Equity Trading in the 21st Century: An Update

IF 0.9 Q3 BUSINESS, FINANCE
James Angel, L. Harris, Chester Spatt
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引用次数: 111

Abstract

This paper updates our previous study, "Equity Trading in the 21st Century", which presented results about US equity market quality. Despite many complaints in the national media, various measures of market quality indicate that US markets continue to be very healthy. Trade transaction cost estimates have stayed low and market depth and execution speeds remained high. New findings that measure the total transaction cost of executing very large block orders indicate that improvements in market quality also have benefited large institutional traders. While still high, both the number of quotes per trade and per minute have declined substantially from their peaks in 2008. Intraday volatility is below the levels of the pre-electronic 1990s. Although market quality is quite good, it could be enhanced. We discuss some current concerns about maker/taker pricing, dark pools, high frequency trading, tick sizes, designated dealers, transaction taxes, IPOs, and market stability.
21世纪的股票交易:最新进展
本文更新了我们之前的研究“21世纪的股票交易”,该研究提出了有关美国股票市场质量的结果。尽管国内媒体有许多抱怨,但各种市场质量指标表明,美国市场仍然非常健康。贸易交易成本估算保持在较低水平,市场深度和执行速度保持在较高水平。衡量执行非常大的大宗订单的总交易成本的新发现表明,市场质量的改善也使大型机构交易者受益。虽然仍然很高,但每笔交易和每分钟的报价数量都已从2008年的峰值大幅下降。日内波动率低于上世纪90年代电子货币出现之前的水平。虽然市场质量很好,但还有待提高。我们讨论了当前对制造商/接受者定价、暗池、高频交易、交易规模、指定交易商、交易税、ipo和市场稳定性的一些担忧。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
发文量
0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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