【毕业设计外文翻译用----金融市场微观结构外文文献】angel-weaver00priority.pdf

文档介绍：Priority Rules!
by
James J. Angel, .
etown University
Room G4 Old North
Washington, . 20057
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Daniel G. Weaver, .
Zicklin School of Business
Baruch College
17 Lexington Avenue/ Box E-0621
New York, NY 10010
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Current version: November, 1998
We thank the Toronto Stock Exchange for providing funding for as well as the
data used in this study. We thank Tim Baikie, Jon Cockerline, and Wendy Rudd of the
TSE for ments and suggestions.
Priority Rules!
Abstract
The primary difference between continuous market mechanisms is in the priority rules that they
use to match buyers and sellers. In most markets price takes precedence, but if two or more
parties are willing to pay the same price, then various markets use different secondary priority
rules to break such ties. These rules can have a major impact on the performance of a
financial market. We develop a model that examines price and petition under two
different priority rule systems. The model predicts that price/time priority rule systems will foster
petition. The model also predicts that a secondary priority rule of pro-rata sharing
provides incentives for petition. We test these hypotheses on a sample of 402
Toronto Stock Exchange stocks that had their secondary priority rule changed from time to
pro-rata sharing. We find results consistent with a decrease in petition and an
increase in petition, as predicted by the model. We also find that for a sub-sample of
48 stocks that were cross-listed in the ., the TSE increased its market share following the
rule change. However, this increase was probably due to brokers supporting a rule change for
which they had lobbied, rather than order flow migrating to a preferred trading environment.
Priority Rules!
Introduction
One of the important, yet overlooked areas in financial econom