Asli Ascioglu

Price Clustering on the Tokyo Stock Exchange

This paper examines price clustering on the Tokyo Stock Exchange (TSE). Regardless of tick and lot size, prices ending in zero and five are the most popular. The TSE has no market makers or direct negotiation between traders; therefore, clustering is not explained by collusion or negotiation. Our evidence supports the attraction hypothesis. Clustering also extends to order book depth. There is evidence of strategic trading behavior as traders place orders one price tick better than zero and five to avoid queuing orders at prices ending in these digits. Strategic trading behavior declined and clustering increased when the market became anonymous.

Integration of ESG Metrics into a Student-Managed Fund: Creating Sustainable Student-Managed Funds

In this article, the authors evaluate a student-managed fund, Bryant University’s Archway Investment Fund (AIF), from an environmental, social, and governance (ESG) perspective and develop a framework for integration of ESG metrics for the fund. The authors explain why ESG issues are especially relevant to a student-managed fund and describe efforts to move the AIF toward becoming ESG conscious. ESG integration begins with the ESG assessment of the fund holdings followed by an analysis of each sector of the fund. They then offer several ways to improve the ESG standing of each sector compared with various benchmarks.

Competition and Innovation in Option-Market Models

The equity options market has shown rapid growth and the competition among different options exchanges and trading platforms has intensified in recent years. As growth and competition in the U.S. options market continues, it becomes increasingly important for market participants to evaluate market quality in different options trading venues. A sound comparison of market quality among the competing trading markets requires a clear understanding of their specific market structures, since each venue attempts to differentiate itself with a unique value proposition. This article provides a review of the market microstructures of the major options exchanges and trading platforms in the United States. Using a sample period around the entry of the NASDAQ Options Market and the BATS Options Exchange, it analyzes the competition for trading volume in the options industry, investigates the characteristics of trades and execution costs in the major options exchanges and trading platforms, and examines the determinants of execution location for trades. It shows that during the first three months of their operations, the NASDAQ Options Market and BATS Options Exchange do not make a big impact on the trading volumes of the other options exchanges. It also finds that the NASDAQ Options Market has the smallest quoted spread and effective spread values for equity options among the seven exchanges during the first three months of its market entry. The BATS Options Exchange shows lower average trade size and average dollar trade size, and does not demonstrate competitive execution quality indicators or competitive execution costs in the earlier months of its operation. A probit analysis confirms that in spite of the increasingly complex and nuanced nature of options exchange competition, the main factors determining execution location for new market entrants are: i) posting quotes at the NBBO; and ii) being alone at the NBBO.

Price discovery between the new york stock exchange and istanbul stock exchange

ABSTRACT We study the price discovery process between the New York Stock Exchange (NYSE) and Istanbul Stock Exchange (ISE). We examine the only cross-listed stock in those exchanges, Turkcell, for the overlapping trading periods. Utilizing the information share (IS) and the common factor component (GG) approaches, we estimate the contribution of each market to the price discovery process. We find that each market has relatively close GG coefficients. IS estimates indicate that a significant portion of Turkcell’s price discovery occurs on the NYSE. The smaller share of price discovery on the ISE may be attributed to the discrete tick sizes in the ISE.