选择太多:分散的股票市场中市场份额的决定因素

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.2023.100816

Peter Gomber , Satchit Sagade , Erik Theissen , Moritz Christian Weber , Christian Westheide

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引用次数: 0

摘要

我们分析了股票市场中不同交易机制交易量的决定因素，使用了来自欧洲市场的广泛面板数据集，包括公共限价订单、看涨拍卖、暗池、内部化平台和场外交易市场。市场份额是由投资者的指令路由决策所产生的，其驱动因素包括交易场所提供的即时性和匿名性程度、它们提供场外执行的能力，以及市场的信息环境和条件。小型和大型交易的结果明显不同，可能是因为交易者共同选择交易规模和场所类型。

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Spoilt for choice: Determinants of market shares in fragmented equity markets

We analyze the determinants of the trading volumes of different trading mechanisms in equity markets using an extensive panel data set from European markets comprising public limit order books, call auctions, dark pools, internalization platforms, and the over-the-counter market. Market shares, resulting from investors’ order routing decisions, are driven by the degree of immediacy and anonymity offered by the venues, their ability to offer off-tick executions, as well as the informational environment and conditions in the market. Findings for small and large trades are distinctly different, likely because traders jointly choose trade size and venue type.

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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.