Market Fairness: The Poor Country Cousin of Market Efficiency
Both fairness and efficiency are important considerations in market design and regulation, yet many regulators have neither defined nor measured these concepts. We develop an evidencebased policy framework in which these are both defined and measured using a series of empirical proxies. We then buil...
| Authors: | ; ; ; |
|---|---|
| Format: | Electronic Article |
| Language: | English |
| Check availability: | HBZ Gateway |
| Journals Online & Print: | Drawer...
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| Fernleihe: | Fernleihe für die Fachinformationsdienste |
| Published: |
Springer Science + Business Media B. V
2018
|
| In: |
Journal of business ethics
Year: 2018, Volume: 147, Issue: 1, Pages: 5-23 |
| Further subjects: | B
Algorithmic trading
B G28 Financial Institutions and Services B Market fairness B Market quality B Manipulation B Government Policy and Regulation B Information leakage |
| Online Access: |
Volltext (lizenzpflichtig) |
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| 520 | |a Both fairness and efficiency are important considerations in market design and regulation, yet many regulators have neither defined nor measured these concepts. We develop an evidencebased policy framework in which these are both defined and measured using a series of empirical proxies. We then build a systems estimation model to examine the 2003–2011 explosive growth in algorithmic trading (AT) on the London Stock Exchange and NYSE Euronext Paris. Our results show that greater AT is associated with increased transactional efficiency and reduced information leakage in top quintile stocks. For less liquid stocks, manipulation at the close declines. We also document the tradeoff between reduced spreads and increased manipulation or information leakage following the introduction of MiFID1. | ||
| 650 | 4 | |a Government Policy and Regulation | |
| 650 | 4 | |a G28 Financial Institutions and Services | |
| 650 | 4 | |a Algorithmic trading | |
| 650 | 4 | |a Information leakage | |
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| 650 | 4 | |a Market fairness | |
| 650 | 4 | |a Market quality | |
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| 700 | 1 | |a de B. Harris, Frederick H. |e VerfasserIn |4 aut | |
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| STB | 0 | 0 | |a Manipulation |
| STC | 0 | 0 | |a Manipulación |
| STD | 0 | 0 | |a Manipolazione |
| STE | 0 | 0 | |a 心理操纵,操控 |
| STF | 0 | 0 | |a 心理操縱,操控 |
| STG | 0 | 0 | |a Manipulação |
| STH | 0 | 0 | |a Манипуляция |
| STI | 0 | 0 | |a Χειραγώγηση |
| SYE | 0 | 0 | |a Verhaltensmanipulation |