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dc.contributor.authorGrammig, Joachim G.en_US
dc.contributor.authorTheissen, Eriken_US
dc.date.accessioned2012-04-20T17:09:14Z-
dc.date.available2012-04-20T17:09:14Z-
dc.date.issued2011en_US
dc.identifier.piurn:nbn:de:hebis:30-91466en_US
dc.identifier.urihttp://hdl.handle.net/10419/57356-
dc.description.abstractThis paper studies the market quality of an internalization system which is designed as part of an open limit order book (the Xetra system operated by Deutsche Börse AG). The internalization sys-tem (Xetra BEST) guarantees a price improvement over the inside spread in the Xetra order book. We develop a structural model of this unique dual market environment and show that, while adverse selection costs of internalized trades are significantly lower than those of regular order book trades, the realized spreads (the revenue earned by the suppliers of liquidity) is significantly larger. The cost savings of the internalizer are larger than the mandatory price improvement. This suggests that internalization can be profitable both for the customer and the internalizer.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2011/03en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordInternalizationen_US
dc.subject.keywordExecution Qualityen_US
dc.subject.keywordAdverse Selection Costsen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwElektronisches Handelssystemen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwBid-Ask Spreaden_US
dc.subject.stwAdverse Selectionen_US
dc.subject.stwTheorieen_US
dc.subject.stwDeutschlanden_US
dc.titleIs BEST really better? Internalization of orders in an open limit order booken_US
dc.typeWorking Paperen_US
dc.identifier.ppn645939501en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:201103-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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