Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57356 
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dc.contributor.authorGrammig, Joachim G.en
dc.contributor.authorTheissen, Eriken
dc.date.accessioned2012-04-20T17:09:14Z-
dc.date.available2012-04-20T17:09:14Z-
dc.date.issued2011-
dc.identifier.piurn:nbn:de:hebis:30-91466en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2011/03en
dc.subject.jelG10en
dc.subject.ddc330en
dc.subject.keywordInternalizationen
dc.subject.keywordExecution Qualityen
dc.subject.keywordAdverse Selection Costsen
dc.subject.stwWertpapierhandelen
dc.subject.stwElektronisches Handelssystemen
dc.subject.stwAktienmarkten
dc.subject.stwBid-Ask Spreaden
dc.subject.stwAdverse Selectionen
dc.subject.stwTheorieen
dc.subject.stwDeutschlanden
dc.titleIs BEST really better? Internalization of orders in an open limit order book-
dc.typeWorking Paperen
dc.identifier.ppn645939501en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:201103en

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