Symposium on market microstructure: Focus on Nasdaq
نویسندگان
چکیده
This special issue of the Journal of Financial Economics includes six articles that analyze the market microstructure of Nasdaq in various ways. The question of the costs of trading on Nasdaq has become contentious in both the academic and legal/regulatory arenas since the Christie and Schultz (1994) article first noted that many actively traded Nasdaq stocks were almost never quoted on odd eighths. The articles in this symposium bring new and interesting insights to this debate.
منابع مشابه
Introduction to the Market Microstructure Symposium
The Market Microstructure Symposium in this issue of the Review of Financial Studies illustrates the diverse types of research being undertaken by scholars in this area of finance. The excitement and activity level reflect the overlap of a number of important ingredients, which in turn are helping to shape this subfield. The rational expectations paradigm provides a strong conceptual foundation...
متن کاملBid-ask spreads 2nd the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings
This paper examines 472 securities that were listed on Nasdaq and moved to the NYSE or Amex. When Nasdaq market makers avoid odd-eighth quotes, bid-ask spreads are large and decline dramatically with exchange listing. When market makers use both odd and even eighths. spreads are smaller and decline only slightly with exchange listing The large spreads observed when Nasdaq market makers avoid od...
متن کاملThe Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period
W exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq market. We specify a model that accommodates fluctuations in both risk levels and market prices of different sources of risk, and we estimate the model using the time-series returns and option prices on the Nasdaq 100 tracki...
متن کاملImpact of Stock Market Structure on Intertrade Time and Price Dynamics
We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have ...
متن کاملLimit tirders and the alleged Nasdaq collusion
DilTerent methods are used by thm NYSE,‘Amex and the Nasdaq to accommodate limit orders received from investors. This accounts for at least part of the excess of Nasdaq spreads over NYSE spreads, adjusted for trading volume, and is a factor in determining this excess tha: is independent of coitusion on the Nasdaq. The spread-comparison evidence given by others to support their belief that there...
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