Trading and pricing in upstairs and downstairs stock markets

• 成果类型: Article
• 署名作者: Booth, GG; Lin, JC; Martikainen, T; Tse, Y
• 署名单位: Michigan State University; Michigan State University's Broad College of Business; Louisiana State University System; Louisiana State University; Aalto University; University of Texas System; University of Texas at San Antonio
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/15.4.1111
• 发表日期: 2002
• 页码: 1111
• 关键词: autoregressive time-series; LARGE-BLOCK TRANSACTIONS; cointegration; security; hypothesis; components; direction; trades

摘要

We provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market. Using Helsinki Stock Exchange data, we find that upstairs trades tend to have lower information content and lower price impacts than downstairs trades. This is consistent with the hypotheses that the upstairs market is better at pricing uninformed liquidity trades and that upstairs brokers can give better prices to their customers if they know the unexpressed demands of other customers. We find that these economic benefits depend on price discovery occurring in the downstairs market.