Crossing networks and dealer markets: Competition and performance

• 成果类型: Article
• 署名作者: Hendershott, T; Mendelson, H
• 署名单位: University of Rochester; Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00281
• 发表日期: 2000
• 页码: 2071-2115
• 关键词: SECURITIES MARKETS; ODD-8TH QUOTES; specialist; liquidity; price; exchange; ORDERS; TRADE; ask

摘要

This paper studies the interaction between dealer markets and a relatively new form of exchange, passive crossing networks, where buyers and sellers trade directly with one another We find that the crossing network is characterized by both positive (liquidity) and negative (crowding) externalities, and we analyze the effects of its introduction on the dealer market. Traders who use the dealer market as a market of last resort can induce dealers to widen their spread and can lead to more efficient subsequent prices, but traders who only use the crossing network can provide a counterbalancing effect by reducing adverse selection and inventory holding costs.