The Total Cost of Trading Belgian Shares: Brussels versus London

Autor:	Degryse, Hans
Rok vydání:	1997
Předmět:	Brussels stock exchange Cost of Trading Shares SEAQ International jel:G15
Popis:	Since 1990, London’s SEAQ International attracts considerable trading volume in Belgian equities. This paper uses transaction, quotation and limit order book data to investigate competition between the Brussels CATS market and SEAQ International. It focuses in more detail on the liquidity (indirect costs) measured by the quoted and effective bid-ask spread. CATS outweighs SEAQI for both measures. The effective spread is substantially smaller than the quoted spread. The CATS effective spread shows a U-shaped form. This is in line with the different market micro-structure models. Total trading costs on CATS are lower (higher) for small (large) trade sizes.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______645::6e6d983bad70c8b1978f97365a4e470c http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=1581 Zobrazit plný text záznamu