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...
| Κύριοι συγγραφείς: | ; ; ; |
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| Τύπος μέσου: | Ηλεκτρονική πηγή Άρθρο |
| Γλώσσα: | Αγγλικά |
| Έλεγχος διαθεσιμότητας: | HBZ Gateway |
| Journals Online & Print: | Φόρτωση...
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| Fernleihe: | Fernleihe für die Fachinformationsdienste |
| Έκδοση: |
Springer Science + Business Media B. V
2018
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| Στο/Στη: |
Journal of business ethics
Έτος: 2018, Τόμος: 147, Τεύχος: 1, Σελίδες: 5-23 |
| Άλλες λέξεις-κλειδιά: | B
Algorithmic trading
B Χειραγώγηση B G28 Financial Institutions and Services B Market fairness B Market quality B Government Policy and Regulation B Information leakage |
| Διαθέσιμο Online: |
Volltext (lizenzpflichtig) |
| Σύνοψη: | 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. |
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| ISSN: | 1573-0697 |
| Περιλαμβάνει: | Enthalten in: Journal of business ethics
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| Persistent identifiers: | DOI: 10.1007/s10551-015-2964-y |