| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963528 | Journal of International Financial Markets, Institutions and Money | 2010 | 10 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Patricia L. Chelley-Steeley, Leonid Skvortsov,