The Market Quality of Dealer versus Hybrid Markets: The Case of Moderately Liquid Securities
研究伦敦证券交易所中等流动性股票从做市商市场转向混合市场（引入限价订单簿并取消做市商义务）后，流动性显著下降，说明混合市场未必优于传统做市商市场。
Abstract: Over the last decade, electronic limit‐order trading systems have been sweeping securities exchanges around the world. This paper studies a transitional case, namely, the commencement of trading of a group of moderately liquid stocks on SETS of the London Stock Exchange. The evidence reveals that the liquidity of those stocks dropped substantially after the introduction of the limit order book and the removal of the market makers' obligations. This transition provides an example that a hybrid market with a limit order book and voluntary dealers may not perform as well as a dealership market with obligatory market makers.