An empirical analysis of NYSE specialist trading

• 成果类型: Article
• 署名作者: Madhavan, A; Sofianos, G
• 署名单位: University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00008-7
• 发表日期: 1998
• 页码: 189-210
• 关键词: NYSE specialists; Bid-ask spreads; dealer trading; Market makers

摘要

This paper examines empirically the magnitude and determinants of dealer trading by NYSE market makers (specialists) across stocks and over time. Across stocks, specialist dealer trading varies widely and is inversely related to trading volume and proxies for off-exchange competition. Over time in an individual stock, specialists participate more actively as sellers (buyers) when holding long (short) inventory positions. This results suggest that dealers control their inventory positions by selectively timing the size and direction of their trades rather than by adjusting their quotes. Further, specialists participate more in smaller trades and when the bid-ask spread is wide. (C) 1998 Elsevier Science S.A. All rights reserved.