Noise and the Trading Mechanism: the Case of SETS
研究伦敦证券交易所1997年引入SETS交易系统后，开盘和收盘收益率的无条件方差是否变化，发现FTSE-100股票波动率普遍上升，但指数和其他股票无同步变化，表明新系统引入了噪声。
Abstract On 20 October 1997 the London Stock Exchange introduced a new trading system called SETS. This system was to replace the dealer system SEAQ, which had been in operation since 1986. Using the iterative sum of squares test introduced by Inclan and Tiao (1994) , we investigate whether there was a change in the unconditional variance of opening and closing returns, at the time SETS was introduced. We show that for the FTSE‐100 stocks traded on SETS, on the days following its introduction, there was a widespread increase in the volatility of both opening and closing returns. However, no synchronous volatility changes were found to be associated with the FTSE‐100 index or FTSE‐250 stocks. We conclude therefore that the introduction of the SETS trading mechanism caused an increase in noise at the time the system was introduced .