期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 100, 期 3, 页码 459-474出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2011.02.006
关键词
Market microstructure; Security market regulation; Market efficiency
We examine how fragmentation is affecting market quality in US equity markets. We use newly available trade reporting facilities (TRFs) data to measure fragmentation, and we use a variety of empirical approaches to compare execution quality and efficiency of stocks with more and less fragmented trading. We find that fragmentation affects all stocks; more fragmented stocks have lower transactions costs and faster execution speeds; and fragmentation is associated with higher short-term volatility but greater market efficiency, in that prices are closer to being a random walk. Our results that fragmentation does not appear to harm market quality are consistent with US markets being a single virtual market with multiple points of entry. (C) 2011 Published by Elsevier B.V.
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