Automation versus intermediation: Evidence from treasuries going off the run

• 成果类型: Article
• 署名作者: Barclay, Michael J.; Hendershott, Terrence; Kotz, Kenneth
• 署名单位: University of Rochester; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.01061.x
• 发表日期: 2006
• 页码: 2395-2414
• 关键词: EMPIRICAL-ANALYSIS; UPSTAIRS MARKET; INFORMATION; liquidity; trades

摘要

This paper examines the choice of trading venue by dealers in U.S. Treasury securities to determine when services provided by human intermediaries are difficult to replicate in fully automated trading systems. When Treasury securities go off the run their trading volume drops by more than 90%. This decline in trading volume allows us to test whether intermediaries' knowledge of the market and its participants can uncover hidden liquidity and facilitate better matching of customer orders in less active markets. Consistent with this hypothesis, the market share of electronic intermediaries falls from 81% to 12% when securities go off the run.