Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/268748 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
SAFE Working Paper No. 270
Versionsangabe: 
July 2022
Verlag: 
Leibniz Institute for Financial Research SAFE, Frankfurt a. M.
Zusammenfassung: 
We show that (electronic) designated market makers are not necessarily beneficial to the stock market during ash crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide immediacy. This behavior exacerbates the transient price impact, unrelated to fundamentals, typically observed during a ash crash. In their place, slow traders provide liquidity, taking advantage of the discounted price. We thus uncover a trade-off between the greater liquidity and efficiency provided by designated market makers in normal times, and the disruptive consequences of their quoting/trading activity during distressed times.
Schlagwörter: 
flash crashes
designated market makers (DMMs)
high-frequency traders (HFTs)
market fragility
JEL: 
G10
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
3.57 MB





Publikationen in EconStor sind urheberrechtlich geschützt.