Arbeitspapier
Splitting Orders in Fragmented Markets
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by optimally splitting orders across markets. This paper seeks to test this assumnption ina natural experiment involving Dutch stocks that are traded both in Amsterdam and New York. Theresults confirm the presence of rational, order splitting traders. This explains the increased volumeand relatively large and persistent price changes for the overlapping period.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 01-059/2
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
- Thema
-
Wertpapierhandel
Börse
Börsenmakler
Anlageverhalten
Marktmikrostruktur
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Menkveld, Bert
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:26 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Menkveld, Bert
- Tinbergen Institute
Entstanden
- 2001
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