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Does Order Flow Fragmentation Impact Market Quality? The Case of Nasdaq SuperMontage

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  • Benhami, Kheira
  • Bisière, Christophe

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  • Benhami, Kheira & Bisière, Christophe, 2005. "Does Order Flow Fragmentation Impact Market Quality? The Case of Nasdaq SuperMontage," IDEI Working Papers 470, Institut d'Économie Industrielle (IDEI), Toulouse.
    • Handle: RePEc:ide:wpaper:4639
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    File URL: http://idei.fr/sites/default/files/medias/doc/by/bisiere/order.pdf
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    1. repec:bla:jfinan:v:58:y:2003:i:6:p:2637-2666 is not listed on IDEAS
    2. repec:bla:jfinan:v:59:y:2004:i:2:p:681-710 is not listed on IDEAS
    3. Hendershott, Terrence & Jones, Charles M., 2005. "Trade-through prohibitions and market quality," Journal of Financial Markets, Elsevier, vol. 8(1), pages 1-23, February.
    4. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    5. Marco Pagano, 1989. "Trading Volume and Asset Liquidity," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(2), pages 255-274.
    6. Macey, Jonathan R. & O'Hara, Maureen, 1997. "The Law and Economics of Best Execution," Journal of Financial Intermediation, Elsevier, vol. 6(3), pages 188-223, July.
    7. Roger D. Huang, 2002. "The Quality of ECN and Nasdaq Market Maker Quotes," Journal of Finance, American Finance Association, vol. 57(3), pages 1285-1319, June.
    8. Michael J. Barclay & Terrence Hendershott & D. Timothy McCormick, 2003. "Competition among Trading Venues: Information and Trading on Electronic Communications Networks," Journal of Finance, American Finance Association, vol. 58(6), pages 2637-2665, December.
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    Cited by:

    1. Chung, Kee H. & Chuwonganant, Chairat, 2009. "Transparency and market quality: Evidence from SuperMontage," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 93-111, January.

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