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Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges

Citations

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Cited by:

  1. Gajewski, Jean-François & Quéré, Bertrand ¨P., 2013. "A Comparison of the Effects of Earnings Disclosures on Information Asymmetry: Evidence from France and the U.S," The International Journal of Accounting, Elsevier, vol. 48(1), pages 1-25.
  2. Ryan J. Davies, 2001. "Matching and the Estimated Impact of Inter-listing (updated July 2003)," ICMA Centre Discussion Papers in Finance icma-dp2001-11, Henley Business School, Reading University, revised Jun 2003.
  3. Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
  4. Clapham, Benjamin & Gomber, Peter & Lausen, Jens & Panz, Sven, 2021. "Liquidity provider incentives in fragmented securities markets," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 16-38.
  5. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  6. Uwe Helmes & Julia Henker & Thomas Henker & Tom Smith, 2017. "Effect of the ban on short selling on market prices and volatility," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 727-757, September.
  7. repec:dau:papers:123456789/295 is not listed on IDEAS
  8. Hendershott, Terrence & Moulton, Pamela C., 2011. "Automation, speed, and stock market quality: The NYSE's Hybrid," Journal of Financial Markets, Elsevier, vol. 14(4), pages 568-604, November.
  9. Ahmad Al-Haji, "undated". "Are Small Stocks Illiquid? An Examination Of Liquidity-Improving Events," Review of Socio - Economic Perspectives 202068, Reviewsep.
  10. Jondeau, Eric & Lahaye, Jérôme & Rockinger, Michael, 2015. "Estimating the price impact of trades in a high-frequency microstructure model with jumps," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 205-224.
  11. Maria Kasch‐Haroutounian & Erik Theissen, 2009. "Competition between Exchanges: Euronext versus Xetra," European Financial Management, European Financial Management Association, vol. 15(1), pages 181-207, January.
  12. Jorge I Canales Kriljenko, 2004. "Foreign Exchange Market Organization in Selected Developing and Transition Economies; Evidence from a Survey," IMF Working Papers 2004/004, International Monetary Fund.
  13. Nielsson, Ulf, 2009. "Stock exchange merger and liquidity: The case of Euronext," Journal of Financial Markets, Elsevier, vol. 12(2), pages 229-267, May.
  14. Daniëls, Tijmen R. & Dönges, Jutta & Heinemann, Frank, 2013. "Crossing network versus dealer market: Unique equilibrium in the allocation of order flow," European Economic Review, Elsevier, vol. 62(C), pages 41-57.
  15. Blonski, Matthias & von Lilienfeld-Toal, Ulf, 2008. "Excess returns and the distinguished player paradox," Center for European, Governance and Economic Development Research Discussion Papers 78, University of Goettingen, Department of Economics.
  16. Davies, Ryan J. & Kim, Sang Soo, 2009. "Using matched samples to test for differences in trade execution costs," Journal of Financial Markets, Elsevier, vol. 12(2), pages 173-202, May.
  17. repec:dau:papers:123456789/3017 is not listed on IDEAS
  18. Charlie X. Cai & Jeffrey H. Harris & Robert S. Hudson & Kevin Keasey, 2015. "Informed Trading and Market Structure," European Financial Management, European Financial Management Association, vol. 21(1), pages 148-177, January.
  19. Blau, Benjamin M., 2018. "Does religiosity affect liquidity in financial markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 19(C), pages 72-83.
  20. repec:dau:papers:123456789/4018 is not listed on IDEAS
  21. Bessembinder, Hendrik & Venkataraman, Kumar, 2004. "Does an electronic stock exchange need an upstairs market?," Journal of Financial Economics, Elsevier, vol. 73(1), pages 3-36, July.
  22. Hu, Gang, 2009. "Measures of implicit trading costs and buy-sell asymmetry," Journal of Financial Markets, Elsevier, vol. 12(3), pages 418-437, August.
  23. Lefebvre, J.J.G., 2011. "Essays on the regulation and microsrtucture of equity markets," Other publications TiSEM c9cdd9ab-6d98-423d-bb8f-b, Tilburg University, School of Economics and Management.
  24. Barakat, Ahmed & Chernobai, Anna & Wahrenburg, Mark, 2014. "Information asymmetry around operational risk announcements," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 152-179.
  25. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
  26. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  27. Salim Chahine, 2006. "Differential Interpretations, Private Information and Trading Volume Around French Firms' Good News vs. Bad News Preliminary Announcements," European Accounting Review, Taylor & Francis Journals, vol. 15(3), pages 403-429.
  28. Olaf Korn & Paolo Krischak & Erik Theissen, 2019. "Illiquidity transmission from spot to futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1228-1249, October.
  29. He, Yan & Wu, Chunchi, 2006. "Is stock price rounded for economic reasons in the Chinese markets?," Global Finance Journal, Elsevier, vol. 17(1), pages 119-135, September.
  30. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
  31. G. Wuyts, 2007. "Stock Market Liquidity.Determinants and Implications," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 279-316.
  32. Owain ap Gwilym & Evamena Alibo, 2003. "Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(7), pages 647-659, July.
  33. Qin Lei & Murli Rajan & Xuewu Wang, 2012. "An empirical analysis of corporate insiders' trading performance," China Finance Review International, Emerald Group Publishing, vol. 2(3), pages 246-264, June.
  34. Rudy De Winne & Christophe Majois, 2003. "A comparison of alternative spread décomposition models on Euronext Brussels," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 46(4), pages 91-136.
  35. Gajewski, Jean-François & Li, Li, 2015. "Can Internet-based disclosure reduce information asymmetry?," Advances in accounting, Elsevier, vol. 31(1), pages 115-124.
  36. Orlowski, Lucjan T., 2015. "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, Elsevier, vol. 25(C), pages 3-9.
  37. Kobana Abukari & Isaac Otchere, 2020. "Has stock exchange demutualization improved market quality? International evidence," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 901-934, October.
  38. Yu Chuan Huang & Jian‐Hsin Chou, 2007. "Order Imbalance and Its Impact on Market Performance: Order‐driven vs. Quote‐driven Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1596-1614, November.
  39. Jenwittayaroje, Nattawut & Charoenwong, Charlie & Ding, David K. & Yang, Yung Chiang, 2015. "Trading costs on the Stock Exchange of Thailand," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 31-40.
  40. Knill, April M. & Lee, Bong Soo & Mauck, Nathan, 2012. "Sovereign wealth fund investment and the return-to-risk performance of target firms," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 315-340.
  41. Stephan Meyer & Martin Wagener & Christof Weinhardt, 2015. "Politically Motivated Taxes in Financial Markets: The Case of the French Financial Transaction Tax," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(2), pages 177-202, April.
  42. Maximilian Wehrmann & Nico Zengeler & Uwe Handmann, 2021. "Observation Time Effects in Reinforcement Learning on Contracts for Difference," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 14(2), pages 1-15, January.
  43. 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.
  44. repec:got:cegedp:78 is not listed on IDEAS
  45. Olga Dodd & Christodoulos Louca, 2012. "International Cross-Listing and Shareholders’ Wealth," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 49-86, March - J.
  46. Jean-François Gajewski & Li Li, 2015. "Can Internet-Based Disclosure Reduce Information Asymmetry?," Post-Print halshs-01497381, HAL.
  47. Bourghelle, David & Declerck, Fany, 2004. "Why markets should not necessarily reduce the tick size," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 373-398, February.
  48. Ravi Kashyap, 2016. "A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes," Papers 1602.00839, arXiv.org, revised Jul 2019.
  49. Voicu-Dorobantu Roxana & Marinoiu Ana Maria, 2009. "The Impact Of The Internet On Trading – A Theoretical Approach On The Investor," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 257-260, May.
  50. Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3335-3350.
  51. Patricia Chelley Steeley & Brian Lucey, 2008. "The Microstructure of the Irish Stock Market," Multinational Finance Journal, Multinational Finance Journal, vol. 12(3-4), pages 279-311, September.
  52. Huang, Yu Chuan, 2004. "The market microstructure and relative performance of Taiwan stock index futures: a comparison of the Singapore exchange and the Taiwan futures exchange," Journal of Financial Markets, Elsevier, vol. 7(3), pages 335-350, June.
  53. Alex Frino & Stephen Satchell & Brad Wong & Hui Zheng, 2013. "How much does an Illegal Insider Trade?," International Review of Finance, International Review of Finance Ltd., vol. 13(2), pages 241-263, June.
  54. Bryant, Henry L. & Haigh, Michael S., 2002. "Bid-Ask Spreads In Commodity Futures Markets," Working Papers 28587, University of Maryland, Department of Agricultural and Resource Economics.
  55. Gousgounis, Eleni & Onur, Esen, 2018. "The effect of pit closure on futures trading," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 69-90.
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