【毕业设计外文翻译用----金融市场微观结构外文文献】barclay-hendershott-m01net.pdf

文档介绍：works and Market Quality
Michael J. Barclay
Terrence Hendershott
and
D. Timothy McCormick¤
First version: September 26, 2000
This version: January 22, 2001
¤ We thank Robert Battalio and seminar participants at Notre Dame University, the University of
Rochester, and the 2000 NBER Market Microstructure meeting for ments and suggestions. Bar-
clay and Hendershott are at the Simon School of Business, University of Rochester, Rochester, NY, 14627,
and can be reached at e-mail: ******@, phone: [phone], fax: [phone] and
******@, phone: [phone], fax: [phone]. McCormick is with Economic
Research, NASD, Inc., 1801 K St., NW, Washington, . 20006-1500 and can be reached at e-mail: mc-
cormit@, phone: [phone], fax: [phone]. The views expressed herein are not intended to
represent the views or o¢cial policy of The Nasdaq Stock Market, the NASD, Inc., or any NASD subsidiary.
Any errors or omissions are the responsibility of the authors alone.
works and Market Quality
Abstract
pare the execution quality of trades with market makers to trades executed on
works (ECNs). Average quoted, realized, and e¤ective
spreads are smaller for ECN trades than for market-maker trades even though ECN
trades are more informative than trades with market makers. Increased trading on
ECNs also improves most measures of overall market quality. In the cross section,
more ECN trading is associated with lower quoted, e¤ective, and realized spreads, both
overall and on trades with market makers. More ECN trading is also associated with
less quoted depth.
1 Introduction
Technological innovations that enable high-speed, low-cost electronic trading systems are dramat-
ically changing the structure of …nancial markets. Exchanges and markets around the world are
merging or forming alliances to improve liquidity and reduce costs in the face of -
petition from each other and from puterized trading sy