SIRCA Breakfast Forums
March 2004
The Impact of Market Architecture and Institutional Features on
World Equity Market Performance
SIRCA invites you to a complimentary breakfast forum to discuss:
“The Impact of Market Architecture and Institutional Features
on World Equity Market Performance”
By Professor Peter Swan, School of Banking & Finance,
UNSW, and Dr Joakim Westerholm, School of Business, USYD.
| Date |
Wednesday, 31st March, 2004 |
| Time |
7.30am for 7.45am start. The forum will conclude at 8.45am.
Light breakfast provided. |
| Where |
Level 2, 9 Castlereagh Street, Sydney.
SIRCA Breakfast Forums are held at our Sydney CBD office with
places deliberately limited to ensure frank and open discussion. |
| RSVP |
Frances Carlow, Business Development Manager
Email: fcarlow@sirca.org.au
Tel: +61 2 9236 9114 |
 Download
Research Paper (PDF, 269KB)
Download
Presentation Slides (PDF, 398KB)
What makes the study interesting?
In today’s increasingly competitive environment for stock
exchanges there is a great payoff to those exchanges that manage
to improve their performance, creating markets with low transaction
costs and high liquidity, markets that provide seamless executions
in all listed stocks under all market conditions and markets where
both institutions and retail clients can rapidly execute their orders
at the best possible price.
This research evaluates the three basic models of trading market
architecture using a unique intraday dataset for 38 major exchanges:
- a hybrid markets with dealer emphasis;
- an electronic limit order book markets, and;
- a hybrid markets with a limit order book and designated dealers
in less liquid stocks.
Summary of the findings of this research
The study found consistent evidence that limit order book markets
have lower effective spreads and volatility than hybrid markets
across all markets and stocks. The “made to measure”
European hybrid markets, with a combination of limit order book
for high liquidity stocks and designated dealers for stocks with
lower liquidity, perform well in extreme segments since they have
the lowest effective spreads and the lowest volatility for the largest
and for the smallest stocks.
Dealer markets attract the highest turnover and exhibit the highest
volatility. The combination of an electronic limit order book for
more active stocks and a dealer supported lower liquidity market
segment stands out as the most appealing market design. Moreover,
we identify and highlight the technological features that have the
strongest association with exchange efficiency. A high market capitalization,
on-line trading, nondisclosure of upstairs trades and an upstairs
dealer facility promote low trading costs.
Who should attend?
Stock market brokers, analysts, and advisers.
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