Competition for Order Flow and Smart Order Routing Systems

Thierry Foucault and Albert Menkveld

Post-Print from HAL

Abstract: We study the rivalry between Euronext and the London Stock Exchange (LSE) in the Dutch stock market to test hypotheses about the effect of market fragmentation. As predicted by our theory, the consolidated limit order book is deeper after entry of the LSE. Moreover, cross-sectionally, we find that a higher trade-through rate in the entrant market coincides with less liquidity supply in this market. These findings imply that (i) fragmentation of order flow can enhance liquidity supply and (ii) protecting limit orders against trade-throughs is important.

Keywords: Order Flow; Smart Order Routing (search for similar items in EconPapers)
Date: 2008-02
References: Add references at CitEc
Citations: View citations in EconPapers (117)

Published in The Journal of Finance, 2008, Vol.63,n°1, pp.119-158. ⟨10.1111/j.1540-6261.2008.01312.x⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Competition for Order Flow and Smart Order Routing Systems (2010)
Journal Article: Competition for Order Flow and Smart Order Routing Systems (2008)
Working Paper: Competition for Order Flow and Smart Order Routing Systems (2006)
Working Paper: Competition for order flow and smart order routing systems (2006)
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:hal:journl:hal-00459801

DOI: 10.1111/j.1540-6261.2008.01312.x

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().