Do inventories matter in dealership markets? Evidence from the London Stock Exchange

• 成果类型: Article
• 署名作者: Hansch, O; Naik, NY; Viswanathan, S
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of London; London Business School; Duke University; University of London; Birkbeck University London
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00067
• 发表日期: 1998
• 页码: 1623-1656
• 关键词: TRANSACTION PRICES; foreign-exchange; ODD-8TH QUOTES; makers; trades; TRANSPARENCY; COMPETITION; liquidity; ask

摘要

Using London Stock Exchange data, we test the central implication of the canonical model of Ho and Stoll (1983) that relative inventory differences determine dealer behavior. We find that relative inventories explain which dealers obtain large trades and show that movements between best ask, best bid, and straddle are highly correlated with both standardized and relative inventory changes. We show that the mean reversion in inventories is highly nonlinear and increasing in inventory levels. We show that a key determinant of variations in interdealer trading is inventories and that interdealer trading plays an important role in managing large inventory positions.