Article (Scientific journals)
The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange
Rose, Annica
2014In Journal of Empirical Finance, 28, p. 171–184
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Keywords :
Informational effect; Upstairs market; Execution cost; Fleeting orders
Abstract :
[en] This paper investigates the informational effect of trading and market segmentation on the Australian Securities Exchange (ASX) paying particular attention to the recent phenomenon: fleeting orders.1 Confirming theoretical predictions, this study finds that permanent price effect (PPE) is significantly greater in the central limit order book (LOB) than in the upstairs market and that less informed institutional trades are routed to the upstairs market. It also finds that a well functioning upstairs market often results in lower transaction cost, higher volatility and larger trade size on the ASX. In the context of fleeting orders specifically, it finds the informational effect and market quality impact of upstairs market to be weaker after removing fleeting orders, which subsequently leads to the conclusion that recently introduced execution algorithms, which leave a trace of fleeting orders, often result in lower PPE and are mostly used my uninformed liquidity traders.
Disciplines :
Finance
Author, co-author :
Rose, Annica ;  University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)
Language :
English
Title :
The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange
Publication date :
September 2014
Journal title :
Journal of Empirical Finance
ISSN :
0927-5398
Publisher :
Elsevier Science
Volume :
28
Pages :
171–184
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBilu :
since 01 December 2014

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