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The Price Impacts of Cream-Skimmed Trades
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This paper investigates whether off-NYSE market makers successfully cream-skim uninformed orders by segregating trades executed in markets with inferior price quotes from trades executed in markets matching the best available price quotes. First, evidence that a non-trivial portion of NYSE-listed stock trading activity is executed in satellite markets with price quotes inferior to the best available price quotes is provided. Next, the results indicate that the price impact of off-NYSE executed inferior-quote trades is significant for only a small portion of the sample firms. Meanwhile, the price impacts of both best-quote trades and NYSE-executed inferior-quote trades are significant for many sample firms. These results are consistent with the model of Battalio and Holden (2001) and support the hypothesis that off-NYSE liquidity suppliers successfully cream-skim uninformed orders.
Title: The Price Impacts of Cream-Skimmed Trades
Description:
This paper investigates whether off-NYSE market makers successfully cream-skim uninformed orders by segregating trades executed in markets with inferior price quotes from trades executed in markets matching the best available price quotes.
First, evidence that a non-trivial portion of NYSE-listed stock trading activity is executed in satellite markets with price quotes inferior to the best available price quotes is provided.
Next, the results indicate that the price impact of off-NYSE executed inferior-quote trades is significant for only a small portion of the sample firms.
Meanwhile, the price impacts of both best-quote trades and NYSE-executed inferior-quote trades are significant for many sample firms.
These results are consistent with the model of Battalio and Holden (2001) and support the hypothesis that off-NYSE liquidity suppliers successfully cream-skim uninformed orders.
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