Trader Competition in Fragmented Markets: Liquidity Supply Versus Picking-Off Risk
dc.catalogador | jca | |
dc.contributor.author | Bernales, Alejandro | |
dc.contributor.author | Garrido, Nicolas | |
dc.contributor.author | Sagade, Satchit | |
dc.contributor.author | Valenzuela Bravo, Marcela | |
dc.contributor.author | Westheide, Christian | |
dc.date.accessioned | 2023-11-02T19:04:04Z | |
dc.date.available | 2023-11-02T19:04:04Z | |
dc.date.issued | 2023 | |
dc.description.abstract | By employing a dynamic model with two limit order books, we show that fragmentation is associated with reduced competition among liquidity suppliers and lower picking-off risk of limit orders. Due to these countervailing channels, the impact of fragmentation on liquidity and welfare differs with asset volatility: When volatility is high (low), liquidity and aggregate welfare in a fragmented market are higher (lower) than in a single market. However, fragmentation always shifts welfare away from agents with exogenous trading motives and toward intermediaries. We empirically corroborate our model’s predictions about liquidity. Our model reconciles the mixed results in the empirical literature. | |
dc.fechaingreso.objetodigital | 2023-11-02 | |
dc.fuente.origen | Cambridge University Press | |
dc.identifier.doi | 10.1017/S0022109022001521 | |
dc.identifier.issn | 1756-6916 | |
dc.identifier.uri | https://doi.org/10.1017/S0022109022001521 | |
dc.identifier.uri | https://repositorio.uc.cl/handle/11534/75218 | |
dc.information.autoruc | Escuela de Administración;Valenzuela Bravo, Marcela;S/I;16010 | |
dc.language.iso | en | |
dc.nota.acceso | Contenido completo | |
dc.pagina.final | 28 | |
dc.pagina.inicio | 1 | |
dc.revista | Journal of Financial and Quantitative Analysis | |
dc.rights | acceso abierto | |
dc.subject | Trade | |
dc.subject.ddc | 330 | |
dc.subject.dewey | Economía | es_ES |
dc.subject.ods | 08 Decent work and economic growth | |
dc.subject.odspa | 08 Trabajo decente y crecimiento económico | |
dc.title | Trader Competition in Fragmented Markets: Liquidity Supply Versus Picking-Off Risk | |
dc.type | artículo | |
sipa.codpersvinculados | 16010 |
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