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Cited by 6Financial Markets and Investment StrategiesCorporate Finance and GovernanceFinancial Analysis and Corporate Governance

The DOI matches its Crossref record; 17 of the 17 references it cites were found in a registry or an index.

Determinants of Trading Profits: The Liquidity Provision Decision

Chae, Joon, Wang, Albert·2009·Emerging Markets Finance and Trade
DOI 10.2753/ree1540-496x450603
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Abstract

Theories show that liquidity provision implies negative contemporaneous correlation between trades and returns. Dealers on the Taiwan Stock Exchange are granted typical dealer trading advantages without obligations to provide liquidity and, thus, are ideal to test whether these advantages lead to voluntary liquidity provision (earning bid-ask spreads) or information trading (trading in the direction of the market). We find a strong positive correlation in aggregate, implying that these unrestricted dealers prefer information trading. We also find that smaller dealers are more likely to provide liquidity and that small-cap stocks (with larger bid-ask spreads) are more profitable for liquidity provision.

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Crossref · 10.2753/ree1540-496x450603

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Metadata

Authors
Chae, J., & Wang, A.
Affiliations
  • Seoul National University (KR)
  • b Artradis Fund Management, Maybank Tower, Singapore
ORCID
Venue
Emerging Markets Finance and Trade
Publisher
Informa UK Limited
Published
2009-11
Volume
45
Issue
6
Pages
33-56
ISSN
  • 1061-2009 (ISSN-L)
  • 1540-496X
  • 1558-0938
DOI
10.2753/ree1540-496x450603
OpenAlex
W1980506916
Cited by
6
References
17
Citations by year
2015: 1 · 2013: 2 · 2012: 2
FWCI
1.69
Type
journal article
Language
en
Open access
closed
Locations
  • Emerging Markets Finance and Trade (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Economics, Econometrics and Finance › Finance › Corporate Finance and Governance
  • Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
Keywords
liquidity provision, trading profits, bid-ask spread, information trading, Taiwan Stock Exchange, small-cap stocks, market microstructure

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