haku: @indexterm share prices / yhteensä: 1009
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| Tekijä: | O'Hara, M. Ye, M. |
| Otsikko: | Is market fragmentation harming market quality? |
| Lehti: | Journal of Financial Economics
2011 : JUN, VOL. 100:3 p. 459-474 |
| Asiasana: | market research efficiency USA stock markets share prices |
| Kieli: | eng |
| Tiivistelmä: | This research paper investigates how fragmentation is affecting market quality in US equity markets. Trade reporting facilities (TRFs) data is used to measure fragmentation, and a variety of empirical approaches are used to compare execution quality and efficiency of stocks with more and less fragmented trading. It is found that fragmentation affects all stocks; more fragmented stocks have lower transactions costs and faster execution speeds; and fragmentation is related to higher short-term volatility but greater market efficiency, in that prices are closer to being a random walk. |
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