An Introduction to the Microstructure of Emerging Markets by Jack D. Glen

By Jack D. Glen

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Additional resources for An Introduction to the Microstructure of Emerging Markets (Discussion Paper (International Finance Corporation))

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A close reading of what follows will confirm that a broad variety of trading systems is indeed present in the sample. Undoubtedly, the inclusion of additional markets would show even more permutations on the number of possible market structures. A set of market summary statistics is presented in Table 1. As will be apparent to the reader of the market descriptions that follow, there is great variation in the manner in which securities are traded in these markets. Some of those differences have obvious importance, whereas the effects of others are more subtle.

For example, option contract margins are determined daily by the maximum between the average premium paid and a percentage of the underlying asset. Futures contracts margins have fixed quantities for each contract that are adjusted periodically according to changes in price. In addition, future contract margin requirements for hedgers are lower than for common traders. Margin requirements must be met with shares (stocks) by 17:00 on the trading day or with gold, cash or other liquid securities by 12:00 of the following day.

Volatility obviously arises primarily from the economic fundamentals that drive prices. For that reason, even though microstructure can be designed to enhance liquidity and efficiency, volatility will remain. To isolate fundamental volatility from trading noise owing to asymmetric information or temporary order imbalances, market microstructure has been called upon. Circuit breakers (or price limits), which stop trading whenever price changes exceed a given level, are a good example. They are meant to provide a cooling-off period for the market so that information can be disseminated and processed by investors in order that economic fundamentals may prevail when trading is resumed.

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