Is the London Market Competitive? A Study of Trading Behavior of London Market Makers

European Financial Management Association Meetings (EFMA) (Archive) Pub Date : 2000-12-01 DOI:10.2139/ssrn.246457

Rosita P. Chang, Chunlin Liu, S. Rhee

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引用次数: 7

Abstract

A Study of Trading Behavior of London Market Makers Abstract This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of trading activities of different market makers for a sample of FTSE-100 component stocks. Specifically, the relations studied between market shares of individual market makers and their price- and quantity-setting behavior, preferenced trading activities, and trading profitability infer the competitiveness of the London market. The results show that market makers can obtain relative larger shares of public order flows through posting more competitive prices with greater quote depths. No evidence is found to support that preferenced trading distort the market shares of trading among market makers because it is limited to small-sized trades. However, this study does suggest that those market makers who takes more trading risks are not only rewarded with larger market shares of public order flows but also compensated with higher spread profit margins. The overall findings from the study indicate that the LSE is a competitive dealership market.

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伦敦市场竞争激烈吗?伦敦做市商交易行为研究

摘要本研究以富时100指数成分股为样本，以不同做市商的交易活动为基础，考察伦敦证券交易所(LSE)的竞争力。具体而言，通过研究个体做市商的市场份额与其定价定量行为、偏好交易活动和交易盈利能力之间的关系，可以推断出伦敦市场的竞争力。结果表明，做市商可以通过报价深度越大、价格越有竞争力来获得相对较大的公共订单流量份额。没有证据支持优先交易扭曲了做市商之间交易的市场份额，因为它仅限于小规模交易。然而，本研究确实表明，那些承担更多交易风险的做市商不仅可以获得更大的公共订单流市场份额，还可以获得更高的点差利润率。研究的总体结果表明，伦敦经济学院是一个竞争激烈的经销商市场。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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European Financial Management Association Meetings (EFMA) (Archive)

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