Market quality of dealer versus hybrid markets for illiquid securities: new evidence from the FTSE AIM Index

Andros Gregoriou

The European Journal of Finance, 2015, vol. 21, issue 6, 466-485

Abstract: This paper explores liquidity effects following the introduction of electronic limit-order trading for 48 illiquid stocks listed on the FTSE AIM Index. We find evidence of a sustained increase in the liquidity of the stocks as a result of limit-order trading. Furthermore, the enhancement in the liquidity of the stocks is due to a decrease in the direct cost of trading as opposed to a reduction in the asymmetric information cost of transacting. The empirical findings suggest that a hybrid market with a limit-order book and voluntary dealers outperforms a dealership market with obligatory market makers for illiquid stocks.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/1351847X.2013.838186 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:21:y:2015:i:6:p:466-485

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/1351847X.2013.838186

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().