Competing on Speed

• 成果类型: Article
• 署名作者: Pagnotta, Emiliano S.; Philippon, Thomas
• 署名单位: Imperial College London; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR); Center for Economic & Policy Research (CEPR)
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10762
• 发表日期: 2018
• 页码: 1067-1115
• 关键词: the-counter markets; trading volume; asset markets; liquidity; QUALITY; entry; search

摘要

We analyze trading speed and fragmentation in asset markets. In our model, trading venues make technological investments and compete for investors who choose where and how much to trade. Faster venues charge higher fees and attract speed-sensitive investors. Competition among venues increases investor participation, trading volume, and allocative efficiency, but entry and fragmentation can be excessive, and speeds are generically inefficient. Regulations that protect transaction prices (e.g., Securities and Exchange Commission trade-through rule) lead to greater fragmentation. Our model sheds light on the experience of European and U.S. markets since the implementation of Markets in Financial Instruments Directive and Regulation National Markets System.