Trading Frictions and Market Structure: An Empirical Analysis
利用买卖价差数据，实证比较了指令驱动系统与报价驱动系统中的交易摩擦，发现指令驱动系统虽降低了即时性供给成本，但信息摩擦（逆向选择风险）更高，且对中等规模交易尤为显著。
Abstract: Market structure affects the informational and real frictions faced by traders in equity markets. Using bid‐ask spreads, we present evidence which suggests that while real frictions associated with the costs of supplying immediacy are less in order‐driven systems, informational frictions resulting from increased adverse selection risk are considerably higher in these markets. Firm value, transaction size and order location are all major determinants of the trading costs borne by investors. Consistent with the stealth trading hypothesis of Barclay and Warner (1993) , we report that informational frictions are at their highest for medium size trades that go through the order book. Finally, while there is no doubt that the total costs of trading on order‐driven systems are lower for very liquid securities, the inherent informational inefficiencies of the trading format should not be ignored. This is particularly true for the vast majority of small to mid‐size stocks that experience infrequent trading and low transaction volume.