Splitting Orders in Fragmented Markets
AbstractA number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by optimally splitting orders across markets. This paper seeks to test this assumnption ina natural experiment involving Dutch stocks that are traded both in Amsterdam and New York. Theresults confirm the presence of rational, order splitting traders. This explains the increased volumeand relatively large and persistent price changes for the overlapping period.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 01-059/2.
Date of creation: 19 Jun 2001
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Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-07-13 (All new papers)
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