Does an Electronic Stock Exchange Need an Upstairs Market
By K. Venkataraman, H. Bessembinder. 2002
173 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/5231dbe1a66095262e5b8bac6e5a9110a3182e44
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Citations in the corpus
- Click or Call? Auction versus Search in the Over‐the‐Counter Market (2012, unknown): “Our work complements empirical research that examines mechanism choice in financial mar- kets.2 Bessembinder and Venkataraman (2004) examine large equity trades upstairs in a dealer search market versus immediate execution in the electronic limit order book and find that the electronic venue is…”
- Dark Trading and Price Discovery (2015, background): “Without the ability to draw out this latent liquidity upstairs, if these orders are sent to the lit market they could create short-term demand and supply imbalances and temporary price distortions (Bessembinder and Venkataraman, 2004).”
- Does Algorithmic Trading Improve Liquidity (2011, unknown): “For instance, some “dark pools” such as LiquidNet and Pipeline represent a modern version of an upstairs market, allowing traders with large orders to electronically search for counterparties without revealing their trading interest (see, for example, Bessembinder and Venkataraman (2004)).”
- Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds (2006, unknown): “Several studies of trading costs in equity markets, including Madhavan and Cheng (1997) and Bessembinder and Venkataraman (2004), estimate costs by comparing prices for individual trades to a common prior benchmark, such as the prior-day close.”
- Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds (2020, unknown): “5 See Hendershott and Madhavan (2015), Bessembinder and Venkataraman (2004), and Madhavan and Cheng (1997) for discussion of these models.”
- Informed trading and price discovery before corporate events (2015, unknown): “21 The SBF120 index represents a broader cross-section of stocks than the CAC40 Index (see Bessembinder and Venkataraman (2004)).”
- Trading Rules, Competition for Order Flow and Market Fragmentation (2015, unknown): “We 10 Bessembinder and Venkataraman (2004), Booth, Lin, Martikainen, and Tse (2002), Fong, Swan, and Madhavan (2001), Madhavan and Cheng (1997) and Smith, Turnbull, and White (2001) study broker-to-broker negotiated trades in upstairs…”
- Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets (2009, unknown): “Our reconstruction of the limit order book closely follows the approach described in Appendix B of Bessembinder and Venkataraman (2004). The first four categories represent orders that demand liquidity from the book and the last three categories represent orders that supply liquidity to the book.”
- Capital Commitment and Illiquidity in Corporate Bonds (2017, unknown): “We also assess customer trading costs on days when dealers are stressed by computing measures of customers’ trade execution costs from the block trading literature introduced by Kraus and Stoll (1972), and also implemented by Bessembinder and Venkataraman (2004). More specifically, we proceed as fol”