Order preferencing and market quality on US equity exchanges

• 成果类型: Article
• 署名作者: Peterson, MA; Sirri, ER
• 署名单位: Southern Illinois University System; Southern Illinois University; Babson College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhg009
• 发表日期: 2003
• 页码: 385
• 关键词: information; price; execution; DECISION; spreads; Dealers; COSTS; FLOW

摘要

We present a detailed view of market quality in the presence of preferencing arrangements. A unique dataset provides the opportunity to measure trading costs of marketable orders and fill rates and ex post costs of limit orders across trading venues. For market orders, we find the primary exchange provides the lowest execution costs. However, the preferencing exchanges are no worse than, and in most cases better than, the nonpreferencing regional exchanges. For limit orders, the regionals execute limit orders more frequently than the primary market and with an ex post execution cost that is not very different from the primary market.