全国证券交易商协会自动报价的竞争与市场结构

YoungSook Kim, Vikas Mehrotra
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引用次数: 5

摘要

本文研究了美国证券交易协会自动报价市场(NASDAQ)的市场结构、交易成本和竞争之间的关系。特别是,我们解决了以下问题:纳斯达克交易商是否行使市场权力并在设定买卖价差中提取经济租金?占主导地位的经销商的市场支配力有多持久?我们估计租金约为8.76美分,或0.54%的股票价格。整个样本的这种租金持续的半衰期约为20个月,而较年轻的股票的半衰期往往比较成熟的股票短。我们的研究结果支持舒尔茨的观点:纳斯达克交易商只为那些在获取订单流和信息方面具有竞争优势的股票做市。做市商可能需要一段时间才能对现有的占主导地位的做市商构成有效竞争。与此同时,现有的做市商能够行使市场支配力,似乎赚取了异常丰厚的利润。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Competition and Market Structure of National Association of Securities Dealers Automated Quotations
In this paper, we study the relation among market structure, trading costs, and competition in National Association of Securities Dealers Automated Quotations (NASDAQ). In particular, we address the following questions: Do NASDAQ dealers exercise market power and extract economic rents in setting bid-ask spread? How persistent is the market power of dominant dealers? Our estimate of the rent is approximately ¢8.76, or 0.54% of stock price. The half-life of the persistence of this rent is approximately 20 months for the entire sample, while the half-life of younger stocks tend to be shorter than those of more mature stocks. Our result supports Schultz: NASDAQ dealers make markets only for stocks where they have competitive advantages in accessing order flow and in information. It might take a while before a market maker poses effective competition to existing dominant market makers. In the meantime, incumbent market makers are able to exercise market power and appear to earn abnormally large profits.
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