کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084832 | 1477921 | 2014 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The implications of a price anchoring effect at the upstairs market of the London Stock Exchange
ترجمه فارسی عنوان
پیامدهای تاثیر مهار قیمت در بازار طبقه بالا در بورس اوراق بهادار لندن
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper studies the upstairs market of the Stock Exchange Trading System (SETS) of the London Stock Exchange (LSE). We hypothesise that the implicit interaction between the upstairs and the downstairs markets at the LSE alters the pricing mechanism at the upstairs market. We show that market makers employ “cluster undercutting” practices in the upstairs market, which are based on a notional minimum price increment and resemble an anchoring-and-adjustment effect. In particular, we report that liquidity providers consistently buy just below the implicit minimum price increment and consistently sell just above it. This finding is strongly related to stock-price momentum and periods of increased trade intensity. Overall, this effect has only a weak connection to differences in informed trading and is mostly related to the notional price barriers and resistance levels introduced by the minimum tick size of the order book.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 32, March 2014, Pages 37-46
Journal: International Review of Financial Analysis - Volume 32, March 2014, Pages 37-46
نویسندگان
Thanos Verousis, Owain ap Gwilym,