Short‐ and Long‐Term Effects of Multimarket Trading
研究了多市场交易对三只ETF的短期和长期影响，发现大规模进入改善市场质量，竞争效应长期主导碎片化效应，且订单处理规则有助于缓解碎片化、促进竞争。
Abstract We analyze short‐ and long‐term effects of multimarket trading by examining the entries of multiple markets into transacting three ETFs, DIA, QQQ, and SPY. We find that large‐scale entries improve overall market quality, while small‐scale entries have ambiguous effects. Our results show that the competition effect dominates the fragmentation effect over a long horizon and that market fragmentation leads to a decline in trading costs. Further, we find that the order handling rules help mitigate the fragmentation effect and facilitate the competition effect. We do not find that multimarket trading harms price efficiency or increases price volatility.