RT Journal Article
SR Electronic
T1 Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP jpm.2022.1.384
DO 10.3905/jpm.2022.1.384
A1 Robert A. Schwartz
A1 James Ross
A1 Deniz Ozenbas
YR 2022
UL https://pm-research.com/content/early/2022/06/14/jpm.2022.1.384.abstract
AB This article presents a brief historical perspective on the evolution of equity market structure and considers implications microstructure analysis has had for improving market structure. Since the 1975 Securities Acts Amendments mandated the development of a National Market System, the robust growth of institutional investing and the impact of striking technological change have been transformative. Yet, market impact costs and price discovery noise continue to accentuate short-period returns variance, and the article presents empirical evidence of how sizable that accentuation is. In dealing with this problem, the authors focus on the rules that govern how orders are integrated together and turned into trades and transaction prices.