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| Author: | Friedrich, S. Payne, R. |
| Title: | Dealer liquidity in an auction market: Evidence from the London Stock Exchange |
| Journal: | Economic Journal
2007 : JUL, VOL. 117:522, p. 1168-1191 |
| Index terms: | liquidity market share risk management stock exchanges trading |
| Language: | eng |
| Abstract: | The determinants of market share of a continuous auction trading system at the London Stock Exchange, such as trade characteristics and market conditions, are explored in this paper. The execution venue choice is found to be based on information and execution risks, and the findings also suggest strong commonality in the market share of the order book across stocks. The results imply that some of the 'stabilization' functions are performed voluntarily by off-book liquidity suppliers. |
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