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dc.contributor.authorGresse, Carole
dc.contributor.authorGajewski, Jean-François
dc.date.accessioned2009-06-16T10:51:14Z
dc.date.available2009-06-16T10:51:14Z
dc.date.issued2007-09
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/295
dc.language.isoenen
dc.subjectCentralised marketen
dc.subjectHybrid marketen
dc.subjectOrder booken
dc.subjectTransaction costsen
dc.subjectMicrostructureen
dc.subjectCost
dc.subjectEquities
dc.subjectStocks
dc.subjectTransaction
dc.subjectSpread components
dc.subjectFragmentation
dc.subject.ddc332en
dc.subject.classificationjelD23en
dc.subject.classificationjelG10en
dc.subject.classificationjelG12
dc.subject.classificationjelG15
dc.subject.classificationjelG19
dc.titleCentralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)en
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité de Savoie;France
dc.description.abstractenThis article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading volume, our study shows that transaction costs are lower on the centralised order book than on the hybrid order book. The presence of dealers outside the electronic order book favours the frequency of large trades, but is associated with higher execution costs for all other trades and higher adverse selection and inventory costs inside the order book.en
dc.relation.isversionofjnlnameJournal of Banking and Finance
dc.relation.isversionofjnlvol31en
dc.relation.isversionofjnlissue9en
dc.relation.isversionofjnldate2007-09
dc.relation.isversionofjnlpages2906-2924en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jbankfin.2007.04.015en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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