دانلود مقاله ISI انگلیسی شماره 13131
عنوان فارسی مقاله

اتوماسیون، سرعت و کیفیت بازار سهام در NYSE's Hybrid

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
13131 2011 37 صفحه PDF سفارش دهید محاسبه نشده
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عنوان انگلیسی
Automation, speed, and stock market quality: The NYSE's Hybrid
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Financial Markets, Volume 14, Issue 4, November 2011, Pages 568–604

کلمات کلیدی
اتوماسیون - نقدینگی - سرعت - شفافیت - زمان تاخیر - انتخاب نامساعد -
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چکیده انگلیسی

Automation and trading speed are increasingly important aspects of competition among financial markets. Yet we know little about how changing a market's automation and speed affects the cost of immediacy and price discovery, two key dimensions of market quality. At the end of 2006 the New York Stock Exchange introduced its Hybrid Market, increasing automation and reducing the execution time for market orders from 10 seconds to less than one second. We find that the change raises the cost of immediacy (bid-ask spreads) because of increased adverse selection and reduces the noise in prices, making prices more efficient.

نتیجه گیری انگلیسی

The NYSE’sintroductionofitsHybridMarketincreasesautomationandspeedsup electronictradingbyanorderofmagnitude:Theexecutiontimeformarketordersdrops from 10secondstolessthanonesecond.WeshowthattheHybridMarketraisesthecost of immediacy(theeffectivespread)byabout10%relativetoitspre-Hybridlevelandthat this increaseisattributabletohigheradverseselection.Theincreaseinadverseselectionis accompaniedbyinformationbeingincorporatedintopricesmoreefficiently. Price efficiencyisapublicgoodthatcaninformcorporateinvestmentandfinancing decisions.Afastermarketcanalsoenhancewelfarebyreducingrisk-aversetraders’ uncertaintyabouttheprobabilityandpriceatwhichexecutionmayoccur.Furthermore, faster tradingcanfacilitatemorecomplextradingstrategies. The costofimmediacyisazero-sumtransferfromliquiditydemanderstoliquidity suppliers.Calculatingtheaggregatewelfareeffectsofchangesinthecostofimmediacyin marketswithheterogeneousmarketparticipantsrequiresastructuralmodelwith numerousassumptionsabouttraders’utilitiesandstrategies.Ifalltradersfollowthe same strategiesbeforeandafterHybrid’sintroduction,theadverse-selection-driven increaseinthecostofimmediacyimpliestransfersfromuninformedtoinformedtraders. Greaterlossesbyuninformedtraderscanhinderrisk-sharing.However,ifHybridlowers the costofinformationacquisitionandmoreextremeprivate-valuetraderschooseto become informed,thenrisk-sharingcouldbeenhanced.Thepotentialpositiveandnegative welfareimpactsofchangesinthecostofimmediacyprecludesharpdeterminationsofthe overallwelfareimpactofincreasingexecutionspeed. The SEC’sgoalwithRegNMSistoenhancecompetitionbetweenmarkets.Byallowing faster marketstoignoreslowermarkets’quotes,RegNMS’sOrderProtection(trade- through) Ruleeffectivelyprecludestraditionalfloortradingbecausehumaninteractionis too slow.ThelaudablegoalsofRegNMSareto‘‘giveinvestors,particularlyretail investors,greaterconfidencethattheywillbetreatedfairlywhentheyparticipateinthe equity markets’’andto‘‘promotedeepandstablemarketsthatminimizeinvestor transactioncosts,’’(SEC, 2005). Increasingthespeedofexecutionandtheefficiencyof prices likelygivesinvestorsgreaterconfidenceoffairtreatment,butthemovetofaster electronictradingraisesthecostofimmediacyviaadverseselection.Thusitmaybe challengingtomeetbothoftheSEC’sgoals.

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