Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/85881 
Autor:innen: 
Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 01-059/2
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by optimally splitting orders across markets. This paper seeks to test this assumnption ina natural experiment involving Dutch stocks that are traded both in Amsterdam and New York. Theresults confirm the presence of rational, order splitting traders. This explains the increased volumeand relatively large and persistent price changes for the overlapping period.
JEL: 
G1
G12
G14
G15
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
167.14 kB





Publikationen in EconStor sind urheberrechtlich geschützt.