Market structure, fragmentation, and market quality

By P. Bennett, Li Wei. 2006

156 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b615385106e3a42a6e142181029c1d774956382e

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Citations in the corpus

Latency, liquidity and price discovery ☆ (2012, unknown): “Earlier empirical studies of transaction costs (Demsetz, 1968) and more recent studies (Bacidore, Ross, and Sofianos, 2003; Battalio, Hatch, and Jennings, 2003; Boehmer, 2005; Bennett and Wei, 2006) find a trade-off between speed and cost.”
Using Matched Samples to Test for Differences in Trade Execution Costs (2009, unknown): “Bennett and Wei (2006) study 39 stocks that switch from Nasdaq to NYSE between January 2002 and March 2003. The small sample problem is worse when studying the impact of cross-listing. For example, Foerster and Karolyi (1998) study just 5 NYSE-, 7 AMEX- and 40 Nasdaq- interlisted stocks and Mittoo (”
Is Market Fragmentation Harming Market Quality (2009, unknown): “17 This finding that trading in Nasdaq-listed stocks is more fragmented than trading in NYSE-listed stocks is consistent with the intuition of earlier researchers such as SEC [2001] and Bennett and Wei [2006]. However, this early research viewed the internal differences between the two markets as th”
Limit order books (2010, background): “• Liquidity fragmentation: In recent years, it has become increasingly common for assets to be traded on several different electronic trading platforms simultaneously (Bennett and Wei 2006).”
The skinny on the 2008 naked short-sale restrictions (2010, unknown): “Second, we follow Bennett and Wei (2006) and use tick-by-tick quote data to measure intraday volatility as the average standard deviation of 5-min returns calculated using bid-ask midpoints measured at 5-min intervals during normal trading hours.”