کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961404 | 929848 | 2013 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Liquidity, volume and price efficiency: The impact of order vs. quote driven trading
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
As equity trading becomes predominantly electronic, is there still value to a traditional, intermediated dealer system? We address this question by comparing the impact of the organization of trading on volume, liquidity, and price efficiency in a quote-driven dealer market and in an order-driven limit order book. Small order price impacts are higher and large order price impacts are lower in a dealer market. Prices are more efficient in the limit order book, except when the level of informed trading is high. Volume is higher in a limit order market, making this system most attractive for trading venues.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 16, Issue 1, February 2013, Pages 104-126
Journal: Journal of Financial Markets - Volume 16, Issue 1, February 2013, Pages 104-126
نویسندگان
Katya Malinova, Andreas Park,