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The total cost of trading Belgian shares: Brussels versus London

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  • Degryse, Hans

Abstract

Since 1990, London’s SEAQ International attracts considerable trading volume in Belgian equities. This paper uses transaction, quotation and limit order book data to investigate competition between the Brussels CATS market and SEAQ International. It focuses in more detail on the liquidity (indirect costs) measured by the quoted and effective bid-ask spread. CATS outweighs SEAQI for both measures. The effective spread is substantially smaller than the quoted spread. The CATS effective spread shows a U-shaped form. This is in line with the different market micro-structure models. Total trading costs on CATS are lower (higher) for small (large) trade sizes.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 23 (1999)
Issue (Month): 9 (September)
Pages: 1331-1355

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Handle: RePEc:eee:jbfina:v:23:y:1999:i:9:p:1331-1355

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References

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Citations

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Cited by:
  1. : Arie E. Gozluklu, 2012. "Pre-Trade Transparency and Informed Trading an Experimental Approach to Hidden Liquidity," Working Papers wpn12-05, Warwick Business School, Finance Group.
  2. Beltran, Helena & Durré, Alain & Giot, Pierre, 2009. "Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext," Global Finance Journal, Elsevier, vol. 20(1), pages 80-97.
  3. Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques) 2005014, Université catholique de Louvain, Département des Sciences Economiques.
  4. Degryse, H.A., 1996. "The total cost of trading Belgian shares: Brussels versus London," Discussion Paper 1996-105, Tilburg University, Center for Economic Research.
  5. Gajewski, Jean-Francois & Gresse, Carole, 2007. "Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2906-2924, September.
  6. Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics.
  7. Nielsson, Ulf, 2009. "Stock exchange merger and liquidity: The case of Euronext," Journal of Financial Markets, Elsevier, vol. 12(2), pages 229-267, May.
  8. Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004. "Volatility regimes and the provisions of liquidity in order book markets," Discussion Papers (ECON - Département des Sciences Economiques) 2005015, Université catholique de Louvain, Département des Sciences Economiques.
  9. Marco Pagano, 1998. "The Changing Microstructure of European Equity Markets," CSEF Working Papers 04, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  10. Frey, Stefan & Sandås, Patrik, 2009. "The impact of iceberg orders in limit order books," CFR Working Papers 09-06, University of Cologne, Centre for Financial Research (CFR).
  11. Viswanathan, S. & Wang, James J. D., 2002. "Market architecture: limit-order books versus dealership markets," Journal of Financial Markets, Elsevier, vol. 5(2), pages 127-167, April.
  12. Degryse, H.A., 1996. "Competition between auction and dealerships markets: Brussels versus London," Open Access publications from Tilburg University urn:nbn:nl:ui:12-72563, Tilburg University.

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