Automation Versus Intermediation : Evidence Frrm Treasuries Going Off The Run  

Oleh:

Barclay, Michael J. ; Hendershott, Terrence ; Kotz, Kenneth

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 5 (Okt. 2006), page 2395-2414.
Topik: AUTOMATION; studies; treasuries; electronic trading systems; securities trading volume; market shares; hypotheses; regression analysis
Fulltext: p 2395.pdf (208.99KB)

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

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Isi artikel

This paper examines the choice of trading renue by dealers in U.S. treasury securities to determine when services provided by human intermediaries are difficult to replicate in fully automated trading systmes. When treasury securities go off the run their trading volume drops by more than 90%. This decline in trading volume allows us to test whether intermediaries' knowledge of the market and its participants can uncover hidden liquidity and facilitate better matching of customer orders in loss active markets. Consistent with this hypothesis, the market share of electronic intermediaries goals from 81% to 12% when securities go off the run.

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