Chelley-Steeley, Patricia L.; Skvortsov, Leonid - In: Journal of International Financial Markets, … 20 (2010) 5, pp. 509-518
This paper studies the impact that a change from a dealer system to a market-maker supported auction system has on market quality. We study the impact that the introduction of SETSmm at the London Stock Exchange had on firm value, price efficiency and liquidity. We discover a small SETSmm return...