Market Liquidity

Theory, Evidence, and Policy

Thierry Foucault, Marco Pagano, Ailsa Röell (Autoren)

Buch | Hardcover

536 Seiten

2024 | 2nd Revised edition
Oxford University Press Inc (Verlag)
978-0-19-754206-4 (ISBN)

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The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. In Market Liquidity, Thierry Foucault, Marco Pagano, and Ailsa Röell offer a more accurate take on the liquidity of securities markets, its determinants, and its effects. They start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors.

Market Liquidity takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. Drawing on the analytical tools and empirical methods from a well-defined field within financial economics--market microstructure--the authors confront many striking phenomena in securities markets, from liquidity changes over time to temporary deviations from asset fair values.

In the fully revised second edition of Market Liquidity, Foucault, Pagano, and Röell bring readers up to speed on recent changes in market structures and financial regulation. New chapters cover the relationship between financial instability and market liquidity, as well as the role and effects of algorithmic and high-frequency trading. Including new illustrative examples of market malfunction and novel insights from recent research on security markets, Market Liquidity provides a comprehensive and authoritative account on market microstructure.

Thierry Foucault is HEC Foundation Chaired Professor of Finance at HEC, Paris and a research fellow of the Centre for Economic Policy Research (CEPR). His research focuses on the production of information in financial markets, the liquidity and industrial organization of these markets, and their effect on the real economy. He is co-managing editor of the Journal of Financial and Quantitative Analysis and an Associate editor of the Journal of Finance and the Journal of Economic Theory. He is a former co-editor of the Review of Asset Pricing Studies and the Review of Finance. He also serves on the scientific committees of the French securities markets authority (AMF) and chairs the Norges Bank's Academic Program. Marco Pagano is Professor of Finance at the University of Naples Federico II, and a Research Fellow of the Centre for Studies in Economics and Finance (CSEF), the Einaudi Institute for Economics and Finance (EIEF), and the Centre for Economic Policy Research (CEPR). He holds a B.A. from Cambridge University and a Ph.D. from MIT. His research spans market microstructure, banking, corporate finance, macroprudential policy, and lately labor and finance. He taught at Bocconi University and Imperial College, and was managing editor of the Review of Finance, chair of the Advisory Scientific Committee of the European Systemic Risk Board (ESRB), president of EIEF and director of CSEF. He currently chairs the Scientific Council of the Swiss Finance Institute. Ailsa Röell is Professor of Finance at Imperial College, London, and a Research Fellow of the Centre for Economic Policy Research (CEPR). She holds an M.A. from the University of Groningen and a Ph.D. in Political Economy from Johns Hopkins University. Her research and teaching in financial economics ranges from securities market microstructure and the regulation of financial markets to corporate finance and corporate governance, including work on incentive compensation, governance of banks, and financial history.

Preface

Introduction

Part One: Institutions

1. Trading Mechanics and Market Structure

2. Measuring Liquidity

3. Order Flow, Liquidity, and Security Price Dynamics

4. Trade Size and Market Depth

5. Estimating the Determinants of Market Illiquidity

Part Two: Market Design and Regulation

6. Limit Order Book Markets

7. Market Fragmentation

8. Market Transparency

9. Algorithmic and High Frequency Trading

Part Three: Implications for Asset Prices, Financial Instability, and Corporate Policies

10. Liquidity and Asset Prices

11. Financial Stability and Market Liquidity

12. Liquidity, Price Discovery, and Corporate Policies

References

Index

Erscheinungsdatum	30.11.2023
Verlagsort	New York
Sprache	englisch
Maße	165 x 236 mm
Gewicht	943 g
Themenwelt	Recht / Steuern ► Allgemeines / Lexika
	Recht / Steuern ► EU / Internationales Recht
	Sozialwissenschaften ► Pädagogik
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	0-19-754206-9 / 0197542069
ISBN-13	978-0-19-754206-4 / 9780197542064
Zustand	Neuware