Floor versus screen trading: Evidence from the German stock market

被引：15
|
作者：
Theissen, E [1 ]
机构：
[1] Univ Bonn, D-53113 Bonn, Germany
来源：
JOURNAL OF INSTITUTIONAL AND THEORETICAL ECONOMICS-ZEITSCHRIFT FUR DIE GESAMTE STAATSWISSENSCHAFT | 2002年 / 158卷 / 01期
关键词：
D O I：
10.1628/0932456022975484
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We analyze the transaction costs in floor and computerized trading systems. In Germany, floor and screen trading for the same stocks exist in parallel. Bid-ask spreads are not generally lower in one trading system, but the electronic trading system is less attractive for less liquid stocks. This is confirmed by an analysis of the market shares. Spreads in the electronic trading system are more sensitive to changes in return volatility, and the adverse-selection component is larger. We argue that these differences are due to differing degrees of anonymity and discuss implications for the design of electronic trading systems.
引用
收藏
页码：32 / 54
页数：23
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