现代场外交易市场结构与流动性:三层故事

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-06-01 DOI:10.1016/j.finmar.2023.100815

Ryan Davis , Todd Griffith , Bonnie Van Ness , Robert Van Ness

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引用次数: 0

摘要

OTC Markets Group根据公司质量和信息披露实践，将场外交易股票(OTC)组织到三个市场(OTCQX, OTCQB和Pink)。我们研究了这些层次内的交易，发现较高层次的股票比较低层次的股票更具流动性。在对改变层级的匹配股票样本进行了一系列差异中差异检验后，我们发现，在分层市场结构中向上(向下)移动的股票的流动性改善(恶化)，这表明层级指定解决了不确定性并增加了公司的可见性。我们的研究结果表明，各层级之间的流动性差异可归因于场外交易市场结构。

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Modern OTC market structure and liquidity: The tale of three tiers

OTC Markets Group organizes stocks that trade over-the-counter (OTC) into three marketplaces (OTCQX, OTCQB, and Pink) based on firm quality and disclosure practices. We examine trading within these tiers and find that stocks in higher tiers are more liquid than stocks in lower tiers. After a series of difference-in-differences tests comparing a matched sample of stocks that change tiers, we find that liquidity improves (deteriorates) for stocks moving up (down) the tiered market structure, suggesting that the tier designations resolve uncertainty and increase firm visibility. Our results show that liquidity differences between tiers is attributable to OTC market structure.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.