The Effects of Order Handling Rules and 16ths on Nasdaq: a Cross-sectional Analysis

نویسنده

  • Jeffrey W. Smith
چکیده

Two major changes occurred on the Nasdaq Stock Market during 1997: the implementation of the SEC’s Order Handling Rules, and a reduction in the quotation ticksize for many Nasdaq stocks to one-sixteenth from one-eighth. This paper presents a detailed empirical analysis of the impact of these changes on spreads, depth, use of Electronic Communications Networks, and market making positions. Of special focus is the extent to which the impact of the changes varies across stocks. It is found that while many stocks experienced major changes in their trading characteristics, other stocks, particularly thinly-traded issues, were largely unaffected. * NASD Economic Research, 1801 K St., NW, 8 Floor, Washington, DC, 20006. E-mail: [email protected]. I thank Robert Battalio and Jamie Selway for helpful comments. This paper represents the views of the author alone, and does not present an official view of the National Association of Securities Dealers, Inc. or any of its subsidiaries.

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تاریخ انتشار 1998