Execution Qualities Under Financial Crisis: 2008 Financial Crisis Case

• 발행기관: 한국자료분석학회
• 저자명: Kaun Y. Lee
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.12 No.2, 585~593쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2010.04.30

영문 초록

This study examines the changes in market condition during the financial crisis. Adverse selection cost during the financial crisis forces dealers to widen the effective spreads across the exchanges. I attribute this result to the typical behavior of dealers to protect themselves from losing money to better-informed traders, because widened spreads effectively reduce the risk. However, this behavior is in conflict with the obligation of dealers to provide orderly and liquid market. To compensate for the increase in execution costs, dealers provide liquidity traders with more price improvements in numbers of shares covered, percentage shares, and dollar amount per share. Among dealers, NYSE specialists provide better execution qualities in times of financial crisis, and lose less.

목차

1. Introduction

2. Data

3. Results

4. Conclusion

References

키워드

Execution qualities Price improvement Financial Crisis Effective and Realized spread