与股票交易商交易的成本与收益：系统内部化者的案例

IF 2.1 3区经济学 Q2 BUSINESS, FINANCE

European Financial Management Pub Date : 2023-05-30 DOI:10.1111/eufm.12430

Fatemeh Aramian, Lars L. Nordén

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引用次数: 0

摘要

系统性内部交易商是由投资公司运营的单一交易商平台，通过将交易所之外的交易内部化，从自己的库存中进行交易。我们分析了交易商市场份额和交易成本的决定因素。我们发现，与交易所交易相比，交易商交易对价格的影响较小，这与不明真相的交易商寻求交易商交易是一致的。由于交易商有能力避免与知情投资者进行交易，因此当价差较大且交易量不受约束时，交易商往往会压低交易所的买卖价差。因此，与交易所相比，交易商可以提供更低的交易成本，获得更高的市场份额。

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Costs and benefits of trading with stock dealers: The case of systematic internalizers

Systematic internalizers are single-dealer platforms run by investment firms that trade out of their own inventories by internalizing the trades off exchanges. We analyze the determinants of dealers' market shares and trading costs. We find that dealer trades have lower price impacts than exchange trades, consistent with uninformed traders seeking out dealers. Due to their ability to avoid trading with informed investors, dealers often undercut the exchange bid–ask spread when the spread is wide and the tick size is not binding. Dealers can therefore offer lower trading costs and gain a higher market share relative to exchanges.

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来源期刊

European Financial Management BUSINESS, FINANCE-

CiteScore

4.30

自引率

18.20%

发文量

期刊介绍： European Financial Management publishes the best research from around the world, providing a forum for both academics and practitioners concerned with the financial management of modern corporation and financial institutions. The journal publishes signficant new finance research on timely issues and highlights key trends in Europe in a clear and accessible way, with articles covering international research and practice that have direct or indirect bearing on Europe.