| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4727 |
| 来源ID | Working Paper 4727 |
| Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange | |
| Peter C. Reiss; Ingrid M. Werner | |
| 发表日期 | 1994-05-01 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | This paper describes regularities in the intraday spreads and prices quoted by dealers on the London Stock Exchange. It develops a measure of spread-related transaction costs, one that recognizes dealers' willingness to price trades within their quoted spreads. This measure of transaction costs shows that trading costs are systematically related to a trade's size, characteristics of the trading counterparties, and security characteristics. Customers pay the full spread on small trades while medium to large trades receive more favorable execution. Market makers only discount very large customer trades while dealers regularly discount medium to large trades. Inter-dealer trades generally receive favorable execution, and discounts increase in size. Market makers do not discount trades with each other over the phone, but do discount when trading anonymously using inter-dealer-brokers. Quoted and touch spreads are falling in the number of market makers. The rate of decline is interpreted as reflecting economies of scale in market making. |
| 主题 | Econometrics ; Financial Economics |
| URL | https://www.nber.org/papers/w4727 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562124 |
| 推荐引用方式 GB/T 7714 | Peter C. Reiss,Ingrid M. Werner. Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange. 1994. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4727.pdf（620KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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