Does SIZE matter?: Liquidity provision by the Nasdaq anonymous trading Facility

I examine the effects of Nasdaq's introduction of an anonymous trading facility called SIZE. I compare SIZE to competing ECNs in terms of liquidity and market impact. Despite rapid growth, SIZE has not yet attained a significant market share and rarely influences short-run price evolution. I conclude with discussion of the Nasdaq-ECN mergers and speculate about a role for SIZE in trading listed securities.

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Year of publication:	2005
Authors:	Mizrach, Bruce
Publisher:	New Brunswick, NJ : Rutgers University, Department of Economics
Subject:	Börsen-Informationssystem \| Börsenumsatz \| Wertpapierhandel \| Wertpapierbörse \| USA \| ECN \| market impact \| super montage \| total view

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Series:	Working Paper ; 2006-02
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	508628059 [GVK] hdl:10419/31264 [Handle] RePEc:rut:rutres:200602 [RePEc]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G20 - Financial Institutions and Services. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10010266337