Browsing by Subject "Order book"

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    ItemOpen Access
    Commonality in ask-side vs. bid-side liquidity
    (Elsevier, 2018) Şensoy, Ahmet
    We decompose the cost of trading into buy-side and sell-side using the limit order book. By using various position sizes to trade, we look for commonality in liquidity on different sides and also at the different levels of the order book. We find that bid-side liquidity has a higher commonality than ask-side liquidity for small position sizes to trade. On the other hand, ask-side commonality becomes stronger once position size exceeds a certain level. Empirical evidence suggests that this switching pattern may be due to the investors’ over-reaction to a positive and under-reaction to a negative market trend.
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    ItemOpen Access
    Firm size, ownership structure, and systematic liquidity risk : the case of an emerging market
    (Elsevier B.V., 2017) Şensoy, Ahmet
    Previous studies support the hypothesis that institutional ownership leads to an enhanced systematic liquidity risk by increasing the commonality in liquidity. By using a proprietary database of all incoming orders and ownership structure in an emerging stock market, we show that institutional ownership leads to an increase in commonality in liquidity for mid- to-large cap firms; however, only individual ownership can lead to such an increase for small cap firms, revealing a new source of systematic liquidity risk for a specific group of firms. We also reveal that commonality decreases with the increasing number of investors (for both individual and institutional) at any firm size level; suggesting that as the investor base gets larger, views of market participants become more heterogeneous, which provides an alternative way to decrease the systematic liquidity risk.