{"title":"Equity Trading in the 21st Century: An Update","authors":"James Angel, L. Harris, Chester Spatt","doi":"10.1142/S2010139215500020","DOIUrl":null,"url":null,"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.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.9000,"publicationDate":"2015-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"111","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Journal of Finance","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1142/S2010139215500020","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.