Trading Costs Analysis: A Comparison of Euronext Paris and the London Stock Exchange
2003; RELX Group (Netherlands); Linguagem: Inglês
10.2139/ssrn.406662
ISSN1556-5068
AutoresJean‐François Gajewski, Carole Gresse,
Tópico(s)Financial Reporting and Valuation Research
ResumoThis article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading volume, our study shows that transaction costs are lower on the centralised order book than on the hybrid order book. The presence of dealers outside the electronic order book favours the frequency of large trades, but is associated with higher execution costs for all other trades and higher adverse selection and inventory costs inside the order book.
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