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dc.contributor.authorGajewski, Jean-François
HAL ID: 22015
dc.contributor.authorGresse, Carole
dc.date.accessioned2010-01-18T11:13:03Z
dc.date.available2010-01-18T11:13:03Z
dc.date.issued2004
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3017
dc.descriptionCette communication a été publiée dans la revue : "Journal of Banking and Finance" vol. 31, issue 9 , 2007en
dc.language.isoenen
dc.subjectCentralised marketsen
dc.subjectFragmentationen
dc.subjectHybrid marketen
dc.subjectOrder Booksen
dc.subjectSpread componentsen
dc.subjectTransaction costen
dc.subject.ddc332en
dc.subject.classificationjelG19en
dc.titleCentralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)en
dc.typeCommunication / Conférence
dc.description.abstractenThis 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.en
dc.identifier.citationpages33en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleAFFI (Association Française de Finance)en
dc.relation.confdate2004-12
dc.relation.confcityParisen
dc.relation.confcountryFranceen


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