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O'Hara, Maureen; Ye, Mao
Journal of financial economics, 06/2011, Letnik: 100, Številka: 3Journal Article
We examine how fragmentation is affecting market quality in US equity markets. We use newly available trade reporting facilities (TRFs) data to measure fragmentation, and we use a variety of empirical approaches to compare execution quality and efficiency of stocks with more and less fragmented trading. We find that fragmentation affects all stocks; more fragmented stocks have lower transactions costs and faster execution speeds; and fragmentation is associated with higher short-term volatility but greater market efficiency, in that prices are closer to being a random walk. Our results that fragmentation does not appear to harm market quality are consistent with US markets being a single virtual market with multiple points of entry.
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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in: SICRIS
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