Lifting the veil: An analysis of pre-trade transparency at the NYSE

被引：134

作者：

Boehmer, E ^{[1
]}

Saar, G

Yu, L

机构：

[1] Texas A&M Univ, Mays Business Sch, College Stn, TX 77843 USA

[2] NYU, Stern Sch Business, New York, NY USA

[3] Univ Notre Dame, Mendoza Coll Business, Notre Dame, IN 46556 USA

来源：

JOURNAL OF FINANCE | 2005年 / 60卷 / 02期

关键词：

D O I：

10.1111/j.1540-6261.2005.00746.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study pre-trade transparency by looking at the introduction of NYSE's OpenBook service that provides limit-order book information to traders off the exchange floor. We find that traders attempt to manage limit-order exposure: They submit smaller orders and cancel orders faster. Specialists' participation rate and the depth they add to the quote decline. Liquidity increases in that the price impact of orders declines, and we find some improvement in the informational efficiency of prices. These results suggest that an increase in pre-trade transparency affects investors' trading strategies and can improve certain dimensions of market quality.

引用

页码：783 / 815

页数：33

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