Market maker performance: The search for fair weather market makers

被引：2

作者：

Board, JLG ^{[1
]}

Sutcliffe, CMS

Vila, AF

机构：

[1] Univ London London Sch Econ & Polit Sci, Financial Markets Grp, London WC2A 2AE, England

[2] Univ London London Sch Econ & Polit Sci, Dept Accounting & Finance, London WC2A 2AE, England

[3] Univ Southampton, Sch Management, Accounting & Finance Div, Southampton, Hants, England

[4] Bank England, Markets & Trading Syst Div, London, England

来源：

JOURNAL OF FINANCIAL SERVICES RESEARCH | 2000年 / 17卷 / 03期

关键词：

market making; London Stock Exchange; bid-ask spreads; internalization; order preferencing;

D O I：

10.1023/A:1008102803467

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The London Stock Exchange has long been concerned that some market makers do not fulfill their obligations. This study describes a range of measures to identify such fair weather market makers. The results indicate that three firms of market makers meet the criteria for fair weather market making. It is also discovered that market makers in a given stock all quote the same fixed spread in round pennies and that this is about twice the touch. Internalized order flow is pervasive, with market makers receiving 57% of their order flow from associated brokers. However, fair weather market making is found to be distinct from order preferencing and internalization.

引用

页码：259 / 276

页数：18

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