Price and quantity quotes on NASDAQ: A study of dealer quotation behavior

Journal of Financial Research

Volumn 27, Issue 4, 2004, Pages 497-519

  Chung, Kee H ^a   Zhao, Xin ^b  

^a UNIVERSITY AT BUFFALO   (United States)

^b BEHREND COLLEGE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 9344255441     PISSN: 02702592     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2004.00105.x     Document Type: Review

References (23)

1. Barclay, M., W. Christie, J. Harris, E. Kandel, and P. Schultz, 1999, Effects of market reform on the trading costs and depths of NASDAQ stocks, Journal of Finance 54, 1-34.
2. Battalio, R. and C. Holden, 1996, Does increased competition in securities markets always lower trading costs? Working paper, Indiana University.
3. Benston, G. J. and R. L. Hagerman, 1974, Determinants of bid-asked spreads in the over-the-counter market, Journal of Financial Economics 1, 353-64.
4. Bessembinder, H., 1999, Trade execution costs on NASDAQ and the NYSE: A post-reform comparison, Journal of Financial and Quantitative Analysis 34, 387-407.
5. Blume, M. and M. Goldstein, 1997, Quotes, order flow, and price discovery, Journal of Finance 52, 221-44.
6. Bloomfield, R. and M. O'Hara, 1998, Does order preferencing matter? Journal of Financial Economics 50, 3-37.
7. Chan, K., W. Christie, and P. Schultz, 1995, Market structure and the intraday pattern of bid-ask spreads for NASDAQ securities, Journal of Business 68, 35-60.
8. Chung, K. H., C. Chuwonganant, and D. T. McCormick, Forthcoming, Does internalization diminish the impact of quote aggressiveness on dealer market share? Journal of Financial Intermediation.
9. Chung, K. H. and R. Van Ness, 2001, Order handling rules, tick size, and the intraday pattern of bid-ask spreads for NASDAQ stocks, Journal of Financial Markets 4, 143-61.
10. Chung, K. H., B. Van Ness, and R. Van Ness, 1999, Limit orders and the bid-ask spread, Journal of Financial Economics 53, 255-87.
11. Copeland, T. E. and D. Galai, 1983, Information effects and the bid-ask spread, Journal of Finance 38, 1457-69.
12. Easley, D. and M. O'Hara, 1987, Price, trade size and information in securities markets, Journal of Financial Economics 19, 69-90.
13. Goldstein, M. and K. Kavajecz, 2000, Eighths, sixteenths and market depth: Changes in tick size and liquidity provision on the NYSE, Journal of Financial Economics 56, 125-49.
14. Harris, L., 1994, Minimum price variations, discrete bid-ask spreads, and quotation sizes, Review of Financial Studies 7, 149-78.
15. Karpoff, J., 1987, The relation between price changes and trading volume: A survey, Journal of Financial and Quantitative Analysis 22, 109-26.
16. Kavajecz, K., 1996, A specialist's quoted depth as a strategic choice variable, Working paper, University of Pennsylvania.
17. Kavajecz, K., 1999, A specialist's quoted depth and the limit order book, Journal of Finance 54, 747-71.
18. Kavajecz, K. and E. Odders-White, 2001, An examination of changes in specialist's posted price schedules, Review of Financial Studies 14, 681-704.
19. Lee, C. M. C., B. Mucklow, and M. Ready, 1993, Spreads, depths, and the impact of earnings information: an intraday analysis, Review of Financial Studies 6, 345-74.
20. Lin, S., G. Sanger, and J. Booth, 1995, Trade size and components of the bid-ask spread, Review of Financial Studies 8, 1153-83.
21. Stoll, H. R., 1978, The supply of dealer services in securities markets, Journal of Finance 33, 1133-51.
22. Warner, J., R. Watts, and K. Wruck, 1988, Stock prices and top management changes, Journal of Financial Economics 20, 461-92.
23. Ye, J., 1995, Bid-ask prices and sizes: The specialist's optimal quotation strategy, Working paper, University of Southern California.