Essays on liquidity in financial markets [Elektronische Ressource] / vorgelegt von Jördis Hengelbrock

Informations

• Publié par: rheinische_friedrich-wilhelms-universitat_bonn
• Publié le: 01 janvier 2009
• Nombre de lectures: 11
• Langue: English

Extrait

Essays on Liquidity in Financial Markets
Inaugural-Dissertation
zur Erlangung des Grades eines Doktors
der Wirtschafts- und Gesellschaftswissenschaften
durch die
Rechts- und Staatswissenschaftliche Fakult¨at
der Rheinischen Friedrich-Wilhelms-Universit¨at
Bonn
vorgelegt von
¨Jordis Hengelbrock
aus Traben-Trarbach
Bonn 2009Dekan: Prof. Dr. Christian Hillgruber
Erstreferent: Prof. Dr. Erik Theissen
Zweitreferent: Prof. Dr. Gunther Wuyts
Tag der mu¨ndlichen Pru¨fung: 30.09.2009to my familyAcknowledgments
IowemuchgratitudetomysupervisorErikTheissenforhisexcellentguidancethroughout
the dissertation. I greatly benefitted from his fruitful advice and insightful comments
during countless discussions. Due to his support, I was able to spend several months at
theHECParis. IwouldalsoliketothankGuntherWuytswhokindlyagreedtobepartof
my dissertation committee. He provided valuable comments and suggestions, especially
with respect to the publication of my research.
My work has benefitted from productive comments in- and outside the seminars at the
Universityof Bonnandthe HEC Paris. In particular, I wouldlike to thankJ¨org Breitung
for his econometric support and Mark van Achter for constructive discussions and helpful
suggestions. ManythanksgotoThierryFoucaultforgivingmetheopportunitytoconduct
research at the HEC Paris and for stimulating discussions. I took very much pleasure in
both the academic and recreational interaction with my fellow graduate students and
post-doctoral fellows. In particular, I want to thank Eva Benz. I greatly enjoyed working
on our joint research project on carbon markets. I would like to thank Almut Balleer for
her continuous help not being limited to econometric issues. Special thanks also go to my
co-authorChristianWestheide, toAlmiraBuzaushina, ZenoEnders, KonradMierendorff,
Martin Ranger, Ulf Rinne, Bernd Schlusche and Klaas Schulze.
Financial support from the Bonn Graduate School of Economics is gratefully acknow-
ledged. Many thanks go also to Urs Schweizer and Jurgen¨ von Hagen for managing
the Bonn Graduate School of Economics and to Dorthe Huth, Silke Kinzig and Corinna
Lehmann for organizational support.
Asempiricalresearchcannotbeundertakenwithoutdata,IamgratefultoDeutscheB¨orse
AG, European Climate Exchange and Nord Pool for data provision. Special thanks go to
Kai-Oliver Maurer and his research team for many helpful comments.
Last but not least, I am deeply indebted to Frank, my friends and my family for their pa-
tience,theirunconditionalemotionalsupportandencouragementaswellastheirenduring
belief in me.Contents
Introduction 1
1 Designated Sponsors and Bid-Ask Spreads on Xetra 9
1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.2 Related Literature . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.3 Institutional Background and Data . . . . . . . . . . . . . . . . . . . . . . 13
1.3.1 Market structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.3.2 Designated sponsors . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.3.3 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
1.4 Methodology and Results I . . . . . . . . . . . . . . . . . . . . . . . . . . 15
1.4.1 Quoted, effective and realized spreads . . . . . . . . . . . . . . . . 15
1.4.2 Panel data estimation . . . . . . . . . . . . . . . . . . . . . . . . . 18
1.5 Methodology and Results II . . . . . . . . . . . . . . . . . . . . . . . . . 31
1.5.1 Trade indicator model . . . . . . . . . . . . . . . . . . . . . . . . . 33
1.5.2 Application of Glosten-Harris model . . . . . . . . . . . . . . . . . 34
1.5.3 Decomposition of the influence of designated sponsors . . . . . . . 35
1.6 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
1.7 Figures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
2 Liquidity and Price Discovery in the European CO2 Futures Market:
An Intraday Analysis 43
i2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
2.2 Market Structure and Data . . . . . . . . . . . . . . . . . . . . . . . . . . 46
2.2.1 Institutional background . . . . . . . . . . . . . . . . . . . . . . . . 46
2.2.2 Market structure of carbon exchanges . . . . . . . . . . . . . . . . 47
2.2.3 Data set and summary statistics . . . . . . . . . . . . . . . . . . . 50
2.3 Spread Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
2.3.1 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
2.3.2 Estimation approach . . . . . . . . . . . . . . . . . . . . . . . . . . 58
2.3.3 results . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
2.4 Price Discovery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
2.4.1 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
2.4.2 Estimation results . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
2.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
3 Fourteen at One Blow: The Market Entry of Turquoise 77
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
3.2 The Launch of Turquoise . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
3.3 Data Set and Descriptive Statistics . . . . . . . . . . . . . . . . . . . . . 83
3.4 Cross-Sectional Determinants of Market Shares . . . . . . . . . . . . . . . 85
3.4.1 Panel analysis of market share determinants . . . . . . . . . . . . . 89
3.5 Spread and Volume Changes after the Entry of Turquoise . . . . . . . . . 94
3.5.1 The first control group . . . . . . . . . . . . . . . . . . . . . . . . . 95
3.5.2 The second control group . . . . . . . . . . . . . . . . . . . . . . . 96
3.5.3 Panel estimations . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
3.6 Turquoise versus Primary Markets . . . . . . . . . . . . . . . . . . . . . . 100
3.6.1 Traded spreads . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
3.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
iiList of Figures
1.1 Plots of the average number of designated sponsors per stock over time . 40
2.1 EUA futures prices for the Dec05 to Dec08 contracts on ECX in Phase 1 52
2.2 Daily transaction frequencies for the Dec05 to Dec08 contracts on ECX
and Nord Pool in Phase 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
2.3 Monthly average return standard deviation for the Dec05 to Dec08 con-
tracts on Nord Pool and ECX in Phase 1 . . . . . . . . . . . . . . . . . . 54
2.4 Intraday pattern of estimated half spreads on ECX and Nord Pool on the
contract level . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
iiiiv