Effects of market reform on the trading costs and depths of Nasdaq stocks

• 成果类型: Article
• 署名作者: Barclay, MJ; Christie, WG; Harris, JH; Kandel, E; Schultz, PH
• 署名单位: University of Rochester; Vanderbilt University; University of Notre Dame; University System of Ohio; Ohio State University; Hebrew University of Jerusalem
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00097
• 发表日期: 1999
• 页码: 1-34
• 关键词: bid-ask spreads; AVOID ODD-8TH QUOTES; execution costs; makers; dealer; NYSE; COMPETITION

摘要

The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began implementing reforms that would permit the public to compete directly with Nasdaq dealers by submitting binding limit orders. Additionally, superior quotes placed by Nasdaq dealers in private trading venues began to be displayed in the Nasdaq market. We measure the impact of these new rules on various measures of performance, including trading costs and depths. Our results indicate that quoted and effective spreads fell dramatically without adversely affecting market quality.