The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
复制标题
交易分散对英国股票市场市场质量的影响
DOI：
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
M. Vogt
中科院分区：
文献类型：
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作者：
L. Koerber;O. Linton;M. Vogt
我们研究了 2008 年至 2011 年期间股票市场的分散化对一组 FTSE 股票交易结果质量的影响。这一时期恰逢英国股市出现剧烈动荡，其原因有多种，需要加以控制。为了实现这一目标，我们对大型异构面板使用通用的相关效应估计器。我们将此估计量扩展到分位数回归，以分析市场质量的整个条件分布。我们发现，可见订单簿中的碎片化和可见订单簿之外提供的暗交易都降低了波动性。但暗交易增加了波动性的可变性，而可见的碎片化则具有相反的效果，特别是在条件分布的上分位数处。从垄断市场到分散市场的转变是非单调的。
We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in a panel of FTSE stocks over the period 2008-2011. This period coincided with a great deal of turbulence in the UK equity markets which had multiple causes that need to be controlled for. To achieve this, we use the common correlated effects estimator for large heterogeneous panels. We extend this estimator to quantile regression to analyze the whole conditional distribution of market quality. We find that both fragmentation in visible order books and dark trading that is offered outside the visible order book lower volatility. But dark trading increases the variability of volatility, while visible fragmentation has the opposite effect in particular at the upper quantiles of the conditional distribution. The transition from a monopolistic to a fragmented market is non-monotone.