Post-trade transparency on Nasdaq's national market system

• 成果类型: Article
• 署名作者: Porter, DC; Weaver, DG
• 署名单位: University of Wisconsin System; City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00037-3
• 发表日期: 1998
• 页码: 231-252
• 关键词: Market microstructure; Bid-ask spreads; Nasdaq

摘要

This article examines late trade reporting on the Nasdaq National Market System. A substantial number of trades are reported out-of-sequence on both absolute levels and relative to the combined centralized exchanges. We find minimal support for NASD permitted reasons for the late trade reporting. Evidence suggests that market makers could use late trade reporting to manage the release of information. This evidence is consistent with the hypothesis that the delayed reporting of trades is neither a random occurrence nor fully explainable by factors outside the market maker's control. (C) 1998 Elsevier Science S.A. All rights reserved.