Automated Versus Floor Trading : An Analysis of Execution Costs on The Paris And New York Exchanges ? Discussion  

Oleh:

Venkataraman, Kumar ; Madhavan, Ananth

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 4 (2001), page 1445-1488.
Topik: exchanges; comparative studies; securities trading; electronic trading systems; costs; statistical analysis
Fulltext: p 1445.pdf (1.02MB)

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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 compares the trade execution costs of similar stocks in an automated trading structure (Paris Bourse) and a floor - based trading structure (NYSE). Results indicate that execution costs are higher in Paris than in New York after controlling for differences in adverse selection, relative tick size, and economic attributes across samples. These results suggest that the present form of the automated trading system may not be able to fully replicate the benefits of human intermediation on a trading floor.

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