The Effect of Crossing‐Network Trading on Dealer Market's Bid‐Ask Spreads
研究欧洲交叉网络交易活动与传统做市商市场流动性之间的关系，发现交叉网络交易能降低做市商市场的买卖价差，风险分担收益大于碎片化和撇脂成本。
Abstract This article provides new insights into market competition between traditional exchanges and alternative trading systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity of a traditional dealer market (DM) by comparing data from the SEAQ quote‐driven segment of the London Stock Exchange (LSE) and internal data from the POSIT crossing network. A cross‐sectional analysis of bid‐ask spreads shows that DM spreads are negatively related to CN executions. Risk‐sharing benefits from CN trading dominate fragmentation and cream‐skimming costs. Further, risk‐sharing gains are found to be related to dealer trading in the CN.