Le rôle du système CAC et du marché des blocs dans l'offre de liquidité à la Bourse de Paris

For a long time, market authorities have considered centralized order-driven markets as the best way of organizing stock exchanges. From the 70's however, the success of new trading systems (quote-driven markets, proprietary trading systems) has tended to prove that traditional markets are no longer able to fulfil investors' needs which have evolved because of growing institutionalization. Due to a lack of flexibility, excessive transparency, poor liquidity, large investors using these exchanges such as the NYSE and the Paris Bourse decided to create a block market in order to offer institutional investors more flexible ways of making their transactions. Particularly, block markets are designed to bring additional liquidity to those markets. The aim of the research is to study the extent to which this is true considering the case of the Paris Bourse. We show that only 10 to 15% of the transactions above one Normal Market Size are traded on the off-CAC market. We offer different explanations to this phenomenon. First, we show that even though transaction costs onthe CAC system (bid-ask spread, temporary and permanent effects of orders on the price) are increasing in trade size due to the private information contained in orders, investors, by trading strategically, can reduce their market impact. Also, investors seem to favor the CAC system because of the anonymity and the quick executions it provides. Finally, we show that the off-CAC alternative can reduce transaction costs only for investors who can credibly signal that their trades are not information-motivated.