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Article Dans Une Revue European Financial Management Année : 2006

The Effect of Crossing Network Trading on Dealer Market's Bid-Ask Spreads

Carole Gresse
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Résumé

This article provides new insights into market competition between traditional exchanges and alternative trading systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity of a traditional dealer market (DM) by comparing data from the SEAQ quote-driven segment of the London Stock Exchange (LSE) and internal data from the POSIT crossing network. A cross-sectional analysis of bid-ask spreads shows that DM spreads are negatively related to CN executions. Risk-sharing benefits from CN trading dominate fragmentation and cream-skimming costs. Further, risk-sharing gains are found to be related to dealer trading in the CN.
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Dates et versions

halshs-00145266 , version 1 (09-05-2007)

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  • HAL Id : halshs-00145266 , version 1

Citer

Carole Gresse. The Effect of Crossing Network Trading on Dealer Market's Bid-Ask Spreads. European Financial Management, 2006, 12 (2), pp.143-160. ⟨halshs-00145266⟩
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