Reducing buyer search costs: implications for electronic marketplaces
Management Science - Special issue: Frontier research on information systems and economics
Information technology and screen-based securities trading: pricing the stock and pricing the trade
Management Science - Special issue: Frontier research on information systems and economics
Information Technology and Time-Based Competition in Financial Markets
Management Science
Electronic Trading in Financial Markets
IT Professional
Frictionless Commerce? A Comparison of Internet and Conventional Retailers
Management Science
Introduction to the Special Issue on Electronic Markets
Management Science
The Landscape of Electronic Market Design
Management Science
Search and Collusion in Electronic Markets
Management Science
Hi-index | 0.01 |
This paper examines the contribution to price discovery by electronic and voice-based trading systems in the U.S. Treasury market. Evidence shows that the electronic trading system has more price discovery and that trading automation increases the speed of incorporating information into prices. However, human trading generates significant price discovery, though its volume is low. The relative contribution of a trading system to price discovery depends on liquidity, volatility, volume, trade size, and order imbalance. The voice-based trading system contributes more to price discovery when trade size is large and liquidity is low. These findings provide important implications for the design of electronic markets for securities with different characteristics and trading environments. This paper was accepted by Wei Xiong, finance.