Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange
分析了伦敦证券交易所连续竞价交易系统市场份额的决定因素，发现执行风险和信息风险影响交易场所选择，且场外流动性提供者自愿承担部分做市商的稳定功能。
We analyse the trade characteristics and market conditions which determine the market share of a continuous auction trading system at the London Stock Exchange, where a network of broker-dealer firms is also available for trade. We show that execution and information risks govern the choice of execution venue. Further, we uncover strong commonality in the market share of the order book across stocks, and find that variables proxying for market-wide liquidity and informational risks also affect the choice of trading venue. Our results suggest that competing, off-book liquidity suppliers voluntarily perform at least some of the 'stabilisation' functions normally assigned to designated market-makers. Copyright 2007 The Author(s). Journal compilation Royal Economic Society 2007.