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This paper studies the value of a designated liquidity provider (DLP) in an electronic limit order book. We conduct a natural controlled experiment by examining a sample of Euronext Paris securities that trades both with and without the assistance of a market maker.We find that less liquid stocks experience a statistically significant cumulative abnormal return […]
Mann, Venkataraman And Waisburd-Stock Liquidity And The Value Of A Designated Liquidity Provider Evidence From Paris Euronext
This paper studies the value of a designated liquidity provider (DLP) in an electronic limit order book. We conduct a natural controlled experiment by examining a sample of Euronext Paris securities that trades both with and without the assistance of a market maker.We find that less liquid stocks experience a statistically significant cumulative abnormal return of four percent around the introduction of the DLP. For this sample, the DLP enhances market quality by reducing the frequency of market failure, providing strong empirical support for Glosten (1989).Liquid stocks are generally unaffected. Overall, these findings support the joint hypothesis that liquidity is priced and that the services of the designated liquidity provider are an important factor in this premium. We thus present compelling evidence of a link between market microstructure and asset pricing.
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