The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads
Abstract"This article provides new insights into market competition between traditional exchanges and alternative trading systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity of a traditional dealer market (DM) by comparing data from the SEAQ quote-driven segment of the London Stock Exchange (LSE) and internal data from the POSIT crossing network. A cross-sectional analysis of bid-ask spreads shows that DM spreads are negatively related to CN executions. Risk-sharing benefits from CN trading dominate fragmentation and cream-skimming costs. Further, risk-sharing gains are found to be related to dealer trading in the CN." Copyright Blackwell Publishers Ltd, 2006.
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Bibliographic InfoArticle provided by European Financial Management Association in its journal European Financial Management.
Volume (Year): 12 (2006)
Issue (Month): 2 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=1354-7798
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- Degryse, Hans & Van Achter, Mark & Wuyts, Gunther, 2004.
"Dynamic order submission strategies with competition between a dealer market and a crossing network,"
Open Access publications from Katholieke Universiteit Leuven
urn:hdl:123456789/121545, Katholieke Universiteit Leuven.
- Degryse, Hans & Van Achter, Mark & Wuyts, Gunther, 2009. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Journal of Financial Economics, Elsevier, vol. 91(3), pages 319-338, March.
- Degryse, H.A. & Achter, M. van & Wuyts, G., 2007. "Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network," Discussion Paper 2007-017, Tilburg University, Tilburg Law and Economic Center.
- Hans Degryse & Mark Van Achter & Gunther Wuyts, 2004. "Dynamic order Submission Strategies with Competition between a Dealer Market and a Crossing Network," Center for Economic Studies - Discussion papers ces0415, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
- Degryse, Hans & Vanachter, M. & Wuyts, Gunther, 2009. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/203016, Katholieke Universiteit Leuven.
- Hans Degryse & Mark Van Achter & Gunther Wuyts, 2007. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Working Paper Research 121, National Bank of Belgium.
- Gresse, Carole, 2011. "Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience," Economics Papers from University Paris Dauphine 123456789/7685, Paris Dauphine University.
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