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dc.contributor.authorVerousis, Thanos
dc.contributor.authorAp Gwilym, Owain
dc.date.accessioned2024-07-03T08:05:02Z
dc.date.available2024-07-03T08:05:02Z
dc.date.issued2013en_US
dc.identifier.issn1057-5219
dc.identifier.doi10.1016/j.irfa.2012.08.007
dc.identifier.urihttp://hdl.handle.net/20.500.12127/7513
dc.description.abstractFor the London Stock Exchange, this paper investigates differences in trading costs between market maker (off-book) and order book trades, in the context of clustering in trade sizes and prices. We report several substantial findings. Even after controlling for differences in trade size, the realised spread measure is lower for off-book trades. For the order book, trade size clustering is not associated with differences in transaction costs nor with differences in the information content of trades. For the off-book market, trades in clustered (popular) sizes carry significantly more information than non-clustered trades. Despite the significant differences in the price impact estimates between the order book and off-book, we show that traders placing large orders off-book are still better off than trading via the order book as they benefit from a large discount from the current midpoint price. Additionally, we highlight that price and size clustering tend to occur simultaneously rather than being substitutes in this market setting.en_US
dc.language.isoenen_US
dc.publisherScienceDirecten_US
dc.subjectTrade-Size Clusteringen_US
dc.subjectTransaction Costsen_US
dc.subjectPrice Impacten_US
dc.subjectLSEen_US
dc.titleTrade size clustering and the cost of trading at the London Stock Exchangeen_US
dc.identifier.journalInternational Review of Financial Analysisen_US
dc.source.volume27en_US
dc.source.issueAprilen_US
dc.source.beginpage91en_US
dc.source.endpage102en_US
dc.contributor.departmentBangor Business School, Bangor University, Bangor, LL57 2DG, UKen_US
dc.identifier.eissn1873-8079
vlerick.knowledgedomainAccounting & Financeen_US
vlerick.typearticleJournal article with impact factoren_US
vlerick.vlerickdepartmentAFen_US
dc.identifier.vperid311477en_US


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