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Securities transaction tax in France: impact on market quality and inter-market price coordination
(2014)
The general concept of a Securities Transaction Tax is controversial among academics and politicians. While theoretical research is quite advanced, the empirical guidance in a fragmented market context is still scarce. Possible negative effects for market liquidity and market efficiency are theoretically predicted, but have not been empirically tested yet. In light of the agreement of eleven European member states to implement an STT, this study aims to give a comprehensive overview of the effects of the STT, introduced in France in 2012, on liquidity demand, liquidity supply, volatility and inter-market information transmission. The results show that the STT has led to a decline in liquidity demand, has had a detrimental effect on liquidity supply and negatively influences the inter-market information transmission efficiency. However, no effect on volatility can be observed.
We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity around volatility interruptions implemented on the German and Spanish stock market which differ regarding specific design parameters. We find that volatility interruptions in general significantly decrease volatility in the post interruption phase. Unfortunately, this decrease in volatility comes at the cost of decreased liquidity. Regarding design parameters, we find tighter price ranges and shorter durations to support volatility interruptions in achieving their goals.
We analyze limit order book resiliency following liquidity shocks initiated by large market orders. Based on a unique data set, we investigate whether high‐frequency traders are involved in replenishing the order book. Therefore, we relate the net liquidity provision of high‐frequency traders, algorithmic traders, and human traders around these market impact events to order book resiliency. Although all groups of traders react, our results show that only high‐frequency traders reduce the spread within the first seconds after the market impact event. Order book depth replenishment, however, takes significantly longer and is mainly accomplished by human traders’ liquidity provision.
THE FINANCIAL TRANSACTION TAX (FTT) IMPLEMENTATION IN FRANCE IN MID 2012 IS CONSIDERED A LANDMARK DEVELOPMENT WITHIN SECURITIES MARKETS REGULATION. HOWEVER, UNTIL TODAY, THE CONTROVERSY ABOUT POSSIBLE DRAWBACKS AND PRACTICAL APPLICABILITY HAS NOT REACHED A CONCLUSION AND CONSEQUENCES FOR MARKET QUALITY ARE YET TO BE THOROUGHLY ASSESSED. IN THIS LIGHT, A RIGOROUS EVALUATION OF THE FTT’S EFFECT ON MARKET QUALITY IS HIGHLY DESIRABLE.
DIGITAL CURRENCIES ARE A GLOBALLY SPREADING PHENOMENON THAT IS FREQUENTLY AND PROMINENTLY ADDRESSED BY MEDIA, POLITICS AND ACADEMIA. WE AIM AT GIVING EMPIRICAL INSIGHTS ON WHETHER USERS’ INTEREST REGARDING DIGITAL CURRENCIES IS DRIVEN BY ITS APPEAL AS AN ASSET OR ITS UTILITY AS A CURRENCY. BASED ON OUR EVALUATION, WE FIND STRONG INDICATIONS THAT ESPECIALLY UNINFORMED USERS APPROACHING BITCOIN ARE NOT PRIMARILY INTERESTED IN AN ALTERNATIVE TRANSACTION SYSTEM, BUT SEEK TO PARTICIPATE IN AN ALTERNATIVE INVESTMENT VEHICLE.
THE SPEED OF TRADING, AND IN PARTICULAR HIGH-FREQUENCY TRADING, IS ONE OF THE MOSTLY DEBATED ISSUES AMONG REGULATORS AND MARKET PARTICIPANTS. NEVERTHELESS, SEVERAL ACADEMIC STUDIES HAVE SHOWN THAT HIGH-FREQUENCY TRADERS USING LOW-LATENCY INFRASTRUCTURE PROVIDE ADDITIONAL LIQUIDITY THEREBY REDUCING TRANSACTION COSTS IN ORDINARY TIMES OF TRADING. WE STUDY WHETHER HIGH-FREQUENCY TRADERS ALSO CONTRIBUTE TO THE RECONSTRUCTION OF THE ORDER BOOK AFTER LIQUIDITY SHOCKS CAUSED BY LARGE ORDERS.
Methodik
(2002)
Die vegetationskundliche und strukturelle Zuordnung der Lebensraumtypen erfolgt nach der vorrangig von Braun-Blanquet entwickelten Vegetationsklassifizierung, einer hierarchischen Gliederung der Vegetationstypen (Syntaxonomie), die die Ebenen der Assoziation, des Verbandes, der Ordnung und der Klasse umfasst. Hierbei ist die Assoziation die grundlegende Einheit, in der die Pflanzengesellschaften zusammengefasst werden, die sich durch gleiche charakteristische Arten(gruppen)kombinationen auszeichnen. Der Verband vereinigt ähnliche Assoziationen. Das sind bereits umfassendere, jedoch standörtlich noch recht einheitliche Vegetationseinheiten. In Ordnungen werden ähnliche Verbände zusammengefasst. Die Klasse vereinigt ähnliche Ordnungen.