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| Author: | Conrad, J. Johnson, K. M. Wahal, S. |
| Title: | Institutional trading and alternative trading systems |
| Journal: | Journal of Financial Economics
2003 : OCT, VOL. 70:1, p. 99-134 |
| Index terms: | Institutional economics Trading companies Networks |
| Freeterms: | Execution costs |
| Language: | eng |
| Abstract: | The authors analyze the use of alternative trading systems in a large sample of institutional orders and the trades that constitute these orders. Proprietary data allow us to distinguish between orders and trades filled by day and after-hours crossing systems, electronic communication networks, and traditional brokers. Controlling for variation in order and security characteristics, as well as endogeneity in the choice of trading vanue, they find that realized execution costs are generally lower on alternative trading systems. Order handling rules and tick size changes implemented in 1997 appear to have reduced the cost advantage of trading on ECNs. |
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