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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), pp. 259-276.

Record type: Article

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.

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More information

Published date: 2000
Keywords: market making, London Stock Exchange, bid-ask spreads, internalization, order preferencing

Identifiers

Local EPrints ID: 35954
URI: http://eprints.soton.ac.uk/id/eprint/35954
ISSN: 0920-8550
PURE UUID: 36f70499-e550-4231-8767-26704b1a444c

Catalogue record

Date deposited: 26 Jul 2006
Last modified: 17 Jul 2017 15:46

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Contributors

Author: J. Board
Author: C. Sutcliffe
Author: A. Vila

University divisions

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