Liquidity in the NBP Forward Market

被引：0
|
作者：
Russo, Marianna [1 ]
de Menezes, Lilian M. [1 ]
Urga, Giovanni [1 ]
机构：
[1] City Univ London, Cass Business Sch, London, England
来源：
2016 13TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM) | 2016年
关键词：
liquidity; natural gas; OTC markets; regulation; time-varying processes; BID-ASK SPREAD; FOREIGN-EXCHANGE MARKETS; ULTRA-HIGH-FREQUENCY; TRANSACTION COSTS; STOCK RETURNS; TRADE; RISK; MICROSTRUCTURE; COMMONALITY; PRODUCTS;
D O I：
暂无
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
Liquidity in the National Balancing Point (NBP) forward market during 2010-14 is examined using liquidity measures adopted from the financial literature. Since the sample period includes the date when the EU Regulation on Market Integrity and Transparency (REMIT) became in force, the question of whether changes in these measures reflect REMIT is also investigated. There is evidence of increased market transparency and competition, but no significant differences in the level of liquidity in the NBP one-month-ahead market appear to have followed the introduction of REMIT.
引用
收藏
页数：5
相关论文
共 50 条
  • [21] Local market makers, liquidity and market quality
    Kedia, Simi
    Zhou, Xing
    JOURNAL OF FINANCIAL MARKETS, 2011, 14 (04) : 540 - 567
  • [22] Liquidity hedging with futures and forward contracts
    Shin, Yong Jae
    Pyo, Unyong
    STUDIES IN ECONOMICS AND FINANCE, 2019, 36 (02) : 265 - 290
  • [23] Market liquidity and trading activity
    Chordia, T
    Roll, R
    Subrahmanyam, A
    JOURNAL OF FINANCE, 2001, 56 (02): : 501 - 530
  • [24] Liquidity and Optimal Market Transparency
    Dumitrescu, Ariadna
    EUROPEAN FINANCIAL MANAGEMENT, 2010, 16 (04) : 599 - 623
  • [25] MARKET LIQUIDITY AND PERFORMANCE MONITORING
    HOLMSTROM, B
    TIROLE, J
    JOURNAL OF POLITICAL ECONOMY, 1993, 101 (04) : 678 - 709
  • [26] Market Liquidity: An Elusive Variable
    Schwartz, Robert A.
    Francioni, Reto
    Weber, Peter
    JOURNAL OF PORTFOLIO MANAGEMENT, 2020, 46 (08): : 7 - 26
  • [27] Liquidity in the German Stock Market
    Johann, Thomas
    Scharnowski, Stefan
    Theissen, Erik
    Westheide, Christian
    Zimmermann, Lukas
    SCHMALENBACH BUSINESS REVIEW, 2019, 71 (04) : 443 - 473
  • [28] The Cost of Liquidity in the FX Market
    Borkovec, Milan
    Cochrane, James
    Domowitz, Ian
    Escobar, Christopher
    JOURNAL OF TRADING, 2015, 10 (01): : 6 - 19
  • [29] Market Value of REIT Liquidity
    Hill, Matthew D.
    Kelly, G. Wayne
    Hardin, William G., III
    JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2012, 45 (02): : 383 - 401
  • [30] The measure of liquidity in futures market
    Yang, Yanjun
    2006 IEEE International Conference on Management of Innovation and Technology, Vols 1 and 2, Proceedings, 2006, : 320 - 324
12345