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Theoretical, Empirical, and Experimental Aspects of Market Microstructure II
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Theoretical, Empirical, and Experimental Aspects of Market Microstructure II

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (31 July 2023) | Viewed by 14190

Special Issue Editor

Prof. Dr. Joanna Olbryś

E-Mail Website
Guest Editor
Faculty of Computer Science, Bialystok University of Technology, Wiejska Street 45A, 15-351 Bialystok, Poland
Interests: econometrics; statistics; empirical finance; financial economics; operations research in finance; computational economics; stock market microstructure; computing in social science
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

This issue is a continuation of the previous successful Special Issue series.

This Special Issue concerns various theoretical, empirical, and experimental aspects of market microstructure, covering a wide range of topics. Theoretical market microstructure studies mainly focus on information-based models. In contrast to the model of efficient markets, market microstructure is concerned with how various frictions and departures from symmetric information affect trading processes. Market structure and design issues are important in this context. Empirical market microstructure research in actual markets depends on access to high-frequency data. Today, intraday data availability allows for empirical investigation of a wide range of issues in financial markets. Submissions related to price formation and price discovery, liquidity, dimensions of market liquidity (market depth, tightness, and resiliency), intraday patterns in various stock market characteristics, frictions in trading processes, and applications to other areas of finance (asset pricing, behavioral finance, corporate finance, foreign exchange markets) will be given priority. Moreover, experimental studies in an artificial market are welcome, as they offer a very promising way to test theoretical predictions regarding market design.

Dr. Joanna Olbryś
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

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Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • high-frequency data
  • dimensions of market liquidity
  • intraday patterns
  • trading frictions
  • price formation
  • price discovery
  • information and disclosure
  • artificial market

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Published Papers (5 papers)

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Research

13 pages, 820 KiB  
Article
Profiling Turkish Cryptocurrency Owners: Payment Users, Crypto Investors and Crypto Traders
by Lennart Ante, Florian Fiedler, Fred Steinmetz and Ingo Fiedler
J. Risk Financial Manag. 2023, 16(4), 239; https://doi.org/10.3390/jrfm16040239 - 12 Apr 2023
Cited by 7 | Viewed by 3853
Abstract
With ownership estimates of up to 25%, Turkey is at the forefront of cryptocurrency adoption, rendering it an interesting example to study the proclaimed use cases of cryptocurrencies. Using exploratory factor analysis based on a sample of 715 Turkish cryptocurrency owners, we identified [...] Read more.
With ownership estimates of up to 25%, Turkey is at the forefront of cryptocurrency adoption, rendering it an interesting example to study the proclaimed use cases of cryptocurrencies. Using exploratory factor analysis based on a sample of 715 Turkish cryptocurrency owners, we identified 3 different owner groups and their underlying motives. The first group (payment users) looks at cryptocurrency as an option for payments, thereby disregarding its speculative element, while the second group (crypto investors) can best be described as experienced investors holding cryptocurrency as part of their investment strategy. The third group (crypto traders) consists of risk-tolerant traders. Further analyses show that groups not only differentiate by demographics, income and education, but also by factors such as ideology, purchase intention and the use of domestic or foreign exchanges. The results contribute to the understanding of Turkish cryptocurrency owners, their intrinsic and extrinsic motivations and can be incorporated into the pending regulatory processes in the country. The findings suggest that cryptocurrencies have outgrown the use case of mere speculation in Turkey. Those in the group of Turkish payment users are identified as potential lead users whose current needs may represent common needs for crypto users in similar markets in the future. These findings motivate further research on the diffusion and usage patterns of cryptocurrency in emerging markets and innovation in general in the context of lead markets. Full article
(This article belongs to the Special Issue Theoretical, Empirical, and Experimental Aspects of Market Microstructure II)
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16 pages, 361 KiB  
Article
Better Not Forget: On the Memory of S&P 500 Survivor Stock Companies
by Klaus Grobys, Yao Han and James W. Kolari
J. Risk Financial Manag. 2023, 16(2), 126; https://doi.org/10.3390/jrfm16020126 - 15 Feb 2023
Cited by 2 | Viewed by 1627
Abstract
This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor [...] Read more.
This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due to Paretian tails. Second, the return processes of very long-lived outliers exhibit long-term memories with Hurst exponents that significantly exceed one half on average. Third, sample-split tests reveal that the memory on average has virtually not changed over time—that is, survivor stocks do not forget. Fourth, and last, the long-term memory of survivor stocks appears to be unrelated to their exposures to traditional asset pricing risk factors. Full article
(This article belongs to the Special Issue Theoretical, Empirical, and Experimental Aspects of Market Microstructure II)
24 pages, 489 KiB  
Article
A European Empirical Study of Institutional Differences in IPOs Anomalies
by Susana Álvarez-Otero
J. Risk Financial Manag. 2023, 16(1), 8; https://doi.org/10.3390/jrfm16010008 - 24 Dec 2022
Cited by 2 | Viewed by 2025
Abstract
The present research shows the influence of institutional differences on the performance of initial public offerings (IPOs), both at the level of initial underpricing and at the level of 1-, 3- and 5-year performance. Our results represent a relevant empirical contribution to the [...] Read more.
The present research shows the influence of institutional differences on the performance of initial public offerings (IPOs), both at the level of initial underpricing and at the level of 1-, 3- and 5-year performance. Our results represent a relevant empirical contribution to the international evidence because they allow us to test the influence of institutional differences on initial and long-term performance in a large database consisting of IPOs from 18 European countries, given that the European framework has been less analysed than the U.S. institutional environment. The main novelty and contribution of this research in relation to previous investigations is that those existing to date only analyse the institutional effect on the anomaly that occurs on the first day of IPO listing, i.e., underpricing, whereas this study is more ambitious; it considers the institutional effect on both underpricing and the long-term performance of the IPOs considered, which makes it possible to cover subsequent returns of up to 5 years after the start of the stock market listing. It is therefore, to our knowledge, the most comprehensive study to date on the effect of institutional factors on the two IPO anomalies: short and long term. Full article
(This article belongs to the Special Issue Theoretical, Empirical, and Experimental Aspects of Market Microstructure II)
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12 pages, 478 KiB  
Article
Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index
by Chien-Yuan Lai, Zhen-Yu Lin, Cheoljun Eom and Ping-Chen Tsai
J. Risk Financial Manag. 2022, 15(11), 523; https://doi.org/10.3390/jrfm15110523 - 8 Nov 2022
Viewed by 3773
Abstract
Evidence on Market Intraday Momentum (MIM) has been documented in the United states and in some, but not all, major economies. The main results on MIM are broadly robust against transaction costs, which are measured by either quoted spread or effective spread. By [...] Read more.
Evidence on Market Intraday Momentum (MIM) has been documented in the United states and in some, but not all, major economies. The main results on MIM are broadly robust against transaction costs, which are measured by either quoted spread or effective spread. By using two new spread measures obtained from high and low prices, we show that these measures of transaction cost tend to become smaller toward the end of a trading day, thus establishing MIM in more than 10 years of the 30 min KOSPI index. We also report the solid profitability of such MIM-based trading strategies. Full article
(This article belongs to the Special Issue Theoretical, Empirical, and Experimental Aspects of Market Microstructure II)
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12 pages, 584 KiB  
Article
Trading Activity in Public Real Estate Markets
by Thomas Richter
J. Risk Financial Manag. 2022, 15(9), 374; https://doi.org/10.3390/jrfm15090374 - 24 Aug 2022
Viewed by 1906
Abstract
Trading activity is an important characteristic of financial markets, since it is related to price discovery, volatility, and market liquidity. It is therefore of crucial importance to understand what drives trading activity in real estate markets. Here, we use a panel dataset consisting [...] Read more.
Trading activity is an important characteristic of financial markets, since it is related to price discovery, volatility, and market liquidity. It is therefore of crucial importance to understand what drives trading activity in real estate markets. Here, we use a panel dataset consisting of 142 US REIT stocks observed over almost 20 years and a fixed-effects regression approach to link variation in trading activity to proxies for different trading motives (theory-motivated). The paper shows that the drivers of trading activity in real estate markets are distinct from those in the broader equity market. Proxies for portfolio rebalancing needs and liquidity trading are shown to be important trading motives in REIT markets. However, unlike in the broader equity market, difference of opinions and information-based trading motives seem to play a minor role for REIT trading activity. Full article
(This article belongs to the Special Issue Theoretical, Empirical, and Experimental Aspects of Market Microstructure II)
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