Dr. P.K. Jain wins New Zealand Superannuation Fund Award

For release:  February 2, 2016

The Auckland Center for Financial Research recently held their 2015 meeting in New Zealand. George Johnson Professor and interim chairman of the Department for Finance, Dr. Pankaj K. Jain, won the Best Paper Award for his paper, "Speed of Market Access and Market Quality: Evidence from the SEC Naked Ban." The award was sponsored by the New Zealand Superannuation Fund. The paper was co-authored by Bidisha Chakrabarty, St. Louis University; Andriy Shkilko, Wilfrid Laurier University; and Konstantin Sokolov, Wilfrid Laurier University.

In this paper, they examined the notion that in modern securities' markets, fast traders with small speed advantages pick off liquidity makers' quotes, thereby leading to higher trading costs for all market participants. They showed that when a regulatory shock slows down some fast traders, liquidity makers benefit from lower adverse selection cost. The benefit is then transferred entirely to liquidity takers in form of lower effective spreads that are consistent with a competitive market for a liquidity provision. The paper also states that although price deficiency also declines, the decline is smaller than the trading cost reduction, corroborating the view that the cost of modern price efficiency may outweigh its benefits.

To see the complete list of all 75 academic papers competing for the award and for more information about the conference, please visit the Auckland Center for Financial Research conference website.

Dr. Pankaj K. Jain's paper was also selected as a semi-finalist for the Financial Management Association (FMA) Best Paper Award in 2015.