Does an electronic stock exchange need an upstairs market?

Journal of Financial Economics

Volumn 73, Issue 1, 2004, Pages 3-36

  Bessembinder, Hendrik ^a   Venkataraman, Kumar ^b  

^a UNIVERSITY OF UTAH   (United States)

^b SOUTHERN METHODIST UNIVERSITY   (United States)

Author keywords

Crossing rules; Electronic exchange; Limit order book; Upstairs market

Indexed keywords

EID: 3042683140     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2003.05.005     Document Type: Article

References (42)

1. Angel J. Tick size, share price, and stock splits Journal of Finance 52 1997 655-681
2. Barclay M. Warner J. Stealth trading and volatility: Which trades move prices? Journal of Financial Economics 34 1993 281-306
3. Benveniste L.M. Marcus A.J. Wilhelm W.J. What's special about the specialist? Journal of Financial Economics 32 1992 61-86
4. Bessembinder H. Trade execution costs and market quality after decimalization Journal of Financial and Quantitative Analysis 38 2003 747-777
5. Bessembinder H. Kaufman H. A comparison of trade execution costs for NYSE and NASDAQ-listed stocks Journal of Financial and Quantitative Analysis 32 1997 287-310
6. Biais B. Hillion P. Spatt C. An empirical analysis of the limit order book and the order flow in the Paris Bourse Journal of Finance 50 1995 1655-1689
7. Booth G. Lin J. Martikainen T. Tse Y. Trading and pricing in upstairs and downstairs stock markets Review of Financial Studies 15 2001 1111-1135
8. Burdett K. O'Hara M. Building blocks: An introduction to block trading Journal of Banking and Finance 11 1987 193-212
9. Chakravarty S. Stealth trading: Which traders' trades move stock prices? Journal of Financial Economics 61 2001 289-307
10. Chan L. Lakonishok J. The behavior of stock prices around institutional trades Journal of Finance 50 1995 1147-1174
11. Demarchi, M., Foucault, T., 1999. Equity trading systems in Europe: A survey of recent changes. Unpublished working paper, SBF-Bourse de Paris and HEC.
12. Demarchi, M., Thomas, S., 1996. French institutional investors: Investment process, trading practices, and expectations. SBF-Bourse de Paris.
13. Easley D. O'Hara M. Price, trade size, and information in securities markets Journal of Financial Economics 21 1987 123-142
14. Friederich, S., Tonks, I., 2001. Competition between European equity markets: Evidence from dually traded French stocks. Unpublished working paper, Financial Market Group, London School of Economics, Universite de Paris, and University of Bristol.
15. Gemmill G. Transparency and liquidity: A study of block trading on the London Stock Exchange under different trading rules Journal of Finance 51 1996 1765-1790
16. Glosten L. Is the electronic open limit order book inevitable? Journal of Finance 49 1994 1127-1161
17. Greene W.H. Econometric Analysis 5th Edition 2000 Prentice Hall Upper Saddle River, NJ
18. Grossman S. The informational role of upstairs and downstairs markets Journal of Business 65 1992 509-529
19. Handa, P., Schwartz, R., Tiwari, A., 2004. The economic value of the Amex trading floor. Journal of Business, forthcoming.
20. Hansch O. Naik N. Viswanathan S. Do inventories matter in dealership markets? Evidence from the London Stock Exchange Journal of Finance 54 1998 1799-1828
21. Hansch O. Naik N. Viswanathan S. Best execution, internalization, preferencing, and dealer profits Journal of Finance 53 1999 1623-1656
22. Harris, L.E., 1996. Does a large minimum price variation encourage order exposure? NYSE Working Paper 96-05.
23. Hasbrouck, J., Sofianos, G., Sosebee, D., 1993. New York Stock Exchange systems and trading procedures. NYSE Working Paper 93-01.
24. Huang R. Stoll H. Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and NYSE Journal of Financial Economics 41 1996 313-357
25. Jacquillat, B., Greese, C., 1995. The diversion of order flow on French shares from the CAC market to the SEAQ International: an exercise in transaction accounting. Unpublished working paper, Universitė Paris Dauphine.
26. Keim D. Madhavan A. The upstairs market for large block transactions: analysis and measurement of price effects Review of Financial Studies 9 1996 1-36
27. Kraus A. Stoll H. Price impacts of block trading on the New York Stock Exchange Journal of Finance 27 1972 569-588
28. Lee C. Ready M.J. Inferring trade directions from intraday data Journal of Finance 46 1991 733-746
29. Maddala G. Limited Dependent and Qualitative Variables in Econometrics 1983 Cambridge University Press Cambridge, USA
30. Madhavan A. Cheng M. In search of liquidity: Block trades in the upstairs and downstairs market Review of Financial Studies 10 1997 175-203
31. New York Stock Exchange, 2003. Smart Orders Fully Automated on Trading Floor, The Exchange, February 2003, New York, NY.
32. Pagano, M., 1997. The changing microstructure of European equity markets. In: Ferrarini, G. (Ed.), The European Securities Markets: The Investment Services Directive and Beyond. Kluwer Law International, U.K., 1998.
33. Parlour C. Seppi D. Liquidity-based competition for order flow Review of Financial Studies 16 2003 301-343
34. Piwowar, M., 1997. Intermarket order flow and liquidity: a cross-sectional and time-series analysis of cross-listed securities on U.S. stock exchanges and Paris Bourse. Unpublished working paper, Pennsylvania State University.
35. Reiss P. Werner I. Transactions costs in dealer markets: Evidence from the London Stock Exchange Andrew L. The Industrial Organization and Regulation of the Securities Industry 1995 125-169 University of Chicago Press Chicago, USA
36. Reiss P. Werner I. Does risk sharing motivate interdealer trading? Journal of Finance 53 1998 1657-1703
37. Rhodes-Kropf, M., 2002. Price improvement in dealership markets. Unpublished working paper, Columbia University.
38. Saar G. Price impact symmetry of block trades: An institutional trading explanation Review of Financial Studies 14 2001 1153-1181
39. Seppi D. Equilibrium block trading and asymmetric information Journal of Finance 45 1990 73-94
40. Smith B.F. Turnbull A.S. White R.W. Upstairs markets for principal and agency trades: Analysis of adverse information and price effects Journal of Finance 56 2001 1723-1746
41. Venkataraman K. Automated versus floor trading: An analysis of execution costs on the Paris and New York exchanges Journal of Finance 56 2001 1445-1885
42. Vishwanathan S. Wang J. Market architecture: Limit-order books versus dealership markets Journal of Financial Markets 5 2002 127-168