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Press release from PR Newswire

Updated Study Underscores Health Of The U.S. Equity Markets

Thursday, June 27, 2013

Updated Study Underscores Health Of The U.S. Equity Markets

12:00 EDT Thursday, June 27, 2013

Market Quality Remains Robust with Low Transaction Costs, Ample Market Depth and High Execution Speeds

JERSEY CITY, N.J., June 27, 2013 /PRNewswire/ -- Knight Capital Group, Inc. (NYSE Euronext: KCG) today announced the release of "Equity Trading in the 21st Century: An Update." This study updates the empirical results of a previous report from 2010 by incorporating the most recent data and accounting for current market dynamics. The findings of the study underscore the continued health of the U.S. equity markets and provide a basis for the timely analysis of the current market structure.

The updated study, commissioned by Knight Capital Group and authored by professors James Angel of Georgetown University, Larry Harris of the University of Southern California, and Chester Spatt of Carnegie Mellon University, concludes:

  • U.S. markets continue to be healthy with low transaction costs, ample market depth and high execution speeds;
  • Gains in market quality documented in 2010 continue and the markets remain significantly more liquid than they were before the growth of electronic trading; and
  • Improvements in market quality have benefited small traders as well as institutional traders executing very large orders over many days.

Among other findings, the study shows that intraday volatility of individual stocks as measured by the high/low range remains below the levels of the pre-electronic 1990s. It concludes that quote to trade ratios have moderated from their peaks in 2011, with the decrease likely due to a reduction in volatility and a reduction in the number of high frequency traders making markets.

While empirical results show that the markets remain healthy, the study concludes that there is room for further improvement of market structures to better serve investors. However, the study warns against certain proposals to reform market structures, citing as examples proposals that impose transaction costs on trading and minimum resting times on quotes, which the study concludes would hurt liquidity without producing the desired improvements in market quality.

James Angel is an Associate Professor at the McDonough School of Business at Georgetown University. Larry Harris is a former Chief Economist of the U.S. Securities and Exchange Commission and is currently a Professor of Finance and Business Economics at the USC Marshall School of Business, where he holds the Fred V. Keenan Chair in Finance. Chester Spatt is a former Chief Economist of the U.S. Securities and Exchange Commission and is currently a Professor of Finance at the Tepper School of Business at Carnegie Mellon University, where he is the Pamela R. and Kenneth B. Dunn Professor of Finance.

To access the study, go to

About Knight

Knight Capital Group (NYSE Euronext: KCG) is a global financial services firm that provides access to the capital markets across multiple asset classes to a broad network of clients, including broker-dealers, institutions and corporations. Knight is headquartered in Jersey City, N.J. with a global presence across the Americas, Europe, and the Asia Pacific regions. For further information about Knight, please visit

SOURCE Knight Capital Group, Inc.

For further information: Jonathan Mairs, Managing Director, Knight Capital Group, Inc., 201-356-1529,

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