Premia braku płynności

"Problem płynności był poruszany w badaniach ilościowych nad zachowaniem rynku akcyjnego. Na przykład jedną z hipotez wyjaśniających premię małych spółek jest sugestia, że wynika ona z ich niskiej płynności. Jak jednak podkreślają ICKH większość tego typu badań nie uwzględnia płynności jako czynnika kontrolnego.

Zauważmy trzy rzeczy: po pierwsze, inwestowanie czynnikowe opiera się na historycznej przewadze pewnego typu spółek (mniejszych, z niższymi wskaźnikami fundamentalnymi, z większym momentum), która może ale nie musi być trwałą tendencją. Po drugie, historyczna przewaga stóp zwrotu nie oznacza przewagi w każdym okresie – występują lata i serie lat, w których tendencje się odwracają. Po trzecie, z powyższych powodów każde inwestowanie czynnikowe jest inwestowaniem aktywnym – opiera się na założeniu, że jakiś typ spółek zachowa się lepiej niż cały rynek.

Warto także zwrócić uwagę, że turnover jest jednym z wielu sposobów mierzenia płynności. Można ją mierzyć spreadem pomiędzy ofertami kupna i sprzedaży, ilością kapitału potrzebnego do zmiany ceny i innymi miarami. ICKH zdecydowali się na turnover tak jak większość badaczy mierzy wartość albo przez wskaźnik cena/zysk albo przez wskaźnik cena/wartość księgowa."

http://blogi.bossa.pl/2014/04/28/premia-braku-plynnosci/

Do retail traders suffer from high frequency traders?

"Using a change in regulatory fees in Canada in April 2012 that affected algorithmic quoting activities, we analyze the impact of high frequency quoting and trading on market quality, trader behavior, and trading costs and profits. Following the change, algorithmic message traffic, i.e. the number of orders, trades, and order cancellations, dropped by 30% and the bid-ask spread rose by 9%. Using trader-level data, we attribute this change to message-intensive algorithmic traders reducing their activity, and we show that their reduced activity had a negative impact on retail traders’ intraday returns, in particular on their returns from limit orders. We further find that institutional traders’ intraday returns from market orders increased."

http://qed.econ.queensu.ca/pub/faculty/milne/322/IIROC_FeeChange_submission_KM_AP3.pdf

Raport Pwc, FOR i SEG "Giełda a rozwój" [PDF]

"Z kolei Levine i Zervos (1998) badając 42 kraje w latach 1976-93 stwierdzili, że płynność giełdy i poziom rozwoju systemu bankowego (kredyt dla sektora prywatnego/PKB) są pozytyw-nie i istotnie skorelowane z przyszłymi stopami wzrostu gospodarczego, akumulacją kapitału i wzrostem produktywności. Gdyby w dowolnym kraju zwiększyć płynność giełdy i rozwój systemu bankowego o jedno odchylenie standardowe (mierzone dla całej grupy), to pod koniec 18-letniego okresu PKB per capita byłby wyższy o 31%, a produktywność o 24%. Co istotne, wzrost nie jest zależny od kapitalizacji, tylko od płynności giełdy."

http://www.for.org.pl/upload/File/raporty/Raport_SEG_FINAL.pdf

Repeat After Me: Banks Cannot And Do Not "Lend Out" Reserves

Polecam przeczytać całość dokumentu. :)

"John Maynard Keynes famously wrote that: "Practical men, who believe themselves to be quite exempt from any intellectual influence, are usually the slaves of some defunct economist."  A modern example of that dictum, relevant to the economy, policy, and markets, is the widespread view that banks can "lend out" their reserves (deposits) at the central bank, as if bank reserves represented a pool of money that is just waiting to "flow into" bank lending. Because such a thing cannot occur and therefore has not occurred, the point is usually made in reverse: banks currently are not "lending out" their reserves--rather they are "parking" their reserves at the central bank or leaving them "idle." But that they might lend them out in the future is a lurking risk and a reason to be cautious about the central bank engaging in aggressive quantitative easing (QE)."

"• Many talk as if banks can "lend out" their reserves, raising concerns that massive excess reserves created by QE could fuel runaway credit creation and inflation in the future. But banks cannot lend their reserves directly to commercial borrowers, so this concern is misplaced.

• Banks do need to hold reserves (as a liquidity buffer) against their deposits, and banks create deposits when they lend. But normally banks are not reserve constrained, so excess reserves do not loosen a reserve constraint.

• Banks in aggregate can reduce their reserves only to the extent that they initiate new lending and the bank deposits created as a result flow into the economy as new banknotes as the public demands more of them.

• QE does aim to ease financial conditions and spur more bank lending than otherwise would have occurred, bu tthe mechanisms by which this happens are much more subtle and indirect than commonly implied.

• If the excess reserves created by QE were to be associated with too much credit creation, central banks could readily extinguish them."

http://www.standardandpoors.com/spf/upload/Ratings_US/Repeat_After_Me_8_14_13.pdf

China Cash Squeeze Seen Creating Vietnam-Size Credit Hole

"China’s money-market cash squeeze is likely to reduce credit growth this year by 750 billion yuan ($122 billion), an amount equivalent to the size of Vietnam’s economy, according to a Bloomberg News survey.

The number is the median estimate of 15 analysts, whose projections last week ranged from cuts of 20 billion yuan to 3 trillion yuan. The majority of respondents also said they approve of the government’s handling of the credit crunch and said the episode reinforces their expectations for policy reforms such as loosening controls on interest rates."

http://www.bloomberg.com/news/2013-07-07/china-cash-squeeze-seen-creating-vietnam-size-credit-hole.html

Words of caution

"But when the BIS (Bank for International Settlements) writes that: "Central banks cannot repair the balance sheets of households and financial institutions. Central banks cannot ensure the sustainability of fiscal finances. And, most of all, central banks cannot enact the structural economic and financial reforms needed to return economies to the real growth paths authorities and their publics both want and expect."

Doesn't that seem fair enough? Central banks can buy time for economies, they can resolve liquidity crises, but they are not the most crucial factor in determining long-term growth rates. Those are determined by the make-up and skills of the population, the endowment of natural resources and the society's institutions - rule of law, property rights etc."

http://www.economist.com/blogs/buttonwood/2013/06/global-economy-and-monetary-policy

The Days Of The Super-Powered Chinese Economy Are Over

"The recent liquidity crunch, and its cause, illustrates some of the difficulties China's economy will face in the future. Over the last two years, and especially in 2013, mainland corporations with offshore affiliates had been borrowing money abroad, faking trade invoices to import the money disguised as export revenues, and profitably relending it as Chinese yuan. As China receives more dollars from exports and foreign investment than it spends on imports and Chinese investment abroad, the People's Bank of China, the central bank, is forced to buy those excess dollars to maintain the value of the yuan. It does this by borrowing yuan in the domestic markets. But because its borrowing cost is greater than the return it receives when it invests those dollars in low-earning U.S. Treasury bonds, the central bank loses money as its reserves expand."

Authored by Michael Pettis, originally posted at Foreign Policy.

http://www.zerohedge.com/news/2013-06-28/days-super-powered-chinese-economy-are-over

Nanex Research, fałszywy tweet o wybuchu w Białym Domu 23 kwietnia 2013

Pewnie część z Was już słyszała o dzisiejszym fałszywym tweet'cie o wybuchu w Białym Domu i rannym prezydencie USA. Nanex Research prezentuje jaki wpływ miała ta informacja na rynek, usunięta i zdementowana tylko minuty później. Zupełna utrata płynności i głębokości w arkuszu zleceń. Nie skończyło się to wielkim krachem, bo wymiar spadku i szybkiego powrotu w postaci około 1% na indeksach to nie aż tak wiele, jak można by oczekiwać po takim wydarzeniu w erze HFT.

http://www.nanex.net/aqck2/4176.html
http://www.zerohedge.com/news/2013-04-23/ap-reports-two-explosions-white-house-obama-injured

Exploratory trading - The Top 8 HFTs Remove Liquidity 59% of the Time

"Exploratory trading is a form of manipulation designed to test the market's reaction to a trade. Probing for stop orders would be one form of exploratory trading. This paper specifically investigates exploratory trading that attempts to determine whether the bid/ask spread is about to shift up or down a level. The impact on the market would be an increase in intraday volatility. Exploratory trading distorts the market's view of supply and demand and induces trading activity from other participants. Furthermore, as participants learn of the strategy, they will employ counter-measures - which will further muddy an accurate picture of supply and demand for everyone else. This is why regulations ban manipulation."

"A lot of media discussion about HFT focuses on 3 benefits: they provide liquidity, narrow spreads and lower trading costs. This Harvard paper exposes some disturbing truths: the top HFT engage in a predatory market manipulation strategy that removes liquidity 59.2% of the time (by volume), causes undue intraday volatility (which amounts to a tax on investors), warps the true picture of supply and demand, and raises trading costs for everyone processing market data."

http://www.nanex.net/aqck2/4136.html