Market structure, fragmentation, and market quality

被引：62

作者：

Bennett, P ^{[1
]}

Wei, L ^{[1
]}

机构：

[1] New York Stock Exchange, New York, NY 10005 USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2006年 / 9卷 / 01期

关键词：

market fragmentation; market quality; best execution;

D O I：

10.1016/j.finmar.2005.12.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the impact of order flow fragmentation on market quality. Due to differences in market structure, order flow becomes more consolidated when stocks switch listings from a dealer market (NASDAQ) to an exchange (NYSE). We find that the post-switch improvements of market quality are related to the degree of order flow fragmentation on NASDAQ as well as the change of fragmentation after trading on the NYSE. After controlling and correcting for potential selection bias arising front a nonrandom sample, we find that order flow fragmentation affects market quality as predicted by finance theories. Our paper shows that order flow consolidation is particularly valuable for less liquid securities. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：49 / 78

页数：30

共 64 条

[1] INSTRUMENTAL VARIABLE ESTIMATOR FOR THE NONLINEAR ERRORS-IN-VARIABLES MODEL [J].