美国证券交易平台转型研究

上海交通大学硕士学位论文美国证券交易平台转型研究姓名：刘宏祥申请学位级别：硕士专业：工商管理指导教师：王金桃20050612DeutscheBorse'sXetra//STUDYONTHEMOVETOHYBRIDSTOCKMARKETSINTHEU.S.ABSTRACTIamwritingthisthesisbecauseIbelievethereisafundamentalprobleminthebusinessmodeloftheNYSEandotherfloorbasedstockexchangesaroundtheworld.Ichoosethistopicbecauseitisofinteresttome,andmyprofessionalcareergoalsinthefuture.Ialsochoosethistopictodiscusshowtechnologyinducedchangeisanevolutionaryprocessofprogressionforhumanbeings.Dataandprofessionalopinionleadsmetobelievethattechnologyinnovationinstocktradingwilleventuallyleadtothecreationofasingleplatform-withmoreliquidstocksincreasinglytradedbycomputersinsteadofhumans.Thestrategyofmypaperistocompareandcontrasthumanrelationshipsintheexecutionofastockorder.Isitfairafairprocess?Ibelievethereisroomforimprovementbyforcingfloor-basedstockexchangestobecomemoreandmoreelectronicwithnohumanmiddlemen.Thegoalofmythesisistoeventuallycreateastockmarketthatisbothfairandorderly,operationallyandcostefficient.Somehavearguedthatatradingfloorisanimportantnexusofinformationabouttradingdemand,andthatitwouldbedifficulttoreplicatethisinformationinanelectronicsystem.Inthisview,thespecialistisseenasanimportantinformationprocessor,andthusvitaltotheoperationofthemarket.However,thisviewisdisputedbythosewhosaythatanelectronicsystemcanbedesignedtofacilitatetheflowofthisimportantinformation.Theotherviewisthatthisfloorinformationisimportantforsometypesoftraders(institutionaltraders)butnotforothers(retailtraders).Accordingtothisview,themarketwillevolveintoatwo-tieredsystem,withanelectronicmarketforretailtradeandafloorforinstitutionaltrade.Thereissomeempiricalworkthatisrelevantforthisdiscussionsincetherecurrentlyexistssituationsinwhichastockissimultaneouslytradedonanelectronicexchange(Paris)andalessanonymousexchange(London).Withmoreinterestarisinginelectronictradingsystems,onemustwonderwhenitwillbeadoptedinamoremainstreamway-assomestockexchangeshavealreadyembracedamigrationtothescreen.Itdoesn’tmakesense.The“floors”ofoldeconomystockexchangessuchasNYSE,CBOT,CME,arefilledwiththousands,ifnotmillions,ofticketstubsfromstockorcommodityorderseveryday.Whenelectronictradingsystemsareinstalled,everytransactionbecomespaperless,executiontimesbecomefaster,andtransactioncostswouldconsequentlybecomelower.EvenChinaisrecognizingthemovetoelectronictradingplatformsformoreefficiencyintheirfinancialandeconomicgrowth.Accenture(NYSE:ACN)recentlywonamandatetohelptheShanghaiStockExchange,China'slargeststockexchange,buildanewelectronictradingsystembyadaptingtheDeutscheBorse'sXetra(Germany)tradingsystemtotheChinesemarket.Furthermore,RegulationNMSisabigstepintherightdirectionforelectronictradingplatforms.Hence,NYSE’ssubsequentmovetotransformitselfintoahybridmarket.BecauseRegulationNMSacknowledgestheadvancementofelectronictrading,itwilllikelyforcetheremainingfloor-basedsecuritiesexchangestoaltertheirmodelinordertoremaincompetitive.Electroniccommerceistransformingthemarkets.Intheend,theadoptionofelectronictradingisreallynotonlyatechnologyissue.Itsdifficultyliesinhumanresistancetochange.Thispaperaddressestheseissuesfrombothatheoreticalandempiricalperspective.Itdiagnosestherelationshipfrombothsides,andwillprovidein-depthdetailontheprimarydifferencesandinefficienciesofanAuction/ExchangeMarketversusaDealer/OTCmarket.Thispaperalsosuggestssomepossiblesolutionstotheseproblems,asthepaperwillclearlyprovidesevidencethatfloorbasedtradingwithhumansonexchangesisreallyonlynecessaryinilliquidstocks.Mythesiswillalsodelveintotheinnerworkingsoftheelectronicsystemsthatallowthistypeofdirectaccess.Attheendoftheday,thesehybridmarketstructureshavetoserveinvestors.Thatiswhatthedebateisallabout-whetherit'sworthhavingallofthesesortsoffeaturesofahybridmarkettoassureinvestorsofbestexecution.Therehastobeadifferentiatedvalueproposition,becausemaintainingthefloorelementofahybridmarketisabigexpense,andthatexpensehastobeembeddedinthetotalcostoftrading.KEYWORDS:HybridStockMarkets,FloorBasedTrading,ScreenBasedTrading,InstitutionalTrading,RetailTrading200506152005061520050615MBA11.1/1.2MBA2(NYSE)(NASDAQ)(NYSE)NASDAQNASDAQNASDAQMBA3NASDAQNYSE440ECNsSOESECNsECNsECNECNsSOES1987NASDAQ200SuperDOTDOTDOTDOTDOTECNNYSEDOTMBA41.31980951275Instinet(NSDQ:INGP)(NYSE:RTRSY)Instinet13/ECNsECNsInstinet1969ECNInstinetInstinetInstinetMBA5IslandECNIslandIslandECNsIslandECNs1997,,ECNs5(:GartnerGroup):20052004200320022001ECN’s39%35%27%19%22%29%35%40%63%58%32%30%33%18%20%MBA62.121.2.3.MBA72.232.34MBA8519b-62.4MBA92.5461998LiffeEurexEurexLiffeLiffe7MBA103.1IssuerSizeCategoryVeryLargeLargeMiddleSmall100-499ShareMarketOrdersAverageAcrossNasdaqStocks3.46.07.84.5AverageAcrossNYSEStocks17.115.826.515.8Difference-13.7-9.8-18.7-11.3500-1999ShareMarketOrdersAverageAcrossNasdaqStocks17.324.025.016.8AverageAcrossNYSEStocks20.617.427.920.6Difference-3.36.6-2.9-3.8100-499500-19998500MBA113.221380%20%ADRsFidelityMBA121.7MBA13ECNsECNs(NYSE:GE)(NYSE:IBM)ECNECNsECNs3.3ECNsMBA14••••ECNsECNs30%ECNsECNsECNs•••3.4MBA153.51234512345MBA16MBA174.120053251231800MBA184.220041227