market

Burhop, Carsten; Gelman, Sergey

doi:10.2139/ssrn.1919522

Cited by 6 publications

(4 citation statements)

References 63 publications

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“…Gehrig and Fohlin (2006), for example, found remarkably low trading costs among a nearly comprehensive set of stocks trading in Berlin for four benchmark years (1880, 1890, 1900, and 1910). Burhop and Gelman (2011) have confirmed earlier findings using a sample of 27 frequently traded stocks over the period 1891 to 1912. New work on the relatively late appearing Stockholm Stock Exchange, starting in 1901, shows another story-an exchange with a low number of stocks, low liquidity, and high and fixed transaction costs.…”

Section: Market Liquidity Reflects Information Flowsupporting

confidence: 88%

Financial Market History: Reflections on the Past for Investors Today

Chambers

2016

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The CFA Institute Research Foundation is a not-for-profit organization established to promote the development and dissemination of relevant research for investment practitioners worldwide. Neither the Research Foundation, CFA Institute, nor the publication's editorial staff is responsible for facts and opinions presented in this publication. This publication reflects the views of the author(s) and does not represent the official views of the CFA Institute Research Foundation.

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Section: Market Liquidity Reflects Information Flowsupporting

confidence: 88%

Financial Market History: Reflections on the Past for Investors Today

Chambers

2016

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“…Similarly, Acharya and Pedersen (2005) use another indicator of illiquidity (Amihud's illiquidity ratio) and show that liquidity and Illiquidity risk are significantly considered in the asset pricing on NYSE and AMEX from 1962 to 1995 (the corresponding monthly premium is about 4.6%). This is consistent with the results of Chan andFaff (2005), Bollar et al (2008), Burhop and Gelman (2015) and Lesmond et al (1999). Contrary to the previous results, Soosung and Chensheng (2005), find that it is difficult to conclude that there is a premium for liquidity risk on the British market between 1997 and 2004, regardless of the portfolio formation strategy.…”

Section: The Liquidity Risk Premiumsupporting

confidence: 87%

The price of microstructure risk on emerging stock markets: towards an integration of African financial markets

Hikouatcha¹,

Bidias²,

Kamdem³

2022

IJFMD

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African stock markets have particular characteristics, chiefly the extreme volatility of their returns, which would imply a significant risk premium. Very few studies attempted to investigate the existence of this risk premium for some return determinants on these markets. The purpose of this article is to evaluate the price of the microstructure risk on some selected African emerging stock markets, including JSE, NSE and BRVM. The data used is from these stock markets databases and ranges from 2000 to 2014. Generalised least square and generalised estimating equations methods are used at the last step of a modified version of Fama and Macbeth's (1973) sequential estimation technique, on a set of portfolio formed based on two different strategies. The results show that microstructure risk is not significantly priced on individual stock markets. However, it is better priced when portfolios are constituted with stocks of several financial markets. Indeed, except the liquidity, all considered microstructure risk factors are significantly and consistently priced. This highlights the fact that the risk premium is more attractive when markets are integrated. The study points out the need for the globalisation of African stock markets and a necessity to facilitate information flow.

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“…By the 1790s, the New York and Philadelphia exchanges were using auctions to sell securities (Sobel 2000; Vitiello and Thomas 2010). Auction-like mechanisms were introduced in Paris around 1801 for public debt (Hautcoeur and Riva 2011), and in Berlin later in the nineteenth century for stocks (Burhop and Gelman 2011). 57 The open outcry system in the Amsterdam Exchange was most likely adopted in the 1830s.…”

Section: Resultsmentioning

confidence: 99%

Anglo-Dutch Premium Auctions in Eighteenth-Century Amsterdam

Boerner

Bochove²,

Quint

2012

SSRN Journal

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Abstract. An Anglo-Dutch premium auction consists of an English auction followed by a Dutch auction, with a cash premium paid to the winner of the first round.We study such auctions used in the secondary debt market in eighteenth-centuryAmsterdam. This was among the first uses of auctions, or any structured marketclearing mechanism, in a financial market. We find that this market presented two distinct challenges -generating competition and aggregating information. We argue that the Anglo-Dutch premium auction is particularly well-suited to do both.Modeling equilibrium play theoretically, we predict a positive relationship between the uncertainty in a security's value and the likelihood of a second-round bid. Analyzing data on 16,854 securities sold in the late 1700s, we find empirical support for this prediction. This suggests that bidding behavior may have been consistent with (non-cooperative) equilibrium play, and therefore that these auctions were successful at generating competition. We also find evidence suggesting that these auctions succeeded at aggregating information. Thus, the Anglo-Dutch premium auction appears to have been an effective solution to a complex early market design problem.JEL Classification: D44, N23

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Liquidity Measures, Liquidity Drivers and Expected Returns on an Early Call Auction Market

Cited by 6 publications

References 63 publications

Financial Market History: Reflections on the Past for Investors Today

Financial Market History: Reflections on the Past for Investors Today

The price of microstructure risk on emerging stock markets: towards an integration of African financial markets

Anglo-Dutch Premium Auctions in Eighteenth-Century Amsterdam

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