Econometric Modeling: Financial Markets Regulation eJournal最新文献

{"title":"Profitability and Market Quality of High Frequency Market-Makers: An Empirical Investigation","authors":"Gabriel Yergeau","doi":"10.2139/ssrn.2846160","DOIUrl":"https://doi.org/10.2139/ssrn.2846160","url":null,"abstract":"Financial markets in contemporary regulatory settings require the presence of high-frequency liquidity providers. We present an applied study of the profitability and the impact on market quality of an individual high-frequency trader acting as a market-maker. Using a sample of sixty stocks over a six-month period, we implement the optimal quoting policy (OQP) of liquidity provision from Ait-Sahalia and Saglam's (2014) dynamic inventory management model. The OQP allows the high-frequency trader to extract a constant annuity from the market but its profitability is insufficient to cover the costs of market-making activities. The OQP is embedded in a trading strategy that relaxes the model’s constraint on the quantity traded. Circuit-breakers are implemented and market imperfections are considered. Profits excluding maker-fees and considering transaction fees are economically significant. We propose a methodology to adjust the returns for asynchronous trading and varying leverage levels associated with dynamic inventory management. This allows us to qualify high trade volume as a proxy of informed trading. The high-frequency trader behaves as a constant liquidity provider and has a positive effect on market quality even in periods of market stress.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127860527","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Sovereign Debt Listing Puzzle","authors":"Elisabeth de Fontenay, Josefin Meyer, G. Gulati","doi":"10.2139/SSRN.2853917","DOIUrl":"https://doi.org/10.2139/SSRN.2853917","url":null,"abstract":"The claim that stock exchanges perform certification and monitoring roles in securities offerings is pervasive in the legal and financial literatures. This article tests the validity of this “bonding hypothesis” in the sovereign-bond market — one of the oldest and largest securities markets in the world. Using data on sovereign-bond listings for the entire post-World War II period, we provide the first comprehensive report on sovereigns’ historical listing patterns. We then test whether a sovereign bond issue’s listing jurisdiction affects its yield at issuance, as the bonding hypothesis would predict. We find little evidence of bonding in today’s sovereign-debt market. Instead, we hypothesize that sovereign-bond listings are primarily a form of regulatory arbitrage. Because certain investors may be restricted to investing abroad only in listed securities, sovereigns are incentivized to list their bonds, but to seek out the least restrictive exchange that qualifies.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133486946","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Assessing Liquidity Buffers in the Panamanian Banking Sector","authors":"A. Komáromi, M. Hadzi-Vaskov, Torsten Wezel","doi":"10.5089/9781475544824.001.A001","DOIUrl":"https://doi.org/10.5089/9781475544824.001.A001","url":null,"abstract":"This paper assesses the resilience of Panamanian banks to (i) a very severe short-term, and (ii) a significant long-lasting liquidity shock scenario. Short-term liquidity buffers are evaluated by approximating the Liquidity Coverage Ratio (LCR) defined in the Basel III accord. The risk of losing a substantial part of foreign funding is analyzed through a conventional liquidity stress test scrutinizing several layers of liquidity across maturity buckets. The results of this study point to some vulnerabilities. First, our approximations indicate that about half of Panamanian banks would need to adjust their liquid asset portfolios to meet current LCR standards. Second, while most banks would be able to meet funding outflows in the stress-test scenario, a number of banks would have to use up all of their liquidity buffers, and a few even face a final shortfall. Nonetheless, most banks displaying sizable liquidity shortfalls have robust solvency positions.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134516282","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Risk, Competition and Efficiency in the Chinese Banking Industry: Evidence from Stochastic Frontier Analysis and Three-Stage Least Square Estimator","authors":"Y. Tan","doi":"10.2139/ssrn.3064322","DOIUrl":"https://doi.org/10.2139/ssrn.3064322","url":null,"abstract":"Using a sample of Chinese commercial banks over the period 2003-2013, this paper tests the interrelationships between risk, competition and efficiency in the Chinese banking industry under a three-stage least square estimator. The paper is the first study comprehensively examining different types of risk-taking behaviours of Chinese commercial banks. The findings suggest that there are significant interrelationships between credit risk, liquidity risk, capital risk and efficiencies of Chinese commercial banks. In addition, it is found that higher levels of competition lead to lower cost and revenue efficiencies and there is a significant and positive impact of credit risk on bank competition. The results provide policy implications to Chinese government and banking regulatory authorities","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132642579","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Supervisory Incentives in a Banking Union","authors":"E. Carletti, Giovanni Dell'Ariccia, R. Marquez","doi":"10.1287/MNSC.2019.3448","DOIUrl":"https://doi.org/10.1287/MNSC.2019.3448","url":null,"abstract":"We study the consequences for supervisors’ and banks’ behavior of a “hub-and-spokes” supervisory system where a centralized agency has authority over banks but relies on local supervisors to collect actionable information. The model entails a principal-agent problem between central and local supervisors that leads to tougher supervisory standards but less compliance on the side of the supervised banks. Centralization entails greater inspection effort by the local supervisor and less bank risk taking if the divergence in the intervention policy of the central and the local supervisors is sufficiently small, but less effort and riskier bank portfolios if the divergence is large. The model has implications for the design of supervisory frameworks within integrated economies. This paper was accepted by Karl Diether, finance.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128160242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"What Exactly Is Market Integrity? An Analysis of One of the Core Objectives of Securities Regulation","authors":"Janet Austin","doi":"10.2139/SSRN.2814986","DOIUrl":"https://doi.org/10.2139/SSRN.2814986","url":null,"abstract":"One of the main objectives of securities regulation around the world is to protect the integrity or fairness of the markets. This, together with protecting investors, improving the efficiency of markets and protecting the markets from systemic risk, now form the four fundamental goals of securities regulation. However, what exactly is envisaged by this concept of market integrity or fairness? Are these simply norms of behaviour incapable of further definition? Despite their importance relatively little attention has been given to these concepts in the literature. Do they, for example, require securities regulators to just work towards eliminating dishonest trading practices such as market manipulation and insider trading? Or should regulators be required to go further and ensure, for example, transparency of corporate information, transparency of price information and equality of access to the markets? Examining what is encompassed by the objectives of protecting market integrity and fairness is critical for a number of reasons. First, if they are only normative concepts, they may be incapable of measurement. This is problematic because it may then be impossible to assess the progress of securities regulators towards achieving these goals. In addition, if they are in fact incapable of further definition and measurement, innovations which improve market efficiency, another key goal of securities regulation, are likely to be permitted even if the innovation in question actually detracts from the fairness or integrity of the market. This is because improvements in market efficiency are generally quantifiable and therefore measured improvements in market efficiency create the momentum for them to be permitted. This article seeks to analyse the concepts of market integrity and market fairness. It examines how they became one of the core goals of securities regulation around the world. The article then attempts to break down these concepts and provide further definition of them. It is hoped that this analysis will encourage the development of metrics to assess securities regulators’ performance and also allow the assessment of whether or not new market innovations should be adopted.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133705530","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Systemic Risk Regulation: The Impact on Insurers’ Equity Prices","authors":"P. Zanghieri","doi":"10.2139/ssrn.2554026","DOIUrl":"https://doi.org/10.2139/ssrn.2554026","url":null,"abstract":"This paper analyses the impact of the evolution of the regulation dealing with systemically important insurance groups, using an event study methodology. The results show that investors were able to detect which companies were to be designated well ahead of the publication of the list. After an initial positive reaction, consistent with the expectation of a “Too-big-to-fail” implicit subsidy, the disclosure on how the capital charges for systemic insurers will be calculated led to sizeable negative abnormal returns for the entities concerned. Leverage plays a key role in driving investors’ reaction; more leveraged entities experience higher abnormal returns when the expectation of a TBTF guarantee arises and lower ones when information on the size of the capital charges is revealed.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129844525","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"What drives Performance in the Speculative Market of Short-term Exchange-traded Retail Products?","authors":"Stefanie Baller, Oliver Entrop, Alexander Schober, Marco Wilkens","doi":"10.2139/ssrn.2137082","DOIUrl":"https://doi.org/10.2139/ssrn.2137082","url":null,"abstract":"This paper considers the realized returns of individual investors in warrants and leverage certificates. First, we derive a general formula that analytically decomposes the return into several economically meaningful components that are related to investor's trading behavior and the issuers' price-setting strategy. Second, we use a large trade dataset to analyze returns along these components and also link them to investors' risk taking strategy. Our main findings are threefold: (i) The overall performance is poor. (ii) Investors show neutral timing skills, while the main performance driver is the issuers' price-setting. (iii) Higher risk taking by investors diminishes the performance further. Our results imply that retail investors do not achieve a pecuniary benefit from the considered financial innovations.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130228952","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Real Effects of Capital Requirements and Monetary Policy: Evidence from the United Kingdom","authors":"Filippo De Marco, Tomasz Wieladek","doi":"10.2139/ssrn.2706465","DOIUrl":"https://doi.org/10.2139/ssrn.2706465","url":null,"abstract":"We study the effects of bank-specific capital requirements on Small and Medium Enterprises (SMEs) in the UK from 1998 to 2006. Following a 1% increase in capital requirements, SMEs' asset growth contracts by 6.9% in the first year of a new bank-firm relationship, but the effect declines over time. We also compare the effects of capital requirements to those of monetary policy. Monetary policy only affects firms with higher credit risk and those borrowing from small banks, whereas capital requirements affect both. Capital requirement changes, instead, do not affect firms with alternative sources of finance, but monetary policy shocks do.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128675843","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Effects of the Global Financial Crisis on the Binding Force of Contracts: A Focus on Disputes Over Structured Notes in Taiwan","authors":"Chang-hsien Tsai","doi":"10.1007/978-3-319-27256-6_16","DOIUrl":"https://doi.org/10.1007/978-3-319-27256-6_16","url":null,"abstract":"","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122553503","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}