The trades of NYSE floor brokers |
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Institution: | 1. Department of Electronics Information and Bioengineering, Politecnico di Milan, Italy;2. Department of Economics and Management, University of Pisa, Italy;3. Department of Finance, Faculty of Economics, V?B–Technical University of Ostrava, Czech Republic |
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Abstract: | This paper studies the contribution of NYSE floor brokers to the Exchange's agency auction market. Floor brokers represent 44%, specialists 11%, and system orders 45% of the value of all executed orders in our sample. We analyze how the cross-sectional distribution of floor broker trading depends on liquidity, block volume, on- and off-exchange competition, volatility, and order flow internalization. Floor brokers participate in large trades, primarily in liquid stocks, and they trade more when volatility is high. They provide two-sided liquidity to the market and often provide liquidity that would otherwise have been supplied by NYSE specialists. |
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