Market maker performance: the search for fair weather market makers


Board, J., Sutcliffe, C. and Vila, A. (2000) Market maker performance: the search for fair weather market makers. Journal of Financial Services Research, 17, (3), 259-276.

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Description/Abstract

The London Stock Exchange has long been concerned that some market makers do not fulfill their obligations. This study describes a range of measures to identify such fair weather market makers. The results indicate that three firms of market makers meet the criteria for fair weather market making. It is also discovered that market makers in a given stock all quote the same fixed spread in round pennies and that this is about twice the touch. Internalized order flow is pervasive, with market makers receiving 57% of their order flow from associated brokers. However, fair weather market making is found to be distinct from order preferencing and internalization.

Item Type: Article
ISSNs: 0920-8550 (print)
Related URLs:
Keywords: market making, London Stock Exchange, bid-ask spreads, internalization, order preferencing
Subjects: H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 35954
Date Deposited: 26 Jul 2006
Last Modified: 27 Mar 2014 18:22
URI: http://eprints.soton.ac.uk/id/eprint/35954

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