Market Competition and Price Clustering: Evidence from the ETF Market

Translated Titles





徐淑芳(Shufang Hsu);鍾惠民(Huimin Chung);陳煒朋(Wei-Peng Chen)

Key Words

Exchange traded funds (ETFs) ; price clustering ; liquidity ; multimarket trading ; ETFs ; 價格群聚 ; 流動性 ; 多重市場交易



Volume or Term/Year and Month of Publication

26卷4期(2018 / 12 / 31)

Page #

1 - 44

Content Language


Chinese Abstract

We explore the impact of UTP implementation on ETF price clustering. The empirical results show a discernible reduction in price clustering on the overall market, attributable to improvements in the liquidity of order flow. After UTP trading commenced on the NYSE, large traders can more easily split their orders into smaller sizes and move to the optimal trading venue. These findings show feasible explanations for the relative competitive advantage associated with executing large orders once the NYSE entry reduced negotiation risks due to increasing competition among market makers, public availability of price information, and the alleviation of price risk.

English Abstract


Topic Category 社會科學 > 經濟學
社會科學 > 財金及會計學
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