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Intra-Dealer Integration

Germain, Laurent and Kluger, Brian and Crina, Pungulescu and Stolin, David and Weaver, Daniel Intra-Dealer Integration. (2010) European Financial Management, vol. 16 (n° 4). pp. 507-527. ISSN 1354-7798

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Official URL: http://dx.doi.org/10.1111/j.1468-036X.2010.00553.x

Abstract

This paper examines the quotation behaviour of dealers who made markets in the same stocks on both NASDAQ and either EASDAQ or the LSE. Whereas previous studies examine international integration at the market level, we examine integration at the dealer level. In other words, do dealers within the same marketmaking firm use information from their arm on the opposite side of the Atlantic in forming their own quotes? We find that while there is some evidence of integration at the market level, integration is hard to detect at the dealer level. The results are largely unaffected by differences in fungibility between our two samples.

Item Type:Article
Additional Information:Thanks to WILEY-BLACKWELL editor. The original version is available at http://www.interscience.wiley.com/. The original PDF of the article can be found at http://onlinelibrary.wiley.com/doi/10.1111/j.1468-036X.2010.00553.x/full
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution: Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE
Université de Toulouse > Groupe École Supérieure de Commerce de Toulouse - ESCT
Other partners > Rutgers University (USA)
Other partners > University of Cincinnati - UC (USA)
Laboratory name:
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Deposited By: odile huynh
Deposited On:09 Jul 2012 11:54

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