UTS Welcomes Ester Félez Viñas
UTS would like to welcome Ester Félez Viñas who is joining UTS after completing her PhD in finance at Stockholm Business School, Stockholm University in Sweden. Her thesis was titled “Changing the Rules of the Game: A Market Microstructure Perspective on the Effects of Regulating Financial Markets”. Ester was raised in Begues, a small mountain town about 30 kilometres away from Barcelona in Spain. She is fluent in Catalan, Spanish, English and can also speak some Swedish. I’m sure she would welcome a conversation with anyone of you who may want to practice their Catalan language skills.
After finishing high school, Ester moved to Barcelona to undertake her undergraduate studies in Business Management at the University of Barcelona. It was during this time that she discovered her passion for finance. Willing to broaden her knowledge in the topic, Ester moved to Stockholm, Sweden, in 2012 to pursue a Master degree in Banking and Finance at the Stockholm Business School. She received the Best Student in Finance award after graduating top of her class. By the end of her master studies, Ester was certain that she wanted to deepen her knowledge in finance and decided to do so by undertaking PhD studies in finance at the Stockholm Business School, where she graduated in April 2019.
Ester’s research interest is within the field of market microstructure, the area of finance concerned with the study of the trading mechanisms used to exchange securities under a specific set of rules. While market microstructure research covers a variety of topics, Ester’s thesis contains four articles that examine the effects brought about by the implementation of new regulations and changes in the trading landscape on different facets of market quality and integrity.
The first article in the dissertation studies how the fragmentation of equity markets affects the speed of recovery of the market, both under normal market conditions and in times of stress. The results show that fragmentation increases the average ability of the market to converge towards its long-run liquidity levels by shortening the duration of liquidity deviations. In times of stress, fragmentation also speeds up the replenishment of the limit order book and its ability to recover from the moments of stress.
The second paper examines the impact of introducing short selling restrictions on the speed of recovery of the market and commonality in liquidity. The findings indicate that short selling bans contribute to lowering the risk of financial contagion by decreasing the commonality in liquidity levels of banned securities. However, the restrictions also significantly hamper the ability of banned stocks to recover from transitory liquidity deviations.
The third article exploits the change in closing mechanism of 43 exchanges around the world to analyse the effects of batch facilities on liquidity, price efficiency, and market integrity. The results support the idea that batch facilities improve market quality, that auction design is important in explaining auction performance, and that the effects depend on the level of development of the market and the liquidity of the stock. This article is written jointly with Professor Talis Putnins, Senior Lecturer Sean Foley, and Nicholas Cordi. It was awarded with the Best Paper on Stock Markets award at the 26th Finance Forum in Santander, Spain, 2018.
The last paper in the thesis investigates whether volatility extensions in closing auctions improve the efficiency of closing prices. The findings confirm that the introduction of a volatility extension enhances price efficiency by reducing transitory closing price volatility. The results also suggest that the improvement in price efficiency is due to enhanced market integrity and to greater investor trust in the auction mechanism. This article is written jointly with Associate Professor Björn Hagströmer.
