全球智库信息集成服务系统(G2TT): DP5587 Native-Migrant Differences in Risk Attitudes

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP5587
	DP5587 Native-Migrant Differences in Risk Attitudes
	Klaus F. Zimmermann; Holger Bonin; Amelie Constant; Konstantinos Tatsiramos
发表日期	2006-03-27
出版年	2006
语种	英语
摘要	We study changes in liquidity following the introduction of a new electronic limit order market when, prior to its introduction, trading is centralized in a single limit order market. We also study how automation of routing decisions and trading fees affect the relative liquidity of rival markets. The theoretical analysis yields three main predictions: (i) consolidated depth is larger in the multiple limit order markets environment, (ii) consolidated bid-ask spread is smaller in the multiple limit order markets environment and (iii) the liquidity of the entrant market relative to that of the incumbent market increases with the level of automation for routing decisions (the proportion of 'smart routers'). We test these predictions by studying the rivalry between the London Stock Exchange (entrant) and Euronext (incumbent) in the Dutch stock market. The main predictions of the model are supported.
主题	Financial Economics
关键词	Market fragmentation Centralized limit order book Smart routers Trading fees Trade-throughs
URL	https://cepr.org/publications/dp5587
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/534441
推荐引用方式 GB/T 7714	Klaus F. Zimmermann,Holger Bonin,Amelie Constant,et al. DP5587 Native-Migrant Differences in Risk Attitudes. 2006.