Market Microstructure in Emerging and Developed Markets
Price Discovery, Information Flows, and Transaction Costs
Published on 26. August 2013
Book
Hardback
544 pages
978-1-118-27844-4 (ISBN)
Description
A comprehensive guide to the dynamic area of finance known as market microstructure
Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level--and taking into account market structure, price discovery, information flows, transaction costs, and the trading process--market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions.
Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process.
* Explore issues including market structure and design, transaction costs, information flows, and disclosure
* Addresses market microstructure in emerging markets
* Covers the legal and regulatory issues impacting this area of finance
* Contains contributions from both experienced financial professionals and respected academics in this field
If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.
Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level--and taking into account market structure, price discovery, information flows, transaction costs, and the trading process--market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions.
Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process.
* Explore issues including market structure and design, transaction costs, information flows, and disclosure
* Addresses market microstructure in emerging markets
* Covers the legal and regulatory issues impacting this area of finance
* Contains contributions from both experienced financial professionals and respected academics in this field
If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.
More details
Persons
H. KENT BAKER, CFA, CMA, is University Professor of Finance at the Kogod School of Business, American University in Washington, D.C. As one of the most prolific finance academics, he is the author or editor of 19 books, and more than 150 refereed articles in such publications as the Journal of Finance, Journal of Financial and Quantitative Analysis, Financial Management, Financial Analysts Journal, Journal of Portfolio Management, and Harvard Business Review. Professor Baker serves on the editorial boards of six journals including the Journal of Emerging Markets and Journal of Financial Economic Policy. He has consulting and training experience with more than 100 organizations. Professor Baker received a BSBA from Georgetown University; MEd, MBA, and DBA degrees from the University of Maryland; and an MA, MS, and two PhDs from American University. He also holds CFA and CMA designations.
HALIL KIYMAZ, CFA, is Bank of America Professor of Finance in the Crummer Graduate School of Business at Rollins College. Professor Kiymaz has published more than 60 articles in scholarly and practitioner journals and coedited two books. His research has appeared in the Journal of Banking and Finance, Financial Review, Global Finance Journal, Journal of Applied Finance, Journal of Economics and Finance, Review of Financial Economics, and Quarterly Journal of Business and Economics, among others. Professor Kiymaz also serves on the editorial board of numerous journals and is the area editor of the International Journal of Emerging Markets. He has consulting and training experience with various governmental and public organizations such as the Central Bank of Turkey, Bankers Association, and Stalla. Professor Kiymaz received a BS from Uludag University and an MBA, MA, and PhD from the University of New Orleans.
HALIL KIYMAZ, CFA, is Bank of America Professor of Finance in the Crummer Graduate School of Business at Rollins College. Professor Kiymaz has published more than 60 articles in scholarly and practitioner journals and coedited two books. His research has appeared in the Journal of Banking and Finance, Financial Review, Global Finance Journal, Journal of Applied Finance, Journal of Economics and Finance, Review of Financial Economics, and Quarterly Journal of Business and Economics, among others. Professor Kiymaz also serves on the editorial board of numerous journals and is the area editor of the International Journal of Emerging Markets. He has consulting and training experience with various governmental and public organizations such as the Central Bank of Turkey, Bankers Association, and Stalla. Professor Kiymaz received a BS from Uludag University and an MBA, MA, and PhD from the University of New Orleans.
Content
Acknowledgments ix
PART I Introduction toMarket Microstructure 1
1 Market Microstructure: An Overview 3
H. Kent Baker and Halil Kiymaz
2 Microstructure of Equity Markets 17
Nazli Sila Alan, Recep Bildik, and Robert A. Schwartz
3 Microstructure of the Euro-Area Government Bond Market 39
Madhucchand Darbha and Alfonso Dufour
4 Microstructure Developments in DerivativeMarkets 59
James T. Moser
5 The Microstructure of CurrencyMarkets 79
Carol Osler and Xuhang Wang
6 The Architecture of Securities Market Supervision before and after the Crisis 99
Donato Masciandaro and Marc Quintyn
7 Financial Market Contagion 115
Thadavillil Jithendranathan
PART II Market Architecture and Design 135
8 Market Architecture: A Conceptual Framework and Real-World Systems 137
Massimiliano Marzo
9 Designing a Trading Market 159
Massimiliano Marzo
10 Current Issues in Market Design 177
Carole Comerton-Forde
11 Decimalization and Discreteness 199
Brittany Cole and Bonnie Van Ness
12 Dark Trading 213
Hans Degryse, Geoffrey Tombeur, Mark Van Achter, and Gunther Wuyts
PART III Price Formation and Price Discovery 231
13 Determinants of Trading Costs 233
Yu-Chuan Huang
14 Market Makers and Liquidity 253
Frank J. Sensenbrenner
15 Liquidity beyond the Inside Spread: The Price Impact of Trading 269
Paul J. Irvine
16 Price Discovery in International and Emerging Asset Markets 285
Yiuman Tse and Michael Williams
17 Holding Back Volatility: Circuit Breakers, Price Limits, and Trading Halts 303
David Abad and Roberto Pascual
PART IV Transaction Costs, Timing Costs, and Information Disclosure 325
18 Bid-Ask Spreads, Commissions, and Other Costs 327
Thanos Verousis
19 Pretrade and Posttrade Transparency 345
Stephen G. Sapp and Ingrid Lo
20 Empirical and Experimental Research on Transparency and Disclosure 365
Arie E. Gozluklu
PART V Microstructure Issues in Emerging Markets 385
21 StockMarket Efficiency and Market Microstructure in Emerging Markets 387
Parvez Ahmed
22 Liquidity and Crises in Asian Equity Markets 407
Charlie Charoenwong, David K. Ding, and Yung Chiang Yang
23 Trading Costs and Execution Strategies in Emerging Markets 425
Mark Humphery-Jenner and Eliza Wu
24 Intraday Price Behavior during Information Arrival in Emerging Markets 445
Jan Hanousek, Ev¡zen Ko¡cenda, and Jan Novotn´y
25 Market Microstructure in African Equity Markets 463
Sabur Mollah and Abul Hassan
Answers to Discussion Questions 483
Index 513
PART I Introduction toMarket Microstructure 1
1 Market Microstructure: An Overview 3
H. Kent Baker and Halil Kiymaz
2 Microstructure of Equity Markets 17
Nazli Sila Alan, Recep Bildik, and Robert A. Schwartz
3 Microstructure of the Euro-Area Government Bond Market 39
Madhucchand Darbha and Alfonso Dufour
4 Microstructure Developments in DerivativeMarkets 59
James T. Moser
5 The Microstructure of CurrencyMarkets 79
Carol Osler and Xuhang Wang
6 The Architecture of Securities Market Supervision before and after the Crisis 99
Donato Masciandaro and Marc Quintyn
7 Financial Market Contagion 115
Thadavillil Jithendranathan
PART II Market Architecture and Design 135
8 Market Architecture: A Conceptual Framework and Real-World Systems 137
Massimiliano Marzo
9 Designing a Trading Market 159
Massimiliano Marzo
10 Current Issues in Market Design 177
Carole Comerton-Forde
11 Decimalization and Discreteness 199
Brittany Cole and Bonnie Van Ness
12 Dark Trading 213
Hans Degryse, Geoffrey Tombeur, Mark Van Achter, and Gunther Wuyts
PART III Price Formation and Price Discovery 231
13 Determinants of Trading Costs 233
Yu-Chuan Huang
14 Market Makers and Liquidity 253
Frank J. Sensenbrenner
15 Liquidity beyond the Inside Spread: The Price Impact of Trading 269
Paul J. Irvine
16 Price Discovery in International and Emerging Asset Markets 285
Yiuman Tse and Michael Williams
17 Holding Back Volatility: Circuit Breakers, Price Limits, and Trading Halts 303
David Abad and Roberto Pascual
PART IV Transaction Costs, Timing Costs, and Information Disclosure 325
18 Bid-Ask Spreads, Commissions, and Other Costs 327
Thanos Verousis
19 Pretrade and Posttrade Transparency 345
Stephen G. Sapp and Ingrid Lo
20 Empirical and Experimental Research on Transparency and Disclosure 365
Arie E. Gozluklu
PART V Microstructure Issues in Emerging Markets 385
21 StockMarket Efficiency and Market Microstructure in Emerging Markets 387
Parvez Ahmed
22 Liquidity and Crises in Asian Equity Markets 407
Charlie Charoenwong, David K. Ding, and Yung Chiang Yang
23 Trading Costs and Execution Strategies in Emerging Markets 425
Mark Humphery-Jenner and Eliza Wu
24 Intraday Price Behavior during Information Arrival in Emerging Markets 445
Jan Hanousek, Ev¡zen Ko¡cenda, and Jan Novotn´y
25 Market Microstructure in African Equity Markets 463
Sabur Mollah and Abul Hassan
Answers to Discussion Questions 483
Index 513