|
|
|
|
||||
|
||||
Automation, Speed, and Stock Market Quality: The NYSE’s HybridTerrence HendershottUniversity of California, Berkeley - Haas School of Business Pamela C. MoultonCornell University February 2, 2011 Abstract: Automation and trading speed are increasingly important aspects of competition among financial markets. Yet we know little about how changing a market’s automation and speed affects the cost of immediacy and price discovery, two key dimensions of market quality. At the end of 2006 the New York Stock Exchange introduced its Hybrid market, increasing automation and reducing the execution time for market orders from 10 seconds to less than one second. We find that the change raises the cost of immediacy (bid-ask spreads) because of increased adverse selection and reduces the noise in prices, making prices more efficient.
Number of Pages in PDF File: 59 Keywords: Speed, Automation, Transaction Costs, Efficiency, Hybrid, NYSE JEL Classification: G14 Date posted: July 14, 2008 ; Last revised: August 8, 2015Suggested Citation |
|
||||||||||||||||||||||||||
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
Contact Us
This page was processed by apollo7 in 1.156 seconds
