Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks

Journal of Empirical Finance

Volumn 12, Issue 4, 2005, Pages 533-555

  Li, Mingsheng ^a   McCormick, Timothy ^b   Zhao, Xin ^c  

^a UNIVERSITY OF LOUISIANA AT MONROE   (United States)

^b The NASDAQ Stock Market Inc   (United States)

^c BEHREND COLLEGE   (United States)

Author keywords

Depths; Liquidity; Market makers; Order imbalance; Spreads

Indexed keywords

EID: 26844502861     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2004.11.001     Document Type: Article

References (35)

1. Y. Amihud H. Mendelson Dealership market: Market making with inventory Journal of Financial Economics 8 1980 31-53
2. M. Barclay W. Christie J. Harris E. Kandel P. Schultz Effects of market reform on the trading costs and depths of Nasdaq stocks Journal of Finance 54 1999 1-34
3. R. Battalio J. Greene R. Jennings Do competing specialists and preferencing dealers affect market quality? Review of Financial Studies 10 1997 969-993
4. U. Ben-Zion E. Gutman E. Egbe S. Brahams Relative trading volume, risk measures and other firm characteristics during the market crash Economic Letter 32 1990 147-152
5. M.E. Blume A.C. Mackinlay B. Terker Order imbalance and stock price movements on October 19 and 20, 1987 Journal of Finance 44 1989 827-848
6. W. Breen L. Hodrick R. Korajczyk Predicting equity liquidity Management Science 48 4 2002 470-483
7. Butler, K.C., Joaquin, D.C., 2001. Are the gains form international portfolio diversification exaggerated? The influence of downside risk in bear market. Working paper, Michigan State University.
8. K.C. Chan W.G. Chirstie P.H. Schultz Market structure and the intraday pattern of bid-ask spreads for Nasdaq securities Journal of Business 68 1995 35-60
9. T. Chordia A. Subrahmanyam Market making, the tick size, and payment-for-order flow: Theory and evidence Journal of Business 68 1995 543-575
10. T. Chordia R. Roll A. Subrahmanyam Market liquidity and trading activity Journal of Finance 56 2001 501-530
11. T. Chordia R. Roll A. Subrahmanyam Order imbalance, liquidity, and market returns Journal of Financial Economics 65 2002 111-130
12. W.G. Christie P.H. Schultz Why do Nasdaq market makers avoid odd-8th quotes? Journal of Finance 49 1994 1813-1840
13. K.H Chung X. Zhao Price and quantity quotes on Nasdaq: A study of dealer quotation behavior Journal of Financial Review 27 2003 497-520
14. K.H Chung X. Zhao Making a market with spreads and depths Journal of Business Finance and Accounting 31 2004 1069-1096
15. K.H Chung C. Chuwonganant D.T. McCormick Order preferencing and market quality on NASDAQ before and after decimalization Journal of Financial Economics 71 2004 581-612
16. D. Easley N. Kiefer M. O'Hara One day in the life of a very common stock Review of Financial Studies 10 1997 805-835
17. K. Ellis R. Michaely M. O'Hara The accuracy of trade classification rules: Evidence from Nasdaq Journal of Financial and Quantitative Analysis 35 2000 529-551
18. L.R Glosten P.R. Milgrom Bid, ask and transaction prices in a specialist market with heterogeneously informed traders Journal of Financial Economics 14 1985 71-100
19. O. Hansch N.Y. Naik S. Viswanathan Do inventories matter in dealership markets? Evidence from the London Stock Exchange Journal of Finance 53 1998 1623-1656
20. J. Hasbrouck Trades, quotes, inventories, and information Journal of Financial Economics 22 1988 229-252
21. J. Hasbrouck G. Sofianos The trades of market makers: An empirical analysis of NYSE specialists Journal of Finance 48 1993 1565-1593
22. T. Ho H.R. Stoll The dynamics of dealer markets under competition Journal of Finance 38 1983 1053-1074
23. K. Kavajecz A specialist's quoted depth and the limit order book Journal of Finance 54 1999 747-771
24. K. Kavajecz E. Odders-White An examination of changes in specialists' posted price schedules Review of Financial Studies 14 2001 681-704
25. A.S. Kyle Continuous auctions and insider trading Econometrica 53 1985 1315-1336
26. B. Lauterbach U. Ben-Zion Stock market crashes and the performance of Circuit breakers: Empirical evidence Journal of Finance 48 1993 1909-1925
27. C. Lee M. Ready Inferring trading direction from intraday data Journal of Finance 46 1991 733-746
28. C. Lee B. Mucklow M. Ready Spreads, depths, and the impact of earnings information: An intraday analysis Review of Financial Studies 6 1993 345-374
29. L. Levy E. Linden The Mind of Wall Street 2002 Public Affairs New York, United States
30. A. Madhavan S. Smidt An analysis of changes in specialist inventories and quotations Journal of Finance 48 1993 1595-1628
31. A. Madhavan G. Sofianos An empirical analysis of NYSE specialist trading Journal of Financial Economics 48 1998 189-210
32. J.M. Maheu T.H. McCurdy Identifying bull and bear markets in stock returns Journal of Business and Economic Statistics 18 2000 100-112
33. N.Y. Naik P.K. Yadav Do dealer firms manage inventory on a stock-by-stock or a portfolio basis? Journal of Financial Economics 69 2003 325-353
34. D.J. Seppi Liquidity provision with limit orders and strategic specialist Review of Financial Studies 10 1997 103-150
35. H. Stoll The supply of dealer services in securities markets Journal of Finance 33 1978 1133-1151