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Risk concerns and market liquidity: A regression discontinuity design 风险关注与市场流动性：一个回归不连续设计
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-11-01 DOI: 10.1016/j.finmar.2025.100989
Wenlian Lin , Jerry Cao , Yong Li
Market liquidity evaporation is often accompanied by heightened risk concerns among investors. We explore a threshold-based risk management strategy underlying this phenomenon, exploiting a unique feature in China's stock market where outside investors can observe whether blockholders of listed firms engage in share pledge financing. This transparency offers investors a clear threshold—the pledge day stock price—to monitor and assess the risks associated with share pledges. Using a regression discontinuity design, we find investors widely employ this threshold-based strategy; when the threshold is breached, they become increasingly cautious, reducing their liquidity provision, leading to a decline in market liquidity.
市场流动性蒸发往往伴随着投资者风险担忧的加剧。我们利用中国股票市场的一个独特特征，即外部投资者可以观察上市公司的大股东是否参与了股权质押融资，探索了一种基于阈值的风险管理策略。这种透明度为投资者提供了一个明确的门槛——即质押当日的股价——以监控和评估与股票质押相关的风险。使用回归不连续设计，我们发现投资者广泛采用这种基于阈值的策略；一旦突破这一门槛，它们就会变得越来越谨慎，减少流动性供应，导致市场流动性下降。
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引用次数: 0
Trading behavior, asset price, and market quality: Based on probabilistic attitude 交易行为、资产价格和市场质量：基于概率态度
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-11-01 DOI: 10.1016/j.finmar.2025.100990
Jianchun Sun, Shunming Zhang
We investigate the influence of probabilistic attitude, particularly the probabilistic optimism-pessimism, on trading behavior and market quality. The optimistic attitude leads traders to adventurously hold nonzero discontinuous investment positions, while the pessimistic attitude leads to limited participation. Probabilistic neutrality generates linear equilibrium with state-independent market quality. Optimistic and pessimistic markets exhibit nonlinear equilibria with contrasting features in price premiums, market depth, price impact, and reversed state-dependent traits in price skewness, price volatility, market liquidity, and price efficiency. Our results highlight a decisive role of probabilistic attitude in shaping markets.
本文研究了概率态度，特别是概率乐观-悲观态度对交易行为和市场质量的影响。乐观态度导致交易者冒险持有非零的不连续投资头寸，而悲观态度导致交易者有限参与。概率中立性产生与国家无关的市场质量线性均衡。乐观市场和悲观市场在价格溢价、市场深度、价格影响和价格偏度、价格波动、市场流动性和价格效率方面的反向状态依赖特征上表现出非线性均衡。我们的研究结果强调了概率态度在塑造市场中的决定性作用。
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引用次数: 0
ETF effects: The role of primary versus secondary market activities ETF效应：一级市场与二级市场活动的作用
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-09-01 DOI: 10.1016/j.finmar.2025.100983
Carole Comerton-Forde , Thomas Marta
High-frequency traders (HFTs) dominate secondary market trading in exchange-traded funds (ETFs) but do not engage in ETF arbitrage. By contrast, primary market arbitrageurs enforce the law of one price, but their activities are infrequent and limited by arbitrage costs. We find that primary market activity is associated with increased volatility and illiquidity in overweighted ETF constituent stocks, while HFT activity is linked to narrower bid–ask spreads. Using a quasi-natural experiment in Japan, we show that while ETF primary market activity can temporarily disrupt market quality, the liquidity benefits of secondary market trading ultimately outweigh these negative effects.
高频交易者（HFTs）主导着交易所交易基金（ETF）的二级市场交易，但不参与ETF套利。相比之下，一级市场套利者执行单一价格法则，但他们的活动并不频繁，而且受到套利成本的限制。我们发现，一级市场活动与权重过大的ETF成分股的波动性增加和流动性不足有关，而高频交易活动与买卖价差收窄有关。通过在日本进行的一项准自然实验，我们表明，虽然ETF一级市场活动会暂时扰乱市场质量，但二级市场交易的流动性收益最终会超过这些负面影响。
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引用次数: 0
Queuing and inventories in limit order markets 限购市场的排队和库存
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-09-01 DOI: 10.1016/j.finmar.2025.100982
Corey Garriott , Vincent van Kervel , Marius Zoican
Limit order markets use a queuing system in which limit orders must wait in line to execute. We show that the queue position of a limit order influences its adverse selection risk and inhibits inventory risk management. Trade may worsen market maker risk sharing, unlike many protocols without queuing. We uncover a crowding-out effect: An inventory shock reduces liquidity provision by market makers later in the queue. Using futures data, we confirm both low risk sharing and the crowding-out effect. These two results imply a trade-off, as the queuing sequence that optimizes risk sharing decreases quoted depth up to 8.4%.
限价订单市场使用排队系统，限价订单必须排队等待执行。我们证明了限价订单的排队位置影响其逆向选择风险并抑制库存风险管理。与许多没有排队的协议不同，交易可能会恶化做市商的风险分担。我们发现了一种挤出效应：库存冲击减少了排在后面的做市商提供的流动性。利用期货数据，我们证实了低风险分担和挤出效应。这两个结果意味着一种权衡，因为优化风险分担的排队顺序将引用深度降低了8.4%。
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引用次数: 0
Faster than flying: High-speed rail, investors, and firms 比飞机还快：高铁、投资者和公司
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-09-01 DOI: 10.1016/j.finmar.2025.100984
Lu Qin , Don M. Autore , Danling Jiang , Hongquan Zhu
We examine the impact of staggered high-speed rail (HSR) connection events between city pairs in China on retail investor behavior and stock market equilibrium outcomes. We find that HSR introductions between investor-firm city pairs promote intercity retail block purchases and cross-city web searches, and increase return comovement among firms in connected cities. Enhanced city connectivity is associated with improved firm valuation, increased turnover, better liquidity, and reduced prevalence of large trades. These effects tend to be driven by connected city pairs with a distance below 1,500 km, for which HSR is faster than flying.
本文研究了中国城市间交错高铁连接事件对散户投资者行为和股票市场均衡结果的影响。研究发现，投资者-企业城市对之间引入高铁，促进了城际零售街区购买和跨城市网络搜索，并增加了连接城市中企业之间的回报移动。城市连通性的增强与公司估值的提高、营业额的增加、流动性的改善和大宗交易的减少有关。这些影响往往是由距离低于1500公里的城市对所驱动的，对这些城市来说，高铁比飞机更快。
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引用次数: 0
On the efficiency contributions of analyst recommendations to financial markets 论分析师建议对金融市场的效率贡献
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-09-01 DOI: 10.1016/j.finmar.2025.100985
Youngmin Choi , Suzanne S. Lee
We focus on the fundamental role of security analysts as information intermediaries using recent advances in the realized variance literature. We construct a signal-to-noise volatility ratio to examine the heterogeneity in the efficiency contributions of analysts’ recommendations while controlling for the noise contained in price data. We find that only analysts’ revisions with greater efficiency contributions generate significant stock price reactions in the directions expected by the analysts. Furthermore, these revisions increase the degree of informed trading in the options market and reduce the uncertainty related to the covered firms.
我们将重点放在证券分析师作为信息中介的基本角色上，使用最新进展的已实现方差文献。我们构建了一个信噪比来检验分析师建议的效率贡献的异质性，同时控制价格数据中包含的噪声。我们发现，只有效率贡献更大的分析师修正才会在分析师预期的方向上产生显著的股价反应。此外，这些修订增加了期权市场的知情交易程度，减少了与被覆盖公司相关的不确定性。
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引用次数: 0
Institutional granular impact is benign on asset sales and price efficiency 制度层面的影响对资产出售和价格效率是良性的
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-09-01 DOI: 10.1016/j.finmar.2025.100987
Yinghua Fan , Guanhao Feng , Xiao Qiao , Sayad Baronyan
We construct two types of trading shocks and examine their effects on stock prices. Common shocks capture the shared trading activity across funds, whereas granular idiosyncratic shocks place emphasis on large players. Common shocks related to stock sales exhibit a significantly stronger price impact than those related to purchases, in contrast to symmetric effects of purchases and sales for granular idiosyncratic shocks. The initial price impact persists in the short run and partially reverses after six months, suggesting underreaction to institutional trading. Our results underscore the impact of the common component across various funds on asset prices and market efficiency.
我们构建了两种类型的交易冲击，并检验了它们对股票价格的影响。共同冲击捕捉的是各基金的共同交易活动，而细微的特殊冲击则强调大型参与者。与股票销售相关的普通冲击对价格的影响明显强于与购买相关的冲击，与颗粒状特殊冲击对购买和销售的对称影响形成对比。最初的价格影响在短期内持续存在，并在6个月后部分逆转，表明对机构交易的反应不足。我们的研究结果强调了不同基金的共同成分对资产价格和市场效率的影响。
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引用次数: 0
Stock exchanges as platforms for data and trading 证券交易所是数据和交易的平台
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-09-01 DOI: 10.1016/j.finmar.2025.100986
Terrence Hendershott , Marc Rysman , Rainer Schwabe
We study linkages between stock exchanges' proprietary data sales and trading activity by analyzing the introduction of a new data product, the New York Stock Exchange's Integrated Feed (NYSE IF). Consistent with trading and data being complements, firms that subscribed to the NYSE IF increased their share of trading on the NYSE. In principle, firms subscribing to the NYSE IF could impose a negative externality on non-subscribing firms due to increased information asymmetry. However, consistent with information purchases having a positive network externality due to increased liquidity, non-subscribing firms also increased their share of trading on the NYSE.
我们通过分析一种新的数据产品，即纽约证券交易所的综合饲料（NYSE IF）的引入，研究了证券交易所的专有数据销售与交易活动之间的联系。与交易和数据相辅相成的情况一致，认购纽交所IF的公司增加了在纽交所的交易份额。原则上，由于信息不对称的增加，认购纽交所IF的公司可能会对未认购的公司施加负外部性。然而，与由于流动性增加而具有正网络外部性的信息购买一致，非订阅公司也增加了其在纽约证券交易所的交易份额。
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引用次数: 0
Investor sentiment and stock returns: Wisdom of crowds or power of words? Evidence from Seeking Alpha and Wall Street Journal 投资者情绪与股票回报：群体智慧还是言语力量？《寻求阿尔法》和《华尔街日报》的证据
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-06-01 DOI: 10.1016/j.finmar.2025.100970
Ioanna Lachana, David Schröder
In light of changes in the media landscape from traditional print towards social media, in this study we compare the ability of investor sentiment measures obtained from various media sources to predict short-term market returns. We show that investor sentiment extracted from the social media platform Seeking Alpha is better in predicting market returns than investor sentiment obtained from the Wall Street Journal, a traditional print medium. Seeking Alpha is more suitable for the extraction of investor sentiment due to the richer language and timeliness of online media.
鉴于媒体格局从传统印刷到社交媒体的变化，在本研究中，我们比较了从各种媒体来源获得的投资者情绪指标预测短期市场回报的能力。我们表明，从社交媒体平台Seeking Alpha提取的投资者情绪比从传统印刷媒体《华尔街日报》（Wall Street Journal）获取的投资者情绪更能预测市场回报。网络媒体语言更丰富，时效性更强，因此Seeking Alpha更适合于投资者情绪的提取。
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引用次数: 0
Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates 重新审视波动性和价格影响的∪形模式：利用贸易时间估算得出的新结果
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-06-01 DOI: 10.1016/j.finmar.2025.100971
Yashar H. Barardehi , Dan Bernhardt
When measured using trade-time aggregation, intraday patterns in trading activity remain ∪-shaped, but estimates of volatility and Kyle’s lambda fall sharply from open to close. ∪-shaped patterns in volatility and Kyle’s lambda found using commonly-used calendar-time aggregation reflect over-aggregation biases when trading activity is high as near the open and close. Indicative of imperfectly-competitive liquidity provision, trade-time aggregation also reveals that in active markets, expected trade imbalances are positively priced and unexpected trade imbalances are more strongly priced when they share the sign of expected imbalances, while in less active markets expected trade imbalances are negatively priced.
如果用交易时间总和来衡量，日内交易活动的模式仍然是与∪相关的，但对波动率和凯尔λ的估计从开盘到收盘都大幅下降。使用常用的日历时间聚合法得出的波动性和凯尔lambda的∪形模式反映了在开盘和收盘时交易活跃程度较高时的过度聚合偏差。贸易时间汇总还表明，在活跃市场中，预期的贸易不平衡是正定价的，而在不太活跃的市场中，当预期的贸易不平衡与预期的贸易不平衡有相同的迹象时，预期的贸易不平衡是负定价的。
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