Fersiynau electronig

Dangosydd eitem ddigidol (DOI)

This paper studies the upstairs market of the Stock Exchange Trading System (SETS) of the London Stock Exchange (LSE). We hypothesise that the implicit interaction between the upstairs and the downstairs markets at the LSE alters the pricing mechanism at the upstairs market. We show that market makers employ “cluster undercutting” practices in the upstairs market, which are based on a notional minimum price increment and resemble an anchoring-and-adjustment effect. In particular, we report that liquidity providers consistently buy just below the implicit minimum price increment and consistently sell just above it. This finding is strongly related to stock-price momentum and periods of increased trade intensity. Overall, this effect has only a weak connection to differences in informed trading and is mostly related to the notional price barriers and resistance levels introduced by the minimum tick size of the order book.
Iaith wreiddiolSaesneg
Tudalennau (o-i)37-46
CyfnodolynInternational Review of Financial Analysis
Dyddiad ar-lein cynnar12 Rhag 2013
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - Maw 2014
Gweld graff cysylltiadau