News from Cass Business School

Microstructure of Financial Markets

Friday, 22 May, 2009

The Emerging Markets Group (EMG) at Cass recently held its third workshop focusing on the microstructure of financial markets. Organised by Kate Phylaktis, Professor of International Finance and Director of the EMG, the workshop included presentations from academics from the US, Holland, Norway and UK on microstructure issues relating to equities and foreign exchange markets.

Tarun Chordia, R. Howard Dobbs Professor of Finance, Goizueta Business School, Emory University (Atlanta, USA) was the keynote speaker and talked about the highly topical issue of illiquidity and how it impacts differently the buy and sell side of stock prices. Using a large cross-section of stocks over more than 20 years he finds pervasive evidence that sell-side illiquidity exceeds buy-side illiquidity.

Other speakers included Albert Menkveld from VU University (Amsterdam), Carol Osler from Brandeis University (US), Geir Hoidal Bjonnes from the Norwegian School of Management BI (Norway) Richard Payne from Warwick Business School (UK) and Mike Bowe from Manchester Business School (UK).  The presentations covered a variety of topics including the existence of private information in FOREX markets, which can give some participants an advantage; the impact of futures trading on the quality of the cash market, which has implications for regulators; and the information that can be inferred from a limit order book in the absence of trading.

Professor Phylaktis said: The papers were thought provoking and were followed by lively discussions. This is the essence of a workshop.  This is the third EMG workshop on the microstructure of financial markets; given the importance and interest in the topic, the EMG will continue to support this network in the future.

Further information about EMG workshops

Permanent link to this story: https://www.cass.city.ac.uk/news/2009/may2/microstructure-of-financial-markets

Tarun Chordia, R. Howard Dobbs Professor of Finance, Goizueta Business School, Emory University, presenting his work to the networking workshop.

Kate Phylaktis, Professor of International Finance and Director of the EMG, with Professor Tarun Chordia.

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