Institutional trading and alternative trading systems

• 成果类型: Article
• 署名作者: Conrad, J; Johnson, KM; Wahal, S
• 署名单位: Emory University; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00143-0
• 发表日期: 2003
• 页码: 99-134
• 关键词: Alternative trading systems; execution costs; electronic communications networks; crossing systems; Institutional trading

摘要

We analyze the use of alternative trading systems in a large sample of institutional orders and the trades that constitute these orders. Proprietary data allow us to distinguish between orders and trades filled by day and after-hours crossing systems, electronic communication networks (ECNs), and traditional brokers. Controlling for variation in order and security characteristics, as well as endogeneity in the choice of trading venue, we find that realized execution costs are generally lower on alternative trading systems. Order handling rules and tick size changes implemented in 1997 appear to have reduced the cost advantage of trading on ECNs. (C) 2003 Elsevier B.V. All rights reserved.