کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960855 | 1478943 | 2015 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In this paper, we examine market share drivers of a prominent alternative trading venue (Chi-X) in an international context. We find that Chi-X׳s market share is negatively related to trading fees and latency, while positively related to liquidity relative to primary exchanges. Venue market share is negatively related to order-to-trade ratio and positively related to average trade size, suggesting traders' preference to interact with natural and accessible liquidity. Furthermore, trading tends to concentrate on the primary exchange during market stress, while tick constraint stocks tend to trade more on Chi-X to avoid queuing at the touch on the primary exchange.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 22, January 2015, Pages 27-49
Journal: Journal of Financial Markets - Volume 22, January 2015, Pages 27-49
نویسندگان
Peng William He, Elvis Jarnecic, Yubo Liu,