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Ekaterina Serikova

Ekaterina Serikova

is a research assistant at the Chair of Finance and a Ph.D. Candidate at the University of St Gallen (HSG) - Swiss Institute of Banking and Finance, Switzerland. She received MA in Economic Policy from the Central European University, Hungary. Her research focuses on market microstructure, liquidity, and the regulations of central counterparty clearing (CCP). Dreams to find the truth through numbers and contribute to a better quantitative world.

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Albert J. Menkveld, Ekaterina Serikova: Time for Dinner? No, for Risk Contraction

The study sheds light on how traders allocate the risk of their equity portfolios throughout a trading day. They tend to contract risk around the market close, providing a central clearinghouse (CCP) with a ”natural hedge”. CCP members mostly trade stocks that have the largest impact on the daily margin requested from a clearinghouse. They sell stocks with the highest marginal risk and buy stocks that decrease the total portfolio risk the most. As our measure of portfolio risk corresponds with what the CCP uses for the estimations of daily margin requirements, we conclude that the risk-reduction behavior is driven by reluctance to provide end-of-day margin contributions to the CCP. Such trading in the direction of risk contraction distorts closing stock prices: for the top 10% most traded stocks, a pricing error at the close reaches 58 basis points.

Ekaterina Serikova: The Role of Daytime Stock Auctions in Intraday Return Seasonality

The paper provides a fresh look at the role of daytime auctions in intraday periodicity of stock returns. First, I show that daytime auctions, together with market opening and market closing intervals, drive the periodicity of stock returns. Second, by applying the model of infrequent rebalancing, I find that price impact is the highest during the fifteen-minute interval after daytime auctions. Combining this evidence with high realized returns, high volume changes and high return volatility, I conclude that after-auction periods take over a large share of infrequent rebalancing, being attractive for a concentration of liquidity traders. Small, low-fragmented stocks heavily traded on the home market show the strongest evidence for infrequent rebalancing after the daytime auctions. Finally, I show that post-auction returns predict returns before the US market opening and before the domestic market closing, which might be further evidence on clustered liquidity trading.

Last modified: 2019.09.05.