Vestigial Tails: Floor Brokers at the Close in Modern Electronic Markets
| Autor: | Dermot Murphy, Edwin Hu |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Flexibility (engineering)
History Polymers and Plastics media_common.quotation_subject Closing (real estate) TheoryofComputation_GENERAL Monetary economics Industrial and Manufacturing Engineering Competition (economics) Closing Volume Common value auction Quality (business) Business Business and International Management Listing (finance) Welfare media_common |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3600230 |
| Popis: | We study closing auction market quality on NYSE versus Nasdaq. Closing auctions now account for 10% of average volume, and trading is near-exclusive to the listing exchange. NYSE auction participants have more flexibility to submit and cancel orders through NYSE floor brokers. As a result, closing auction information is incomplete and closing price efficiency is worse on NYSE. Closing auction quality improved when NYSE halted floor trading during the COVID-19 pandemic. The reduced auction quality may not be justified by the flexibility to submit late orders. The higher broker fees and lack of closing volume competition raise additional welfare concerns. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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