Click or Call? Auction versus Search in the Over-the-Counter Market

• 成果类型: Article
• 署名作者: Hendershott, Terrence; Madhavan, Ananth
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12164
• 发表日期: 2015
• 页码: 419-447
• 关键词: corporate bond market; liquidity; COSTS; TRANSPARENCY; intermediation; INFORMATION; UPSTAIRS

摘要

Over-the-counter (OTC) markets dominate trading in many asset classes. Will electronic trading displace traditional OTC voice trading? Can electronic and voice systems coexist? What types of securities and trades are best suited for electronic trading? We study these questions by focusing on an innovation in electronic trading technology that enables investors to simultaneously search many bond dealers. We show that periodic one-sided electronic auctions are a viable and important source of liquidity even in inactively traded instruments. These mechanisms are a natural compromise between bilateral search in OTC markets and continuous double auctions in electronic limit order books.