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Trading costs of public investors with obligatory and voluntary market-making: Evidence from market reforms. (2004). Naik, Narayan Y. ; Yadav, Pradeep K..
In: CFR Working Papers.
RePEc:zbw:cfrwps:0406.

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  1. Liquidity Constraints and Investment Opportunities: New Evidence from Large and Small Businesses in the UK. (2013). Gregoriou, Andros.
    In: International Journal of the Economics of Business.
    RePEc:taf:ijecbs:v:20:y:2013:i:2:p:269-279.

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  2. Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. (2011). KOSTAKIS, ALEXANDROS ; Florackis, Chris ; Gregoriou, Andros.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3335-3350.

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  3. Stock liquidity and investment opportunities: New evidence from FTSE 100 index deletions. (2010). Gregoriou, Andros ; Nguyen, Ngoc Dung .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:267-274.

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  4. Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading. (2009). Park, Andreas ; Malinova, Katya.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-358.

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  5. The Market Quality of Dealer versus Hybrid Markets: The Case of Moderately Liquid Securities. (2007). Lai, Hungneng.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:34:y:2007:i:1-2:p:349-373.

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  6. The Market Quality of Dealer versus Hybrid Markets: The Case of Moderately Liquid Securities. (2007). Lai, Hung-Neng .
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:34:y:2007-01:i:1-2:p:349-373.

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  7. Reputation-based pricing and price improvements. (2005). Foucault, Thierry ; Desgranges, Gabriel.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:57:y:2005:i:6:p:493-527.

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References

References cited by this document

  1. A set of important changes made by the LSE in October 1986, known as the Big Bang, made transaction prices and quotes more transparent, allowed dual capacity trading, abolished fixed commissions and liberalised the entry of foreign firms. However, the Big Bang retained the pure dealership nature of the market. While quote display systems were computerised, the trade execution function was not automated.
    Paper not yet in RePEc: Add citation now
  2. Amihud, Y, H Mendleson, 1987, âTrading mechanisms and stock returns â an empirical investigationâ, Journal of Finance, 42, 533-555.
    Paper not yet in RePEc: Add citation now

  3. Amihud, Y, H Mendleson, 1991, âVolatility, efficiency and trading â evidence from the Japanese stock marketâ, Journal of Finance, 46, 1765-1789.

  4. B. Nature of Market Reforms In October 1997, the exchange introduced a fundamental shift in the nature of the market by replacing the quote-driven manual trade execution system to an order-driven electronic trade execution system SETS interacting with a network of dealers. In the new order-driven system, buyers and sellers could post limit orders or pick limit orders electronically (through their broker or a member firm), and they could also trade with dealers functioning as voluntary liquidity suppliers. Since order-driven systems seem to work better for liquid stocks, the change was introduced initially for the hundred highest market permission from the regulatory authorities in that country.
    Paper not yet in RePEc: Add citation now
  5. Barclay, M, 1997, âBid Ask Quotes and the avoidance of odd-eighths quotes on NASDAQ: An examination of Exchange Listingsâ, Journal of Financial Economics, 45, 35-60.
    Paper not yet in RePEc: Add citation now

  6. Barclay, M, W Christie, J Harris, E Kandel and P Schultz, 1999, âThe Effects of Market Reform on the Trading Costs and Depths of NASDAQ stocksâ, Journal of Finance 54, 1-34.

  7. Berkman, H, 1996, âLarge option trades, market makers, and limit ordersâ, Review of Financial Studies, 9, 977-1002.
    Paper not yet in RePEc: Add citation now
  8. Bernhardt, D and E Hughson, 1997, âSplitting ordersâ, Review of Financial Studies, 10, 69-102 Bessembinder, H, 1997, âThe degree of Price Resolution and Equity Trading Costsâ, Journal of Financial Economics, 45, 9-34.
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  9. Bessembinder, H, 1998, âTrade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparisionâ, NYSE Working Paper 98-03, New York Stock Exchange, New York.
    Paper not yet in RePEc: Add citation now

  10. Board, J., and C. Sutcliffe, 1995, âThe Effects of Trade Transparency in the London Stock Exchange: A Summaryâ, working paper, London School of Economics, UK.

  11. Chan, L and J Lakonishok, 1993, Institutional Trades and Intra-Day Stock Price Behavior, Journal of Financial Economics, Vol 33, No 2 (April), 173-200.
    Paper not yet in RePEc: Add citation now

  12. Chan, L and J Lakonishok, 1997, Institutional Equity Trading Costs: NYSE versus NASDAQaq, Journal of Finance, Vol 52, No 2 (June), 713-35.

  13. Christie, W and P Schultz, 1994, âWhy do NASDAQaq market makers avoid odd-eighth quotes? Journal of Finance 49, 1813-1840.
    Paper not yet in RePEc: Add citation now

  14. Christie, W and R Huang, 1994 âMarket Structures and Liquidity: A Transactions data study of Exchange Listingsâ, Journal of Financial Intermediation, 3, 300-326.

  15. Christie, W, J Harris, and P Schultz, 1994, âWhy did NASDAQaq market makers stop avoiding oddeighth quotes? Journal of Finance 49, 1841-1860.

  16. Demarchi M and T Foucault 1998, âEquity Trading Systems in Europeâ, working paper SBF-Bourse de DeJong, F, T Nijman, A Roell, 1995, âA comparison of the cost of trading French shares on the Paris Bourse and on SEAQ Internationalâ, European Economic Review, 39, 1277-1302.
    Paper not yet in RePEc: Add citation now
  17. Domowitz I and B Steil, 1999, âAutomation, Trading Costs, and the Structure of the Securities Trading Industryâ, Brokings-Wharton Paper on Financial Services, Wharton School.
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  18. Easley, D, N M Kiefer, and M OâHara, (1997), âOne day in the life of a very common stockâ, Review of Financial Studies, 1997, 10, 3, 805-836.
    Paper not yet in RePEc: Add citation now
  19. Edwards, M and W Wagner, 1993, Best Execution, Financial Analysts Journal, Vol 49, No 1 (January/February), 65-71.
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  20. Gemmill, G (1996), Transparency and liquidity: A study of block trading on the London Stock Exchange under different trading rules, Journal of Finance 51, 1765-1790.

  21. Glosten, L and P Milgrom (1985), âBid ask and transaction prices in a specialist market with heterogeneously informed agentsâ, Journal of Financial Economics 14, 71-100.

  22. Hansch, O, N Y Naik and S Viswanathan (1998), Do inventories matter in dealership markets? Evidence from the London Stock Exchange, Journal of Finance 53, 1623-1656.

  23. Hansch, O, N Y Naik and S Viswanathan (1999), Preferencing, internalization, best execution and dealer profits, forthcoming Journal of Finance, October issue.

  24. Harris, L and J Hasbrouck (1996), âMarket versus Limit Orders: The SuperDOT evidence on order submission strategyâ, Journal of Financial and Quantitative Analysis 31, 2, 213-231.

  25. Historically, both individual/institutional traders have no earlier experience of supplying liquidity through limit orders, and, with about 60% of all order flow in the old system being There is strong interest among regulators, practitioners, exchange members and market participants in analysing whether these expected benefits have materialised (see London Financial News, 5 October 1998).
    Paper not yet in RePEc: Add citation now
  26. Huang, R D and H R Stoll (1996), âDealer versus auction markets: a paired comparison of execution costs on NASDAQAQ and the NYSEâ, Journal of Financial Economics, Vol 41, No 3, 313-357.
    Paper not yet in RePEc: Add citation now

  27. Keim, D B and A Madhavan, 1995, Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Trades, Journal of Financial Economics, 37, no 3, 371-98.

  28. Keim, D B and A Madhavan, 1996, The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects, Review of Financial Studies, 9, no 1, 1-36.

  29. Keim, D B and A Madhavan, 1997, Transaction Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity Trades, Journal of Financial Economics, Vol 46, no 3, 265-92.

  30. Large institutional US investors were apparently not happy with the lack of transparency in the London market making system since it appears they were paying higher trading costs relative to domestic institutional traders. This is clear, for example, from the April 1999 newsletter of thePlexus Group, and the background note circulated by Global Investor for their July 1999 roundtable discussion in London on institutional trading.
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  31. Many European Exchanges introduced changes in their trading systems to make themselves more competitive: TSA by Amsterdam Stock Exchange in 1994; SWX by the Swiss Exchange in 1995; XETRA by Deutsche Borse AG in 1997; and NSC by the Paris Bourse in 1996 (see Demarchi and Foucault, 1998).
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  32. Markets Analysis, published periodically by the London Stock Exchange32 , provides salient descriptive statistics on London market trading. Several descriptive features highlighted in these statistical charts and reports, and observed by us in our sample, are important from the perspective of this paper. First, on the basis of market value, and also the number of bargains, the relative percentage of trading in SETS stocks taking place through the order book is significant and growing, varying from about 35% in the first month (October/November 1997) to over 50% at the end of 1999. The average daily value traded through the order book in London has been 643 million in 1997, 830 million in 1998 and 1318 million in 1999. The average daily number of order book bargains has been 10,820 in 1997, 14,174 in 1998 and 20,360 in 1999. In our view, the proportion of order flow through SETS is remarkably high in the context of two factors, one historical and one institutional.
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  33. Naik, N Y and P K Yadav (1999), Execution Costs and Order Flow Characteristics in Dealership Markets: Evidence from the London Stock Exchangeâ, Working Paper, London Business School and University of Strathclyde.
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  34. Naik, N Y, A Neuberger and S. Viswanathan, 1999, âTrade Disclosure Regulation in Markets with Negotiated Tradesâ, London Business School working paper, forthcoming Review of Financial Studies.
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  35. Pagano, M. and A. Roell, 1990, âTrading systems in European stock exchanges â current performance and policy optionsâ, Economic Policy, 5, 65-115.
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  36. Perold A and E Sirri, 1993, The Cost of International Equity Trading, Working Paper, Harvard University.
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  37. Reiss, P and I Werner, 1995, âTransactions costs in dealer markets, Evidence from the London Stock Exchangeâ, in Andrew Lo ed., The Industrial Organization and Regulation of Securities Industry (University of Chicago press, Chicago, Ill) Reiss, P and I Werner, 1998, Does risk sharing motivate inter-dealer trading?â Journal of Finance 53, 1657-1704.
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  38. Reiss, P and I Werner, 1999, âAdverse Selection, Anonymity and Inter-dealer Trade Typeâ Working paper Graduate School of Business, Stanford University.
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  39. See Pagano and Roell (1990) and De Jong et. al., (1995) for comparison of quoted and inside spreads across LSE and European exchanges. Also see Werner and Kleidon (1996) for the analysis of UK and US trading of British cross-listed stocks.
    Paper not yet in RePEc: Add citation now
  40. Sofianos, G (1995), âSpecialist gross trading revenues at the New York Stock Exchangeâ, Working Paper, New York Stock Exchange, New York.
    Paper not yet in RePEc: Add citation now
  41. Stoll, H R and R E Whaley, 1990, âStock Market Structure and Volatilityâ, Review of Financial Studies, 3, pp 37-71.
    Paper not yet in RePEc: Add citation now
  42. This article allowed European markets to enrol remote members in other EU countries without securing Market participants and researchers started comparing costs of trading the same stocks across different exchanges27 . Although LSE served well the needs of large domestic institutional investors through its high depth28 , it was widely perceived as a market with high trading costs for small retail investors and this high cost was attributed to the dealership nature of the market29 . Since LSE and NASDAQ were the two main dealer markets in equities, the controversies created by the collusion allegations on NASDAQ (Christie and Schultz (1994), Christie, Harris and Schultz (1994)) added to the popular perception that LSE market makers were profiting unduly from the dealership system. And amid all these developments, LSE was perceived to be sitting still rather than doing something about the changed market conditions in the nineties.
    Paper not yet in RePEc: Add citation now

  43. Tonks, I and A Snell (1995), Determinants of price quote revisions on the London Stock Exchange, Economic Journal 105, No 428, 77-94.

  44. Werner, I. and A. Kleidon (1996) âUK and US trading of British cross-listed stocks: An intraday analysis of market integrationâ, Review of Financial Studies 9, 619-654. APPENDIX 1 Brief Description of Market Reforms & Salient Features of Post-Reform Trading A. Brief History The London equity market had always been a pure dealership quote driven market.

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    RePEc:eee:japwor:v:7:y:1995:i:3:p:263-290.

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  47. Futures trading in less noisy markets. (1995). Webb, Robert I..
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:7:y:1995:i:2:p:155-173.

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  48. International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States. (1995). Rogers, John ; Kim, Sang W..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:2:y:1995:i:2:p:117-133.

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  49. Market closure and predictability of intradaily stock returns in the United States and Japan. (1995). Lin, Wen-Ling .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:2:y:1995:i:1:p:19-44.

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  50. Daily distribution of Swedish OMX-index returns over intraday-to-intraday time intervals. (1994). Norden, Lars.
    In: Finnish Economic Papers.
    RePEc:fep:journl:v:7:y:1994:i:1:p:3-16.

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