Competition for Order Flow and Smart Order Routing Systems  

Oleh:

Foucault, Thierry ; Menkveld, Albert J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 63 no. 1 (Feb. 2008), page 119-158.
Topik: Competition; Order Flow; Smart Order Routing Systems
Fulltext: p 119.pdf (274.82KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

We study the rivalry between Euronext and the London Stock Exchange (LSE) in the Dutch stock market to test hypotheses about the effect of market fragmentation. As predicted by our theory, the consolidated limit order book is deeper after entry of the LSE. Moreover, cross-sectionally, we find that a higher trade-through rate in the entrant market coincides with less liquidity supply in this market. These findings imply that (i) fragmentation of order flow can enhance liquidity supply and (ii) protecting limit orders against trade-throughs is important.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali