Limit orders and the alleged Nasdaq collusion

• 成果类型: Article
• 署名作者: Demsetz, H
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00012-3
• 发表日期: 1997
• 页码: 91-95
• 关键词: Stocks; spreads; Financial; Nasdaq; collusion

摘要

Different methods are used by the NYSE/Amex and the Nasdaq to accommodate limit orders received from investors. This accounts for at least part of the excess of Nasdaq spreads over NYSE spreads, adjusted for trading volume, and is a factor in determining this excess that is independent of collusion on the Nasdaq. The spread-comparison evidence given by others to support their belief that there is collusion among market makers on the Nasdaq therefore overstates the probability of collusion and its significance if it exists.