喻园管理论坛2020年第26期(总第643期)

演讲主题: The Microstructure of Endogenous Liquidity Provision

主 讲 人: 康俊卿，中山大学岭南学院助理教授

主 持 人: 邓   洋，财务金融系讲师

活动时间: 2020年12月8日（周二）10:30-12:00

活动地址：管理学院215教室

主讲人简介：

Dr.Junqing Kang received his Ph.D degree from UTS Business School, University of Technology Sydney. He is now working as an associate professor in Lingnan College, Sun Yat-sun University. His research interests include information economics and market frictions, high frequency trading and learning, exchange-traded funds and index investing. He won the Best Paper Award at the 10th Financial Market and Corporate Governance Conference. Besides, he has published several papers in top journals like Journal of Management Sciences in China and Systems Engineering – Theory & Practice.

活动简介：

We analyze a nonlinear rational expectations equilibrium model with an ex post endogenous liquidity provision decision. Speed and information technology advantages allow endogenous liquidity providers (ELPs) to switch between limit and market orders after observing private information. This significantly influences the adverse selection faced by designated market makers (DMMs), thereby generating a gap between liquidity supply from DMMs and liquidity demand by informed traders. As a result, endogenous liquidity provision leads to two equilibrium regimes with nonlinear price impacts and the possibility of market breaks. These breaks occur when ELPs switch from liquidity provision to liquidity consumption as a consequence of unexpected shocks. Increasingly similar information among ELPs reduces the risk of systematic liquidity withdrawals but intensifies the DMMs’ adverse selection cost. Our model is relevant to various plausible settings and can help to explain a variety of financial market outcomes.