Market liquidity and trader welfare in multiple dealer markets: Evidence from dual trading restrictions

被引：4
|
作者：
Locke, PR
Sarkar, A
Wu, LF
机构：
[1] Commod Futures Trading Commiss, Lafayette Ctr 3, Washington, DC 20581 USA
[2] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA
[3] Calif State Univ Los Angeles, Dept Finance & Law, Los Angeles, CA 90032 USA
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1999年 / 34卷 / 01期
关键词：
D O I：
10.2307/2676246
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In the context of dual trading restrictions, we examine whether aggregate liquidity measures are appropriate indicators of trader welfare in multiple dealer markets. Consistent with our theoretical results, we show empirically that dual trading restrictions did not affect market liquidity significantly, but dual traders of above average skins may have quit brokerage and switched to trading exclusively for their own accounts following restrictions. Further, customers of these dual traders had lower trading costs in the period before restrictions relative to the trading costs of all customers after restrictions.
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页码：57 / 88
页数：32
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