Blar i Arbeidsnotater / Working Papers på forfatter "Tham, Wing Wah"
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Identifying Cross-Sided Liquidity Externalities
Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah (Working Papers;20/2012, Working paper, 2012)We study the relevance of the cross-sided externality of liquidity between market makers and takers from the two-sided market perspective and test the empirical implications of the Foucault, Kadan, and Kandel (2012) model. ... -
Sunshine Trading: Flashes of Trading Intent at the Nasdaq
Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah (Working Papers;17/2011, Working paper, 2011)We use the introduction and the subsequent removal of the flash order facility (an actionable indication of interest, IOI) from Nasdaq as a natural experiment to investigate the impact of voluntary disclosure of trading ...