Leveling the trading field

Easley, D; Hendershott, T; Ramadorai, T

Leveling the trading field

Easley, D Hendershott, T Ramadorai, T

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Publication Type:: Journal Article
Citation:: Journal of Financial Markets, 2014, 17 (1), pp. 65 - 93
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Easley, D	en_US
dc.contributor.author	Hendershott, T	en_US
dc.contributor.author	Ramadorai, T	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	Journal of Financial Markets, 2014, 17 (1), pp. 65 - 93	en_US
dc.identifier.issn	1386-4181	en_US
dc.identifier.uri	http://hdl.handle.net/10453/118203
dc.description.abstract	We examine the impact on stock prices of a major upgrade to the New York Stock Exchange's trading environment. The upgrade improved information dissemination on the trading floor and reduced the latency in reporting trades and quotes. The portion of the upgrade that reduced latency for electronic orders had significant impacts on liquidity, turnover, and returns. A portfolio that is long stocks undergoing the upgrade in the first 20 days of the upgrade and short stocks receiving the upgrade later has a return of roughly 3% over the period. The abnormal return was a priced effect of the improved liquidity produced by the upgrade. © 2013 Elsevier B.V.	en_US
dc.relation.ispartof	Journal of Financial Markets	en_US
dc.relation.isbasedon	10.1016/j.finmar.2013.06.003	en_US
dc.subject.classification	Finance	en_US
dc.title	Leveling the trading field	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	17	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	17	en_US

Abstract:

We examine the impact on stock prices of a major upgrade to the New York Stock Exchange's trading environment. The upgrade improved information dissemination on the trading floor and reduced the latency in reporting trades and quotes. The portion of the upgrade that reduced latency for electronic orders had significant impacts on liquidity, turnover, and returns. A portfolio that is long stocks undergoing the upgrade in the first 20 days of the upgrade and short stocks receiving the upgrade later has a return of roughly 3% over the period. The abnormal return was a priced effect of the improved liquidity produced by the upgrade. © 2013 Elsevier B.V.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/118203