Automation, speed, and stock market quality: The NYSE's Hybrid

Journal of Financial Markets - Tập 14 - Trang 568-604 - 2011
Terrence Hendershott1, Pamela C. Moulton2
1Haas School of Business, University of California, 545 Student Services Building #1900, Berkeley, CA 94720, USA
2School of Hotel Administration, Cornell University, 435A Statler Hall, Ithaca, NY 14853, USA

Tài liệu tham khảo

Alizadeh, 2002, Range-based estimation of stochastic volatility models, Journal of Finance, 57, 1047, 10.1111/1540-6261.00454

Back, 2007, Working orders in limit-order markets and floor exchanges, Journal of Finance, 62, 1589, 10.1111/j.1540-6261.2007.01252.x

Barclay, 2003, Price discovery and trading after hours, Review of Financial Studies, 16, 1041, 10.1093/rfs/hhg030

Barclay, 2003, Competition among trading venues: information and trading on electronic communication networks, Journal of Finance, 58, 2637, 10.1046/j.1540-6261.2003.00618.x

Baruch, 2005, Who benefits from an open limit-order book?, Journal of Business, 78, 1267, 10.1086/430860

Battalio, 2007, Reputation effects in trading on the New York Stock Exchange, Journal of Finance, 62, 1243, 10.1111/j.1540-6261.2007.01235.x

Battalio, 2003, All else equal? A multi-dimensional analysis of retail market order execution quality, Journal of Financial Markets, 6, 143, 10.1016/S1386-4181(02)00043-5

Benveniste, 1992, What's so special about the specialist?, Journal of Financial Economics, 32, 61, 10.1016/0304-405X(92)90025-S

Bessembinder, 2003, Issues in assessing trade execution costs, Journal of Financial Markets, 6, 233, 10.1016/S1386-4181(02)00064-2

Boehmer, 2005, Dimensions of execution quality: recent evidence for U.S. equity markets, Journal of Financial Economics, 78, 463, 10.1016/j.jfineco.2004.11.002

Boehmer, 2007, Public disclosure and private decisions: equity market execution quality and order routing, Review of Financial Studies, 20, 315, 10.1093/rfs/hhl011

Boehmer, 2009, Institutional investors and the informational efficiency of prices, Review of Financial Studies, 22, 3563, 10.1093/rfs/hhp028

Boehmer, 2005, Lifting the veil: an analysis of pre-trade transparency at the NYSE, Journal of Finance, 60, 783, 10.1111/j.1540-6261.2005.00746.x

Bunge, J., 2009. NYSE adjusts charges in bid to draw traders. Wall Street Journal, February 3, C5.

Chan, 1993, Bid-ask spread and market structure, Financial Analysts Journal, 57, 10.2469/faj.v49.n4.57

Foucault, 2005, Limit order book as a market for liquidity, Review of Financial Studies, 18, 1171, 10.1093/rfs/hhi029

Foucault, 2003, Market making with costly monitoring: an analysis of the SOES controversy, Review of Financial Studies, 16, 345, 10.1093/rfs/hhg005

Glosten, 1989, Insider trading, liquidity, and the role of the monopolist specialist, Journal of Business, 62, 211, 10.1086/296460

Goettler, 2009, Informed traders and limit order markets, Journal of Financial Economics, 93, 67, 10.1016/j.jfineco.2008.08.002

Handa, 2004, The economic value of a trading floor: evidence from the American Stock Exchange, Journal of Business, 77, 331, 10.1086/381279

Harris, 1996, Market vs. limit orders: the SuperDOT evidence on order submission strategy, Journal of Financial and Quantitative Analysis, 31, 213, 10.2307/2331180

Hasbrouck, 1991, Measuring the information content of stock trades, Journal of Finance, 46, 179, 10.2307/2328693

Hasbrouck, 1991, The summary informativeness of stock trades: an econometric analysis, Review of Financial Studies, 4, 571, 10.1093/rfs/4.3.571

Hasbrouck, 1993, Assessing the quality of a security market: a new approach to transaction-cost measurement, Review of Financial Studies, 6, 191, 10.1093/rfs/6.1.191

Hasbrouck, 1993, The trades of market-makers: an analysis of NYSE specialists, Journal of Finance, 48, 1565, 10.2307/2329060

Jain, 2005, Financial market design and the equity premium: electronic versus floor trading, Journal of Finance, 60, 2955, 10.1111/j.1540-6261.2005.00822.x

Jones, 1994, Information, trading, and volatility, Journal of Financial Economics, 36, 127, 10.1016/0304-405X(94)90032-9

Keynes, 1936

Leach, 1993, Price experimentation and security market structure, Review of Financial Studies, 6, 375, 10.1093/rfs/6.2.375

Lee, 1991, Inferring trade direction from intraday data, Journal of Finance, 46, 733, 10.2307/2328845

Madhavan, 1997, In search of liquidity: block trades in the upstairs and downstairs markets, Review of Financial Studies, 10, 175, 10.1093/rfs/10.1.175

Madhavan, 1993, An analysis of daily changes in specialist inventories and quotations, Journal of Finance, 48, 1595, 10.2307/2329061

Moulton, P., 2006. Who trades with whom? Cornell University Working Paper.

NYSE Group, 2006a. Hybrid Market training program. Booklet available online at: 〈https://www.nyse.com/pdfs/hm_booklet.pdf〉.

NYSE Group, 2006b. NYSE Hybrid FAQ. Document available online at: 〈http://exchanges.nyse.com/archives/2006/09/faqs_updated.php〉.

NYSE Group, 2007. NYSE completes Hybrid Market phase III activation. Press release available online at: 〈http://www.nyse.com/pdfs/HybridPhaseIV1.24.07.pdf〉.

Pastor, 2003, Liquidity risk and expected stock returns, Journal of Political Economy, 111, 642, 10.1086/374184

Rosu, 2009, A dynamic model of the limit order book, Review of Financial Studies, 22, 4601, 10.1093/rfs/hhp011

The Economist, 2007a. Marketplaces on the move, September 13.

The Economist, 2007b. Ahead of the tape, June 21.

Thompson, 2011, Simple formulas for standard errors that cluster by both firm and time, Journal of Financial Economics, 99, 1, 10.1016/j.jfineco.2010.08.016

Tobin, 1969, A general equilibrium approach to monetary theory, Journal of Money, Credit and Banking, 1, 15, 10.2307/1991374

Venkataraman, 2001, Automated versus floor trading: an analysis of execution costs on the Paris and New York Exchanges, Journal of Finance, 56, 1445, 10.1111/0022-1082.00375

Werner, 2003, NYSE order flow, spreads, and information, Journal of Financial Markets, 6, 309, 10.1016/S1386-4181(02)00066-6