Splitting Orders in Fragmented Markets Evidence from Cross-Listed Stocks
نویسنده
چکیده
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais et al. (2000), a phenomenon increasingly witnessed in modern markets. The key assumption generating the results is that there is at least one liquidity demander exploiting access to all markets by optimally splitting orders across markets. This paper seeks to test this assumption in a natural experiment involving Dutch stocks that are traded both in Amsterdam and New York. The results confirm the presence of rational, order splitting traders. This explains the increased volume and relatively large and persistent price changes for the overlapping period. a) Tinbergen Institute, Erasmus University Rotterdam Visiting Researcher GSB Stanford University JEL Codes: G1, G15, G14, G12 Address correspondence, preferably via E-mail, to Albert J. Menkveld, Erasmus University Rotterdam, Tinbergen Institute, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands, phone: + 31 10 4088900, fax: + 31 10 4089031, E-mail: [email protected]. I am particularly grateful to Marshall Blume for our stimulating discussions. Gratefully acknowledged is the support from the Tinbergen Institute, KLM Royal Dutch Airlines, the Rodney L. White Center at the Wharton School, the Graduate School of Business at Stanford University, the IIE for a Fulbright grant, the Amsterdam Exchanges and the NYSE. Financial support is gratefully acknowledged from the D.N. Chorafas Foundation, Erasmus Center for Financial Research, Fundatie van de Vrijvrouwe van Renswoude, Moret Fonds, Stichting Dr Hendrik Muller's Vaderlandsch Fonds, Stichting Fonds voor de Gelden Effectenhandel, Stichting Hoogeschool-fonds, Stichting Organisatie van Effectenhandelaren te Rotterdam.
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تاریخ انتشار 2001