Trading mechanisms and market quality: Limit-order books versus dealership markets

被引：2
作者：
Xing, Xiaochuan [1 ]
Xue, Yi [2 ]
机构：
[1] Yale Univ, Dept Econ, New Haven, CT 06520 USA
[2] Univ Int Business & Econ, Sch Int Trade & Econ, Huixin Dongjie 10, Beijing 100029, Peoples R China
来源：
ECONOMICS LETTERS | 2017年 / 154卷
基金：
中国国家自然科学基金;
关键词：
Limit order; Dealership; Trading mechanism; Market quality; BID-ASK SPREAD; INFORMATION; MAKERS;
D O I：
10.1016/j.econlet.2017.02.022
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We compare the market quality of the dealer market and limit order book (LOB) market in a unified framework. We find that, in terms of liquidity and gains from trade, dealer market performs better when the order size is small, while LOB market performs better when the order size is large. A competitive hybrid market where the dealer marker and the LOB market compete with each other dominates the two pure markets. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码：35 / 44
页数：10
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