Document Type
Preprint
Publication Date
7-1-2022
Journal / Book Title
Journal of Portfolio Management
Abstract
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.
DOI
10.3905/jpm.2022.1.384
MSU Digital Commons Citation
Schwartz, Robert A.; Ross, James; and Ozenbas, Deniz, "Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective" (2022). Department of Accounting and Finance Faculty Scholarship and Creative Works. 160.
https://digitalcommons.montclair.edu/acctg-finance-facpubs/160
Published Citation
Schwartz, Robert and Ross, James and Ozenbas, Deniz, Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective (April 30, 2022). Journal of Portfolio Management, Forthcoming, Available at SSRN: https://ssrn.com/abstract=4116944