Price discovery without trading: Evidence from the Nasdaq preopening

• 成果类型: Article
• 署名作者: Cao, C; Ghysels, E; Hatheway, F
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00249
• 发表日期: 2000
• 页码: 1339-1365
• 关键词: initial public offerings; AVOID ODD-8TH QUOTES; Bid-ask spread; securities markets; DEALER MARKETS; INFORMATION; volatility; trades; NYSE; TRANSPARENCY

摘要

This paper studies Nasdaq market makers' activities during the one and one-half hour preopening period. Price discovery during the preopening is conducted via price signaling as opposed to the auction used to open the NYSE or the continuous market used during trading. In the absence of trades, Nasdaq dealers use crossed and locked inside quotes to signal to other market makers which direction the price should move. Furthermore, we find evidence of price leadership among market makers that bears little resemblance to their IPO/SEO lead underwriter participation.