Upstairs Market For Principal and Agency Trades : Analysis of Adverse Information and Price Effects  

Oleh:

White, Robert Winthrop ; Turnbull, D. Alasdair S. ; Smith, Brian F.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 5 (2001), page 1723-1746.
Topik: MARKETS; securities trading; studies; models; stock prices; regression analysis
Fulltext: p 1723.pdf (209.45KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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This paper directly tests the hypothesis that upstairs intermediation lowers adverse selection cost. We find upstairs market makers effectively screen out information - motivated orders and execute large liquidity - motivated orders at a lower cost than the downstairs market. Upstairs markets do no cannibalize or free ride of the downstairs market. In one - quarter of the trades, the upstairs market offers price improvement over the limit orders available in the consolidated limit order book. Trades are more likely to be executed upstairs at times when liquidity is lower in the downstairs market.

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