کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963528 1479125 2010 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Efficiency and the trading system: The case of SETSmm
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Efficiency and the trading system: The case of SETSmm
چکیده انگلیسی
This paper studies the impact that a change from a dealer system to a market-maker supported auction system has on market quality. We study the impact that the introduction of SETSmm at the London Stock Exchange had on firm value, price efficiency and liquidity. We discover a small SETSmm return premium associated with the announcement that securities are to migrate to the new trading system. Moreover, securities that migrate to SETSmm are characterized by improvements to liquidity and pricing efficiency. We find that these changes are related to the return premium.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 5, December 2010, Pages 509-518
نویسندگان
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