The Quality of Floor and Electronic Trading Systems Directly Compared: Evidence from a Natural Experiment on the German Stock Market

16 Pages Posted: 23 Aug 2006

Abstract

This paper contributes to the debate about the relative qualities of floor and electronic trading systems by analysing the effects of bringing forward the Xetra closing time from 8:00 pm to 5:30 pm in November 2003, while the Frankfurt floor remains open until 8:00 pm. This natural experiment provides a cleaner institutional setting than in previous studies, as it enables us to investigate trading quality for both platforms for the same stocks before and after the event. The empirical evidence suggests that primarily institutional investors trading in large stocks transfer to the floor when Xetra closes earlier. It appears that investors remain with Xetra for informed trading though.

Keywords: Informed Trading, After-hours Trading, Exchange Regulation

JEL Classification: D82, G14, G20

Suggested Citation

Goodfellow, Christiane and Bohl, Martin T., The Quality of Floor and Electronic Trading Systems Directly Compared: Evidence from a Natural Experiment on the German Stock Market. Available at SSRN: https://ssrn.com/abstract=926089 or http://dx.doi.org/10.2139/ssrn.926089

Christiane Goodfellow

University of Muenster ( email )

Schlossplatz 2
Muenster, D-48149
Germany

Martin T. Bohl (Contact Author)

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

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