Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective

Journal of Portfolio Management, Forthcoming

21 Pages Posted: 31 May 2022

See all articles by Robert Schwartz

Robert Schwartz

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

James Ross

affiliation not provided to SSRN

Deniz Ozenbas

Montclair State University

Date Written: April 30, 2022

Abstract

This paper presents a brief historical perspective on the evolution of equity market structure and considers implications microstructure analysis has had for improving market structure. Since the 1975 Securities Acts Amendments mandated the development of a National Market System, the robust growth of institutional investing and the impact of striking technological change have been transformative. Yet, market impact costs and price discovery noise continue to accentuate short-period returns variance, and the paper presents empirical evidence of how sizable that accentuation is. In dealing with this problem, the authors focus on the rules that govern how orders are integrated together and turned into trades and transaction prices.

Suggested Citation

Schwartz, Robert and Ross, James and Ozenbas, Deniz, Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective (April 30, 2022). Journal of Portfolio Management, Forthcoming, Available at SSRN: https://ssrn.com/abstract=4116944

Robert Schwartz

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

17 Lexington Avenue
New York, NY 10010
United States

James Ross

affiliation not provided to SSRN

Deniz Ozenbas (Contact Author)

Montclair State University ( email )

Upper Montclair, NJ 07043
United States
9736557522 (Phone)

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