Quote-based competition and trade execution costs in NYSE-listed stocks

被引：63

作者：

Bessembinder, H ^{[1
]}

机构：

[1] Univ Utah, Dept Finance, David Eccles Sch Business, Salt Lake City, UT 84112 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2003年 / 70卷 / 03期

关键词：

competition for order flow; quotation strategies; trading costs;

D O I：

10.1016/S0304-405X(03)00168-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines quotations, order routing, and trade execution costs for seven markets that compete for orders in large-capitalization NYSE-listed stocks. The competitiveness of quote updates from each market varies with measures of the profitability of attracting additional order and with volatility and inventory measures. The probability of a trade executing on each market increases when the market posts competitive quotes. Execution costs for non-NYSE trades when the local market posts competitive (non-competitive) quotes are virtually the same (substantially exceed) costs for matched NYSE trades. Collectively, these results imply a significant degree of quote-based competition for order flow and are consistent with off-NYSE liquidity providers using competitive quotations to signal when they are prepared to give better-than-normal trade executions. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：385 / 422

页数：38

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