Limit orders and the bid-ask spread

• 成果类型: Article
• 署名作者: Chung, KH; Van Ness, BF; Van Ness, RA
• 署名单位: University of Memphis; Kansas State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00022-7
• 发表日期: 1999
• 页码: 255-287
• 关键词: limit order; Bid-ask spread; specialists

摘要

We examine the role of limit-order traders and specialists in the market-making process. We find that a large portion of posted bid-ask quotes originates from the limit-order book without direct participation by specialists, and that competition between traders and specialists has a significant impact on the bid-ask spread. Specialists' spreads are widest at the open, narrow until late morning, and then level off. The U-shaped intraday pattern of spreads largely reflects the intraday variation in spreads established by limit-order traders. Lastly, the intraday variation in limit-order spreads is significantly related to the intraday variation in limit-order placements and executions. (C) 1999 Elsevier Science S.A. All rights reserved.