A Theoretical Analysis of Institutional Investors' Trading Costs in Auction and Dealer Markets  

Oleh:

Snell, Andy ; Tonks, Ian

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 113 no. 489 (2003), page 576-597.
Topik: investors; institutional investors; trading costs; auction; dealer markets
Fulltext: 576.pdf (159.69KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.11 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper compares trading costs for institutional investors subject to liquidity shocks, in auction and dealer markets. The batch auction restricts the institutions' ability to exploit informational advantages because of competition between institutions when they simultaneously submit orders. This competition lowers aggregate trading costs. In the dealership market, competition between traders is absent but private information is revealed by observing the flow of successive orders and so reduces aggregate trading costs. We analyse the relative effects on trading costs of competition and information revelation in the two systems and derive a parameter inequality which determines which system has lower costs.

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