Liquidity Fragmentation and Migration within the Same Exchange

• Main Author: TING, Hian Ann, Christopher
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2006
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/774
• Institution: Singapore Management University

Liquidity fragmentation occurs when traders have choices in trading fungible securities. This article documents the migration of Dow futures’ liquidity from the pit to the electronic market. The implied spread declines dramatically for electronic trades as volume increases over a sample period from...