场内交易重要吗？

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2024-10-28 DOI:10.1111/jofi.13401

JONATHAN BROGAARD, MATTHEW C. RINGGENBERG, DOMINIK ROESCH

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引用次数: 0

摘要

尽管算法交易现在主导着金融市场，但一些交易所仍在继续使用人工场内交易员。2020 年 3 月 23 日，纽约证券交易所因 COVID-19 暂停了场内交易。通过对场内交易关闭前后的差分分析，我们发现场内交易员是市场质量的重要贡献者。与对照股票相比，暂停场内交易导致处理股票的价差更大，定价误差也更大。为了探究这一机制，我们利用了两个具有不同特征的部分大堂重开。我们的研究结果表明，人与人之间的互动有利于有价值信息的传递，而这正是算法所缺乏的。

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Does Floor Trading Matter?

Although algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID‐19. Using a difference‐in‐differences analysis around the closure of the floor, we find that floor traders are important contributors to market quality. The suspension of floor trading leads to higher spreads and larger pricing errors for treated stocks relative to control stocks. To explore the mechanism, we exploit two partial floor reopenings that have different characteristics. Our finding suggests that in‐person human interaction facilitates the transfer of valuable information that algorithms lack.

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

期刊介绍： The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.