The Diversion of Order Flow on French Stocks from CAC to Seaq International: A Field Study

European Financial Management, vol 4:2, July 1998

Posted: 23 Jan 1998

See all articles by Bertrand Jacquillat

Bertrand Jacquillat

Associes en Finance; Universite Paris Dauphine

Carole Gresse

Université Paris-Dauphine, PSL

Abstract

The competition between SEAQ International and Continental European equity markets to attract transactions in the most actively traded European stocks has intensified since the late 1980s. Comparisons of official transaction volumes from SEAQ International and the French CAC market system are misleading because their transactions are organized in a different manner, and because reporting standards are not the same. The objective of this paper is to scrutinize the order flow for French stocks and the reporting procedures on both market systems, so as to ascertain the effective transactions on each market and estimate actual market shares. Based on both the observation of official statistics and a field study of order flows conducted among five large and active brokerage houses with a book on both markets, SEAQI's market share in French stocks as reported in previous studies using only official volume statistics seems largely overstated.

JEL Classification: C93, D40, G15

Suggested Citation

Jacquillat, Bertrand and Gresse, Carole, The Diversion of Order Flow on French Stocks from CAC to Seaq International: A Field Study. European Financial Management, vol 4:2, July 1998. Available at SSRN: https://ssrn.com/abstract=45208

Bertrand Jacquillat (Contact Author)

Associes en Finance ( email )

223 Rue Saint-Honore
75001 Paris
France
(33 1) 44 50 56 25 (Phone)
(33 1) 40 15 98 53 (Fax)

Universite Paris Dauphine ( email )

223 Rue Saint-Honore
Paris, 75775
France
33-1 44 50 56 25 (Phone)
33-1 40 15 98 53 (Fax)

Carole Gresse

Université Paris-Dauphine, PSL ( email )

DRM
Pôle Universitaire Léonard de Vinci
Paris La Défense cedex, 92916
France
+33 (0)1 41 16 76 15 (Phone)
+33 (0)1 41 16 76 37 (Fax)

HOME PAGE: http://www.carolegresse.com

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