Is the Volcker Rule Justified?

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group 
Research Seminars in Finance
 
Topic: Is the Volcker Rule Justified? A Study of Liquidity Provision by Proprietary Traders.
 
Speaker: Pamela Moulton, Cornell University
 
Abstract:      
Proprietary traders’ role in capital markets has received heightened attention with the debate over the Volcker Rule following the 2008-09 financial crisis. To date, there is little evidence on whether proprietary traders provide or take liquidity and how their behavior evolves over the business cycle. Using a unique NYSE dataset of proprietary trading activity, we show that proprietary traders provide liquidity on average: Their trades “lean against the wind,” with higher net buying following stock price declines. We find that this liquidity provision is impaired when intermediary balance sheets are weak and that proprietary traders’ propensity to provide liquidity is lower for small and volatile stocks. We conclude that constraining proprietary trading may have an adverse effect on the liquidity of certain stocks.
 
A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday, 9th April 2018.
 
Date: Wednesday, 11th April 2018     
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
              Building 8, Room 8.002, Dr Chau Chak Wing Building
              Dr Chau Chak Wing Building
              14 - 28 Ultimo Road, Ultimo
 
Co-ordinator: Kris Glover  (Ph: +61 2 9514 7778)
 
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777
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Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.