Differences in trading behavior across NYSE specialist firms

• 成果类型: Article
• 署名作者: Corwin, SA
• 署名单位: University System of Georgia; University of Georgia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00123
• 发表日期: 1999
• 页码: 721-745
• 关键词: YORK-STOCK-EXCHANGE; PRICE ADJUSTMENT COEFFICIENTS; MARKET; volatility; spreads; ask; INFORMATION; services; returns; traders

摘要

Using a sample of NYSE-listed equities from 1992, this study examines whether market maker performance differs across specialist firms. We find that spreads and depth differ across specialist firms, but the competitiveness of NYSE quotes relative to other exchanges does not appear to be affected by these differences. Differences are also evident in measures of transitory volatility and in the frequency and duration of order-imbalance trading halts. The results suggest that specialists have a significant effect on execution costs, liquidity, and noise in security prices and that these effects are not completely eliminated by competition or the NYSE's monitoring mechanisms.