Market microstructure is a branch of finance concerned with theoretical, empirical, and experimental research on the security markets. It emerged as a consequence of a variety of frictions (trading frictions and asymmetric information) that caused an inconsistency between actual and expected prices. Despite the theoretical and empirical development in various subfields, such as the role of information in the price discovery process, asymmetric information, control of liquidity, and regulation of alternate trading mechanisms and market structure, there are a number of questions associated with less researched issues in the market microstructure literature. These include the liquidity volatility spillover effect, conflicts associated with multidimensional characteristics of liquidity, and impact of liquidity on various economic indicators.
|Award date||1 Apr 2014|
|Publication status||Unpublished - 2 Apr 2014|
- market microstructure
- liquidity volatility
- liquidity spillover effects