Levelling the trading field

Easley, David, Hendershott, Terry and Ramadorai, Tarun (2014) Levelling the trading field. Journal of Financial Markets, 17. pp. 65-93.


We examine the impact on stock prices of a major upgrade to the New York Stock Exchange's trading environment. The upgrade improved information dissemination on the trading floor and reduced the latency in reporting trades and quotes. The portion of the upgrade that reduced latency for electronic orders had significant impacts on liquidity, turnover, and returns. A portfolio that is long stocks undergoing the upgrade in the first 20 days of the upgrade and short stocks receiving the upgrade later has a return of roughly 3% over the period. The abnormal return was a priced effect of the improved liquidity produced by the upgrade.

Item Type: Article
Keywords: Market structure, Stock exchange, Trading volume, Transparency, Information, Latency, Technology upgrade, finance
Subject(s): Finance
Date Deposited: 10 Mar 2014 12:21
Last Modified: 24 Feb 2017 15:24
Funders: Not applicable
URI: http://eureka.sbs.ox.ac.uk/id/eprint/4984

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