Bank for International Settlements and Hong Kong Institute for Monetary Research

4th Annual Central Bank Workshop on the Microstructure of Financial Markets


18 September 2008 (Thursday) - 19 September 2008 (Friday)



Call for Papers
Call for Papers (PDF version)
Programme Programme (PDF version)
Thursday 18 September

09:00 - 09:10 Welcome and opening remarks

H Genberg (HKIMR) and E Remolona (BIS)

09:10 - 10:10 Session 1: Keynote speech

M Melvin (Barclays Global Investors)
10:10 - 10:40 Coffee Break

Session 2: Fixed income markets

Chair: H Genberg (HKIMR)
10:40 - 11:20 From Trade-to-trade in US Treasuries: durations, workups and news effects
Authors: M Dungey (University of Cambridge), Ó Henry (University of Melbourne) and M McKenzie (Royal Melbourne Institute of Technology)

Discussant: I Lo (Bank of Canada)

11:20 - 12:00 The information content of volatility and order flow - intraday evidence from the US Treasury market
Authors: G Jiang (University of Arizona) and I Lo (Bank of Canada)

Discussant: Ó Henry (University of Melbourne)

12:00 - 13:30 Lunch

Session 3: Foreign exchange markets

Chair: G Valente (University of Leicester)
13:30 - 14:10 Economic news, price discovery and liquidity in the foreign exchange market
Author: W Tham (Erasmus University)

Discussant: L Menkhoff (Leibniz Universität Hannover)

14:10 - 14:50 Do foreign exchange market participants listen to verbal intervention?
Authors: E Girardin (University Aix-Marseille 2), R Lyons (UC Berkeley) and M Sager (University of Warwick)

Discussant: M Dungey (University of Cambridge)

14:50 - 15:30 Capital flows, portfolio balance effects, and foreign exchange returns: The case of Thailand
Authors: J Gyntelberg (BIS), M Loretan (BIS), T Subhanij (Bank of Thailand) and E Chan (BIS)

Discussant: E Sojli (Erasmus University)

15:30 - 16:00 Tea Break

Session 4: Equity markets

Chair: P Wooldridge (BIS)
16:00 - 16:40 Liquidity and the business cycle
Authors: J Skjeltorp and R Naes (Central Bank of Norway), and B Odegaard (University of Stavanger)

Discussant: P D'Arcy (Reserve Bank of Australia)

16:40 - 17:20 The impact of liquidity shocks through the limit order book
Author: G Wuyts (University of Leuven)

Discussant: H Duong (Monash University)

17:20 - 18:00 How do designated market makers create value for small-caps
Authors: A Menkveld and T Wang (VU University Amsterdam)

Discussant: B Odegaard (University of Stavanger)

Friday 19 September

09:00 - 10:00 Session 5: Keynote speech

K Chan (Hong Kong University of Science and Technology)
10:00 - 10:30 Coffee Break

Session 6: Equity markets

Chair: D Rime (Central Bank of Norway)
10:30 - 11:10 Hidden orders and optimal submission strategies in a dynamic limit order market
Authors: S Buti (University of Toronto) and B Rindi (Bocconi University)

Discussant: I Rosu (University of Chicago)

11:10 - 11:50 Order book slope and price volatility
Authors: H Duong and P Kalev (Monash University)

Discussant: M Loretan (BIS)

11:50 - 12:30 The impact of hidden liquidity in limit order books
Authors: S Frey (University of Tübingen) and P Sandas (University of Virginia)

Discussant: G Wuyts (University of Leuven)

12:30 - 14:00 Lunch

Session 7: Foreign exchange markets

Chair: M Yiu (HKIMR)
14:00 - 14:40 Learning from post-trade identity disclosure in electronic trading
Authors: L Menkhoff and M Schmeling (Leibniz Universität Hannover)

Discussant: D Rime (Central Bank of Norway)

14:40 - 15:20 Liquidity and information in order driven markets
Author: I Rosu (University of Chicago)

Discussant: C Parlour (UC Berkeley)

15:20 - 16:00 Exchange rate risk, transactions costs and the forward bias puzzle
Authors: A Ranaldo (Swiss National Bank) and A Sarkar (Federal Reserve Bank of New York)

Discussant: E Sojli (Erasmus University)

16:00 - 16:30 Tea Break

Session 8: Credit default swap markets

Chair: E Remolona (BIS)
16:30 - 17:10 Liquidity and credit default swap spreads
Authors: D Tang (University of Hong Kong) and H Yan (University of South Carolina)

Discussant: S Nakagawa (Bank of Japan)

17:10 - 17:50 How liquid is the CDS market?
Authors: A Fulop and L Lescourret (ESSEC)

Discussant: D Tang (University of Hong Kong)

17:50 - 18:00 Closing remarks

E Remolona (BIS)

Workshop ends