Splitting Orders in Fragmented Markets

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 01-059/2

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets
• Subject: Wertpapierhandel ; Börse ; Börsenmakler ; Anlageverhalten ; Marktmikrostruktur ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Menkveld, Bert
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/85881
• Last update: 10.03.2025, 11:43 AM CET