RT Article
T1 Market Fairness: The Poor Country Cousin of Market Efficiency
JF Journal of business ethics
VO 147
IS 1
SP 5
OP 23
A1 Aitken, Michael J.
A1 Aspris, Angelo
A1 Foley, Sean
A1 de B. Harris, Frederick H.
LA English
PB Springer Science + Business Media B. V
YR 2018
UL https://www.ixtheo.de/Record/178566316X
AB 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.
K1 Government Policy and Regulation
K1 G28 Financial Institutions and Services
K1 Algorithmic trading
K1 Information leakage
K1 Manipulation
K1 Market fairness
K1 Market quality
DO 10.1007/s10551-015-2964-y