COMPARATIVE MARKET SYSTEM ANALYSIS: LIMIT ORDER MARKET AND DEALER MARKET
2010 年 71 巻 2 号 p. 155-170
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2010 年 71 巻 2 号 p. 155-170
In this paper, we consider the relationship between the equilibrium spreads and the liquidity supplier’s risk aversion coefficient, which represents the degree of risk aversion in a limit order market and a dealer market. Thus, we analyze which market is more liquid, the limit order market system or the dealer market system. It is concluded that the spread in a limit order market is not necessarily narrower than that in a dealer market, i.e., market liquidity depends on a liquidity supplier’s attitude to the risky asset.
