Search results for "Open outcry"
showing 5 items of 5 documents
Where Has All the Trading Gone? A Network Approach to European Stock Exchanges and Alternative Trading Venue
2011
This paper investigates the network features of European trading venues by analyzing the behavior of simultaneously quoted stock. Equity trading venues include both regulated Stock Exchanges (SEs) and Alternative Trading Venues (ATVs) and these represent the nodes of our network. The connections among these nodes are determined by choices of investors to exploit various venues in which a stock may be traded. Using trading volume data of nearly 22,000 equities we use social network analysis to measure prestige and connectivity between the various trading venues between 2005 and 2009. We find that the evolution of ATVs (including multi-lateral trading venues BATS, Chi-X and Turquoise, as well…
Spanish Stock Returns: Where is the Weather Effect?
2003
Psychological studies support the existence of an influence of weather on mood. Saunders (1993) and Hirshleifer and Shumway (2001) argue that the weather could affect the behaviour of market traders and, therefore, it should be reflected in the stock returns. This paper investigates the possible relation between weather and market index returns in the context of the Spanish market. In 1989, this market changed its open outcry trading system into a computerised and decentralised trading system. Therefore, it is possible to check the influence of weather variables (sunshine hours and humidity levels) on index returns in an open outcry trading system, and to compare it with a screen traded env…
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
2011
We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book transactions has a significantly fatter tail than the one of on-book transactions, (ii) groups of members and non-members can be classified in categories according to their trading profile (iii) there is a strong anticorrelation between the daily inventory variation of a market member due to the on-book market transactions and inventory variation due to the off-book market transac…
Spanish Stock Returns: Rational or Weather-Influenced?
2002
Psychological studies support the existence of an influence of weather on mood. It could affect the behaviour of market traders, as suggested by some authors, and this should be reflected by the stock returns. This paper investigates the possible relation between weather and market index returns in the context of the Spanish market, in order to test the above hypothesis. In 1989, this market changed its open outcry trading system into a computerised and decentralised trading system. Therefore, it is possible to check the influence of weather variables (sunshine hours and humidity levels) on index returns in an open outcry trading system, and to compare it with a screen traded environment. T…
Secret versus public reserve price in an “outcry” English procurement auction: Experimental results
2015
Abstract In a set of human experiments, we analyze the impact of the buyer׳s reserve price policy in an online open outcry reverse auction. We measure the impact of revealing or not the reserve price on the buyer׳s expected cost when suppliers may be risk-averse. Results confirm that the optimal public reserve price policy dominates for the buyer when the lowest cost supplier is weakly risk-averse but in contrast with theory, the secret reserve price policy does not dominate when he becomes very risk-averse. Analysis of strategic suppliers׳ bidding behavior shows, in conformity with theory, that they react to the secret reserve price and are more aggressive when they are more risk-averse. T…