Do inventories matter in dealership markets? Evidence from the London Stock Exchange

Article Abstract:

Using London Stock Exchange data, we test the central implication of the canonical model of Ho and Stoll (1983) that relative inventory differences determine dealer behavior. We find that relative inventories explain which dealers obtain large trades and show that movements between best ask, best bid, and straddle are highly correlated with both standardized and relative inventory changes. We show that the mean reversion in inventories is highly nonlinear and increasing in inventory levels. We show that a key determinant of variations in interdealer trading is inventories and that interdealer trading plays an important role in managing large inventory positions. (Reprinted by permission of the publisher.)

Security brokers and dealers, Securities Brokerage, Stock Brokerage, Securities dealers, Stockbrokers, Markets (Economics), Inventories

---

Transparency and liquidity: a study of block trades on the London Stock Exchange under different publication rules

Article Abstract:

This article examines whether reducing a market's transparency, by delaying the publication of prices for block trades, has any impact on liquidity. The analysis uses a sample of 5987 blocks from the London Stock Exchange that covers three different publiation regimes: immediate (1987/88), 90 minutes (1991/92), and 24 hours (1989/90). Delaying publication does not affect the time taken by prices to reach a new level, which is rapid under all regimes. Spreads differ across years, but their size relates more closely to market volatility than to speed of publication. There is therefore no gain in liquidity from delayed publication. (Reprinted by permission of the publisher.)

Liquidity (Finance), Block trading

---

Similar abstracts:

• Abstracts: Why there's little cheer in the Beer. The message from the gilt market. UK markets: a harder year
• Abstracts: Souter eyes wider stage. Is it a bus? Is it a train? No, it's a juggernaut. There's no stopping FirstBus
• Abstracts: Ethical investors kept in the dark. When green issues are not black and white. Investing on principle could be profitable
• Abstracts: No easy answers in cheap Peps. Starting early. Guaranteed price to pay
• Abstracts: Specialized supplier networks as a source of competitive advantage: evidence from the auto industry. part 2 The fates of 'de novo' and 'de alio' producers in the American automobile industry 1885-1981

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.