Is There a Link Between Quote Competition and Order Flows?(Report)
International Journal of Business 2007, Fall, 12, 4
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Publisher Description
ABSTRACT This paper investigates the link between the quotes made by market makers and the order flows they receive. Using data from the London Stock Exchange, it is shown that quotes and trades are closely related despite the heavy presence of preferenced orders. Specifically, market makers receive relatively more buy (sell) orders when they change the quotes by posting only the best ask (bid) price or when they stop posting the best bid (ask), and they receive balanced orders when they post the best quotes or neither. Moreover, the fewer market makers there are that post the best quotes, the more unbalanced the orders will be that each one receives. The link between quote and trades is most pronounced in trades of medium or large sizes.
GENRE
Business & Personal Finance
RELEASED
2007
22 September
LANGUAGE
EN
English
LENGTH
35
Pages
PUBLISHER
Premier Publishing, Inc.
SELLER
The Gale Group, Inc., a Delaware corporation and an affiliate of Cengage Learning, Inc.
SIZE
299.2
KB
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