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Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)

Gajewski, Jean-François; Gresse, Carole (2004), Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange), AFFI (Association Française de Finance), 2004-12, Paris, France

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Type
Communication / Conférence
Date
2004
Conference title
AFFI (Association Française de Finance)
Conference date
2004-12
Conference city
Paris
Conference country
France
Pages
33
Metadata
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Author(s)
Gajewski, Jean-François
Gresse, Carole
Abstract (EN)
This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading volume, our study shows that transaction costs are lower on the centralised order book than on the hybrid order book. The presence of dealers outside the electronic order book favours the frequency of large trades, but is associated with higher execution costs for all other trades and higher adverse selection and inventory costs inside the order book.
Subjects / Keywords
Centralised markets; Fragmentation; Hybrid market; Order Books; Spread components; Transaction cost
JEL
G19 - Other