We study how the trading activity of the Italian Stock Exchange (ISE) was affected by the sub-prime crisis, by the ISE merger with the London Stock Exchange and by a microstructure change. Tick-by-tick data for all the Italian stocks are studied in panel on different time frames. We find that trading activity shows dynamics and it is negatively affected by the interquote duration, the bid-ask spread and the volatility. Italian banks perceived the crisis and undertook stock inventory management strategies. The ISE-LSE merger announcement was discounted before its public broadcast and an increase in transparency caused a reduction of the adverse selection component of the bid-ask spread.

M. E. Bontempi, C. Lucarelli, C. Mazzoli, A. G. Quaranta (2010). Reaction of the Italian Stock Exchange to Exogenous and Endogenous Events. JOURNAL OF EMERGING MARKETS, 15(1), 23-37.

Reaction of the Italian Stock Exchange to Exogenous and Endogenous Events

BONTEMPI, MARIA ELENA;QUARANTA, ANNA GRAZIA
2010

Abstract

We study how the trading activity of the Italian Stock Exchange (ISE) was affected by the sub-prime crisis, by the ISE merger with the London Stock Exchange and by a microstructure change. Tick-by-tick data for all the Italian stocks are studied in panel on different time frames. We find that trading activity shows dynamics and it is negatively affected by the interquote duration, the bid-ask spread and the volatility. Italian banks perceived the crisis and undertook stock inventory management strategies. The ISE-LSE merger announcement was discounted before its public broadcast and an increase in transparency caused a reduction of the adverse selection component of the bid-ask spread.
2010
M. E. Bontempi, C. Lucarelli, C. Mazzoli, A. G. Quaranta (2010). Reaction of the Italian Stock Exchange to Exogenous and Endogenous Events. JOURNAL OF EMERGING MARKETS, 15(1), 23-37.
M. E. Bontempi; C. Lucarelli; C. Mazzoli; A. G. Quaranta
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/91220
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