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Intra‐Dealer Integration |
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| Authors: | Laurent Germain Brian Kluger Crina Pungulescu David Stolin Daniel Weaver |
| Affiliation: | 1. Universite de Toulouse, Toulouse Business School, 20 Boulevard Lascrosses, Toulouse 31068 Cedex, France and ISAE Email: l.germain@esc‐toulouse.fr;2. University of Cincinnati, University of Cincinnati, ML 195, Cincinnati, OH 45221‐0195, USA Email: brian.kluger@uc.edu;3. ESEC Toulouse Barcelona Business School, C/Trafalgar 10, 08010 Barcelona, Spain Email: crina@esec.es;4. Toulouse Business School, 20 Boulevard Lascrosses, Toulouse 31068 Cedex, France Email: d.stolin@esc‐toulouse.fr;5. Rutgers Business School, Rutgers University, 94 Rockafeller Road, Piscataway, NJ 08854‐8054, USA Email: daniel_weaver@rbsmail.rutgers.edu |
| Abstract: | This paper examines the quotation behaviour of dealers who made markets in the same stocks on both NASDAQ and either EASDAQ or the LSE. Whereas previous studies examine international integration at the market level, we examine integration at the dealer level. In other words, do dealers within the same market‐making firm use information from their arm on the opposite side of the Atlantic in forming their own quotes? We find that while there is some evidence of integration at the market level, integration is hard to detect at the dealer level. The results are largely unaffected by differences in fungibility between our two samples. |
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