2nd European Capital Market Workshop

The ECMCRC and Bayes Business School are pleased to announce the 2nd European Capital Markets Workshop which will be hosted by the European Capital Markets Cooperative Research Centre and will take place at Bayes Business School in London on the 9th July 2018.


Download a copy of the programme

08:30-09:00: Registration - Tea and coffee - Lower Ground Milling Area

09:00-11:00 Session 1

Stream A - Room LG002

“Media Coverage, Trading Activity and Liquidity Effects Around Private Firm Acquisition Announcements: Evidence from UK Domestic Acquisitions”
Louise Gorman (Dublin Institute of Technology), Eleonora Monaco (Catolica Porto), Pierangelo Rosati (DCU), Riccardo Palumbo (Chieti-Pescara) and Theo Lynn (DCU)

“Interpreting Market Inefficiency vs. Irrationality using News Sentiment and Information Transfer Entropy”
Anqi Liu (Cardiff), Jing Chen (Cardiff), Steve Yang (Stevens Institute of Technology) and Alan Hawkes (Swansea)

“A High-Frequency Analysis of Bitcoin Liquidity”
Alexander Brauneis (Klagenfurt), Roland Mestel (Graz), Ryan Riordan (Queens) and Erik Theissen (Mannheim and Graz)

Stream B - Room LG003 - Market Quality Issues

“Funding Constraints and Informational Efficiency”
Sergei Glebkin (INSEAD), Naveen Gondhi (INSEAD) and John Kuong (INSEAD)

“Order Aggressiveness and Flash Crashes”
Khaladdin Rzayev (Edinburgh) and Gbenga Ibikunle (Edinburgh)

“Once Upon a Broker Time? Order Preferencing and Market Quality”
Hans Degryse (Leuven) and Nikolaos Karagiannis (Leuven)

11:00-11:15: Break - Tea and coffee – Lower Ground Milling Area

11:15-13:15 Session 2

Stream A - Room LG002 - High Frequency Trading

“High-Frequency Trading and Institutional Trading Costs”
Marie Chen (LSE) and Corey Garriott (Bank of Canada)

“Liquidity and the Rise of Fast Trading on Euronext: A Historical Perspective”
Christophe Desagre (Louvain), Catherine D’Hondt (Louvain) and Mikael Petitjean (IESEG)

“High Frequency Trading During Flash Crashes: Walk of Shame or Hall of Fame?”
Mario Bellia (Goethe), Kim Christensen (CREATES), Aleksey Kolokolov (Goethe), Loriana Pelizzon (Goethe) and Roberrto Reno (Verona)

Stream B - Room LG003 - Liquidity

“Bank CDS Spreads and Stock Liquidity”
Falko Fecht (Frankfurt), Phil Molyneux (Sharjah), Qingwei Wang (Cardiff) and Ru Xie (Bath)

“Does Liquidity Cause Market Return Reversals? A Natural Experiment”
Thummim Cho (LSE)

“On the Term Structure of Liquidity in the European Sovereign Bond Market”
Conall O’Sullivan (UCD) and Vassilios Papavassiliou (UCD)

13:15-14:45: Lunch - The Kitchen, 3rd Floor

14:45-16:45: Session 3

Stream A - Room LG002 - High Frequency Trading and Liquidity

“High-Frequency Market Making: Liquidity Provision, Adverse Selection and Competition”
Mario Bellia (Goethe)

“Multimarket High-Frequency Trading and Commonality in Liquidity”
Olga Klein (Warwick) and Shiyun Song (Warwick)

“High Frequency Trading and Ghost Liquidity”
Hans Degryse (Leuven), Rudy De Winne (Louvain), Carole Gresse (Dauphine) and Richard Payne (Bayes)

Stream B - Room LG003 - Trading Decisions 

“The Demand for Central Clearing: To Clear or Not to Clear, That is the Question!”
Mario Bellia (Goethe), Roberto Panzica (Goethe), Loriana Pelizzon (Goethe) and Tuomas Peltonen (European Systematic Risk Board)

“Dynamic Trade Informativeness”
Bart Zhou Yueshen (INSEAD) and Jinyuan Zhang (INSEAD)

“The Dollar Profits to Insider Trading”
Peter Cziraki (Toronto) and Jasmin Gider (Bonn)

16:45-18:30: Drinks reception - Lower Ground Milling Area


Ian Marsh, ECMCRC and Bayes Business School
Alex Frino, Scientific Director of ECMCRC and University of Wollongong
Riccardo Palumbo, CEO of ECMCRC and University of Chieti


Bayes Business School
106 Bunhill Row
London EC1Y 8TZ

For any queries, please contact: workshop@ecmcrc.org or i.marsh@city.ac.uk