Odd-eighth avoidance as a defense against SOES bandits

Journal of Financial Economics

Volumn 51, Issue 1, 1999, Pages 85-102

  Kandel, Eugene ^a   M Marx, Leslie ^b  

^a HEBREW UNIVERSITY OF JERUSALEM   (Israel)

^b UNIVERSITY OF ROCHESTER   (United States)

Author keywords

G10; L10; Nasdaq; Odd eighth avoidance; SOES bandits; Tick size

Indexed keywords

EID: 0041727135     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(98)00044-0     Document Type: Article

References (14)

1. Battalio R.H., Hatch B., Jennings R. SOES trading and market volatility. Journal of Financial and Quantitative Analyses. 32:1997;225-238.
2. Barclay M. Bid-ask spread and the avoidance of odd-eighth quotes on Nasdaq: an examination of exchange listings. Journal of Financial Economics. 45:1997;35-60.
3. Barclay, M.J., Kandel, E., Marx, L., 1998. Transaction costs and liquidity: an empirical investigation. Journal of Financial Intermediation, forthcoming.
4. Bessembinder H. The degree of price resolution and equity trading costs. Journal of Financial Economics. 45:1997;9-34.
5. Christie, W.G., Schultz, P.H., 1994. Why do Nasdaq market makers avoid odd-eighth quotes? Journal of Finance 49, 1813-1840.
6. Christie, W. G., Schultz, P. H., 1997. Initiations and withdrawals of odd-eighths quotes in Nasdaq stocks: an empirical analysis. Unpublished Working Paper. Vanderbilt University, Nashville, TN.
7. Copeland T.E., Galai D. Information effects on the bid-ask spread. Journal of Finance. 38:1983;1457-1469.
8. Glosten L.R., Milgrom P.R. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics. 14:1985;71-100.
9. Harris J., Schultz P.H. The importance of firm quotes and rapid executions: evidence from the January 1994 SOES rules change. Journal of Financial Economics. 45:1997;135-166.
10. Harris, J., Schultz, P.H., 1997b. The trading profits of SOES bandits. Unpublished Working Paper. Ohio State University, Columbus.
11. Kandel E., Marx L.M. Nasdaq market structure and spread patterns. Journal of Financial Economics. 45:1997;61-89.
12. Kandel, E., Marx, L. M., 1998. Payments for order flow on Nasdaq. Journal of Finance, forthcoming.
13. Kleidon, A.W., Willig, R.D., 1995. Why do Christie and Schultz infer collusion from their data? Unpublished Working Paper. Cornerstone Research, San Francisco, CA.
14. Macey J., O'Hara M. The law and economics of best execution. Journal of Financial Intermediation. 6:1997;188-223.