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And another OeNB grant

posted Jul 27, 2018, 7:20 AM by Stefan Palan   [ updated Sep 24, 2018, 12:30 AM ]
A joint grant application by FiRe members Roland Mestel (University of Graz, serving as principal investigator) and Erik Theissen (FiRe, University of Mannheim and University of Graz) has received funding by the Anniversary Fund of Austrian National Bank (OeNB).

The project is the first to examine liquidity in the Austrian capital market in depth. Based on a unique database compiled by the Institute of Banking and Finance of the University of Graz in cooperation with Wiener Börse, the project will evaluate market liquidity for all stocks listed on Wiener Börse since 2000. Among other things, market behavior in times of market stress (financial crisis; EURO crisis), the impacts of technological and regulatory changes in European market structure (e.g., MiFID) and national and EU-wide measures of economic policy (e.g., the introduction of taxes on capital gains and the increase of this tax rate) on the Austrian stock market will be empirically evaluated. The research team will compare Austrian results with those for the German market. Finally, unique stock-level data on the share of algorithmic trading will be used to investigate whether and in what way computer-based trading affects market quality in Austria.

Funded with € 105,000, the project will run for 30 months.