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1、*CompetitionBetweenExchanges:EuronextversusXetra**MariaKasch-Haroutounian/ErikTheissenJanuary2003Abstract:ExchangesinEuropefaceincreasingcompetition.Smallerexchangesmaycomeunderpressuretocooperatewithoneofthelargerexchangesandadoptitstradingsystem.Itis,therefore,importanttoevaluatetheattractivenesso
2、fthetwodominatingcontinentalEuropeantradingsys-tems,EuronextandXetra.Thoughbothareanonymouselectroniclimitorderbooks,thereareim-portantdifferencesinthetradingprotocols.Inthispaperweuseamatched-sampleapproachtocompareexecutioncostsinEuronextParisandXetra.Wefindthatboththeeffectivespreadsanditscompone
3、nts,therealizedspreadandtheadverseselectioncomponent,arelowerinXetra.Differ-encesinmarketorganization-weconsiderdifferencesinthenumberofliquidityprovisionagree-ments,anddifferencesintheminimumticksize-donotexplainthespreaddifferences.JELclassification:G10,G15Keywords:Competitionbetweenexchanges,bid-
4、askspread*Wethankparticipantsofthe9thSymposiumonFinanceBankingandInsuranceinKarlsruheforhelpfulcomments.**UniversityofBonn,BWLI,Adenauerallee24-42,53113Bonn,Germany,Phone+49228739208,Fax+49228735924,Email:mkasch@uni-bonn.deandtheissen@uni-bonn.de,respectively.1IntroductionEuropeanexchangesareinaproc
5、essofconsolidation.Banksandinstitutionalinvestorsareputtingpressureonexchangeofficialstodecreasetransactioncosts.ThefragmentationofEuropeanexchangeshasbeenidentifiedasonesourceofhightransactioncosts.Mergersbe-tweenexchangesandthejointuseoftradingsystemsareconsideredtobepartofthesolution.AsJacquesdeL
6、arosiere,formergouverneuroftheBanquedeFranceandformerpresidentof1theEuropeanBankforReconstructionandDevelopmentputsit,Atnationalandcross-borderlevel[...]traditionalstockmarketsarebeingobligedtoregroupinordertosecuretheeconomiesofscaleessentialiftheyaretobecomecompetitiveatEuropeanlevel.TheFrenchStoc
7、kExchange(ParisBourseSBFSA.)hasmergedwiththeexchangesinAm-sterdam,Brusselsand(in2002)LisboatoformEuronext.Thecommontradingplatformisinoperationsince2001.TheLondon-basedderivativesexchangeLIFFEhasjoine
