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Alternative trading systems' impacts on depth and informed trading.

机译：替代交易系统对深度交易和知情交易的影响。

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摘要

This study investigates the impact of Alternative Trading Systems (ATS) on depth and the probability of informed trading (PIN). The probability of informed trading and VNET, a metric of depth that determines the net directional volume necessary to induce a price change or return, are estimated for volume-matched samples of New York Stock Exchange (NYSE) and Nasdaq listed firms. Trade and quote data are obtained for two time periods before, and two time periods following, the introduction of trading in decimals on January 29, 2001 and April 19, 2001 for the NYSE and Nasdaq, respectively. The data are used to estimate VNET and the probability of informed trading through time for the NYSE and Nasdaq matched portfolios, separating the impact of decimalization on VNET and the probability of informed trading. Estimates of the immediate effect of decimalization on market depth show VNET decreased on the NYSE from pre-decimalization 2001 to post-decimalization 2001. However, decimalization caused no immediate impact on depth on the Nasdaq. Over the year following decimalization, VNET increased on the Nasdaq, but decreased on the NYSE.; The impact of ATS on depth for Nasdaq listed companies has been significant. Higher proportions of quote activity through ECNs are related to increased depth. On the other hand, higher proportions of trading through SelectNet are related to decreased depth and increased spreads.; I find a positive relationship exists between the probability of informed trading and the proportion of trades from SOES and SelectNet, and a negative relationship with ECN quotation activity. Therefore, informed traders' decisions of order execution venue are partially determined by differences in trading protocol between ECNs, SOES, and SelectNet.; Estimates of the probability of informed trading for matched portfolios of NYSE and Nasdaq listed companies suggest that adverse selection costs are lower on the NYSE.
机译：这项研究调查了替代交易系统（ATS）对深度的影响以及知情交易的可能性（PIN）。对于纽约证券交易所（NYSE）和纳斯达克上市公司的数量匹配样本，估计了知情交易和VNET的概率，VNET是确定引起价格变动或回报所必需的净定向量的深度度量。分别在2001年1月29日和2001年4月19日对纽约证交所和纳斯达克实行小数交易之前和之后的两个时期，分别获得交易和报价数据。该数据用于估计VNET以及纽约证券交易所和纳斯达克匹配投资组合随时间进行的知情交易的可能性，从而分离了十进制对VNET的影响和知情交易的可能性。十进制对市场深度的即时影响的估计表明，纽约证券交易所的VNET值从2001年十进制前到2001年十进制后下降。但是，十进制对纳斯达克市场的深度没有立即影响。在小数点后的一年中，纳斯达克市场的VNET有所增加，但纽约证券交易所的则有所下降。 ATS对纳斯达克上市公司的深度影响很大。通过ECN进行报价活动的比例较高与深度增加有关。另一方面，通过SelectNet进行的交易比例越高，则与深度的减少和点差的增加有关。我发现，知情交易的概率与来自SOES和SelectNet的交易比例之间存在正相关关系，而与ECN报价活动之间存在负相关关系。因此，知情交易者对订单执行地点的决定部分取决于ECN，SOES和SelectNet之间交易协议的差异。对纽约证券交易所和纳斯达克上市公司相匹配投资组合进行知情交易的可能性的估计表明，纽约证券交易所的逆向选择成本较低。

著录项

  • 作者

    Strother, Timothy Shawn.;

  • 作者单位

    The University of Tennessee.;

  • 授予单位 The University of Tennessee.;
  • 学科 Business Administration Accounting.; Economics Finance.
  • 学位 Ph.D.
  • 年度 2003
  • 页码 168 p.
  • 总页数 168
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财务管理、经济核算;财政、金融;
  • 关键词

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