Entry, exit, market makers, and the bid-ask spread.

• 成果类型: Article
• 署名作者: Wahal, S
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Purdue University System; Purdue University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/10.3.871
• 发表日期: 1997
• 页码: 871
• 关键词: ODD-8TH QUOTES; Nasdaq; volume; prices; tests

摘要

The probability of entry and exit of dealers on the NASDAQ National Market (NNM) is significantly affected by trading intensity, volatility and the quoted bid-ask, spread Entry and exit of market makers is a pervasive phenomenon, Large-scale entry (exit) is associated with substantial declines (increases) in quoted end-of-day inside spreads, even after controlling for the effects of changes in volume and volatility. The spread changes are larger in magnitude for issues with few market makers; however even for issues with a large number of market makers, substantial changes in quoted spreads take place. The results are consistent with the competitive model of dealer pricing.