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  6. Who Trades With Whom, and When?

Who Trades With Whom, and When?

File(s)
Moulton17_Who_trades_with_whom_and_when.pdf (82.14 KB)
Permanent Link(s)
https://hdl.handle.net/1813/71335
Collections
SHA Working Papers
Author
Moulton, Pamela
Abstract

This paper examines empirically how market participants meet on the NYSE to form trades. Pure floor trades, involving only floor brokers and the specialist, account for only 4% of trading volume in the average stock, while pure system trades, involving only orders submitted electronically, account for 50% and floor and system interaction trades account for 46% of trading volume in the average stock. Market quality analysis reveals that pure system trades involving automatic execution are the most informative, while floor- initiated interaction trades also have high information content. This study offers insight into how market design affects the interaction of liquidity supply and demand and resulting market quality.

Date Issued
2006-06-09
Keywords
trades
•
brokers
•
volume
•
market analysis
Rights
Required Publisher Statement: Copyright held by the author.
Type
preprint

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