Intra-Dealer Integration

21 Pages Posted: 24 Aug 2010

See all articles by Laurent Germain

Laurent Germain

Toulouse University, Toulouse Business School

Brian Kluger

University of Cincinnati - Department of Finance - Real Estate

Crina Pungulescu

Toulouse Business School - Barcelona Campus

David Stolin

Toulouse Business School - Economics and Finance

Daniel G. Weaver

Rutgers Business School

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Abstract

This paper examines the quotation behaviour of dealers who made markets in the same stocks on both NASDAQ and either EASDAQ or the LSE. Whereas previous studies examine international integration at the market level, we examine integration at the dealer level. In other words, do dealers within the same market-making firm use information from their arm on the opposite side of the Atlantic in forming their own quotes? We find that while there is some evidence of integration at the market level, integration is hard to detect at the dealer level. The results are largely unaffected by differences in fungibility between our two samples.

Suggested Citation

Germain, Laurent and Kluger, Brian D. and Pungulescu, Crina and Stolin, David and Weaver, Daniel G., Intra-Dealer Integration. European Financial Management, Vol. 16, Issue 4, pp. 507-527, September 2010. Available at SSRN: https://ssrn.com/abstract=1662696 or http://dx.doi.org/10.1111/j.1468-036X.2010.00553.x

Laurent Germain (Contact Author)

Toulouse University, Toulouse Business School ( email )

20, bd Lascrosses
Toulouse, 31000
France

Brian D. Kluger

University of Cincinnati - Department of Finance - Real Estate ( email )

College of Business Administration
Cincinnati, OH 45221
United States
513-556-1688 (Phone)

Crina Pungulescu

Toulouse Business School - Barcelona Campus ( email )

C/ Trafalgar, 10 08010
Barcelona
Spain

David Stolin

Toulouse Business School - Economics and Finance ( email )

20, bd Lascrosses - BP 7010
Toulouse Cedex 7, 31068
France

Daniel G. Weaver

Rutgers Business School ( email )

94 Rockafeller Road
Piscataway, NJ 08854
United States
848.445.5644 (Phone)
732.445.2333 (Fax)

HOME PAGE: http://weaver.rutgers.edu

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